Tests of Alternative Exchange Rate Hypotheses
Title | Tests of Alternative Exchange Rate Hypotheses PDF eBook |
Author | Seth Tobin Kaplan |
Publisher | |
Pages | 258 |
Release | 1986 |
Genre | Foreign exchange |
ISBN |
Currency Substitution and Vehicle Currencies
Title | Currency Substitution and Vehicle Currencies PDF eBook |
Author | Stephen H. Thomas |
Publisher | |
Pages | 48 |
Release | 1991 |
Genre | Economics |
ISBN |
Testing the Unbiased Forward Rate Hypothesis
Title | Testing the Unbiased Forward Rate Hypothesis PDF eBook |
Author | Rami Nabil Rishani |
Publisher | |
Pages | 110 |
Release | 2008 |
Genre | |
ISBN |
According to the unbiased forward exchange rate hypothesis, the forward exchange rate is an unbiased predictor of the spot exchange rate observed one period lat er. Similar to say, the forward exchange rate reflects available information abo ut the exchange rate hypothesis. Much empirical research has been done to test t he hypothesis; however, no consensus has been reached. This project will test th e unbiased forward exchange rate hypothesis by using monthly data for some major currencies. After a general introduction, Chapter II explains the hypothesis and provides ba ckground information about the spot and forward exchange rates and the differenc e between them. Chapter III reviews previous research done about this hypothesis and summarizes them. Chapter IV tests the hypothesis using OLS regression metho ds on the Canadian Dollar, UK pound sterling, Japanese Yen and others. Chapter V concludes the project by explaining the results and relating them to previous s tudies.
The Foreign Exchange Market
Title | The Foreign Exchange Market PDF eBook |
Author | Richard T. Baillie |
Publisher | Cambridge University Press |
Pages | 280 |
Release | 1989 |
Genre | Business & Economics |
ISBN | 9780521396905 |
The flotation of exchange rates in the early 1970s saw a significant increase in the importance of foreign exchange markets and in the interest shown in them. Apart from the consequent institutional changes, this period also witnessed a revolution in macroeconomic analysis and finance theory based on the concept of rational expectations. This book provides an integrated approach to recent developments in the understanding of foreign exchange markets. It begins by charting the institutional background and looks at the recent history of movements in some of the major exchange rates. The theoretical sections focus on the economic and finance theory of the asset market approach, the macroeconomic models developed from this approach, and on interest rate parity theory. The empirical chapters draw on the authors' own research from a high quality set of exchange rate and interest rate data. The statistical properties of exchange rates are analysed; the relationship between spot and forward rates is examined; and the modelling and impact of new information on the forward and spot relationship is considered. The final chapter is devoted to the estimation and testing of exchange rate models.
The Yen Real Exchange Rate May be Stationary After All
Title | The Yen Real Exchange Rate May be Stationary After All PDF eBook |
Author | Georgios Chortareas |
Publisher | |
Pages | |
Release | 2006 |
Genre | |
ISBN |
Exchange Rate Theory and Practice
Title | Exchange Rate Theory and Practice PDF eBook |
Author | John F. Bilson |
Publisher | University of Chicago Press |
Pages | 542 |
Release | 2007-12-01 |
Genre | Business & Economics |
ISBN | 0226050998 |
This volume grew out of a National Bureau of Economic Research conference on exchange rates held in Bellagio, Italy, in 1982. In it, the world's most respected international monetary economists discuss three significant new views on the economics of exchange rates - Rudiger Dornbusch's overshooting model, Jacob Frenkel's and Michael Mussa's asset market variants, and Pentti Kouri's current account/portfolio approach. Their papers test these views with evidence from empirical studies and analyze a number of exchange rate policies in use today, including those of the European Monetary System.
The Monetary Approach to the Balance of Payments
Title | The Monetary Approach to the Balance of Payments PDF eBook |
Author | Jacob Frenkel |
Publisher | Routledge |
Pages | 389 |
Release | 2013-07-18 |
Genre | Business & Economics |
ISBN | 1135043493 |
This book collects together the basic documents of an approach to the theory and policy of the balance of payments developed in the 1970s. The approach marked a return to the historical traditions of international monetary theory after some thirty years of departure from them – a departure occasioned by the international collapse of the 1930s, the Keynesian Revolution and a long period of war and post-war reconstruction in which the international monetary system was fragmented by exchange controls, currency inconvertibility and controls over international trade and capital movements.