Exchange Rate Modelling

Author : Francis X. Diebold
Publisher : Springer Science & Business Media
Page : 153 pages
File Size : 52,6 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642456411

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Empirical Modeling of Exchange Rate Dynamics by Francis X. Diebold Pdf

Structural exchange rate modeling has proven extremely difficult during the recent post-1973 float. The disappointment climaxed with the papers of Meese and Rogoff (1983a, 1983b), who showed that a "naive" random walk model distinctly dominated received theoretical models in terms of predictive performance for the major dollar spot rates. One purpose of this monograph is to seek the reasons for this failure by exploring the temporal behavior of seven major dollar exchange rates using nonstructural time-series methods. The Meese-Rogoff finding does not mean that exchange rates evolve as random walks; rather it simply means that the random walk is a better stochastic approximation than any of their other candidate models. In this monograph, we use optimal model specification techniques, including formal unit root tests which allow for trend, and find that all of the exchange rates studied do in fact evolve as random walks or random walks with drift (to a very close approximation). This result is consistent with efficient asset markets, and provides an explanation for the Meese-Rogoff results. Far more subtle forces are at work, however, which lead to interesting econometric problems and have implications for the measurement of exchange rate volatility and moment structure. It is shown that all exchange rates display substantial conditional heteroskedasticity. A particularly reasonable parameterization of this conditional heteroskedasticity, which captures the observed clustering of prediction error variances, is developed in Chapter 2.

Author : Ronald MacDonald,Ian Marsh
Publisher : Springer Science & Business Media
Page : 226 pages
File Size : 45,6 Mb
Release : 2013-04-17
Category : Business & Economics
ISBN : 9781475729979

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Exchange Rate Modelling by Ronald MacDonald,Ian Marsh Pdf

Are foreign exchange markets efficient? Are fundamentals important for predicting exchange rate movements? What is the signal-to-ratio of high frequency exchange rate changes? Is it possible to define a measure of the equilibrium exchange rate that is useful from an assessment perspective? The book is a selective survey of current thinking on key topics in exchange rate economics, supplemented throughout by new empirical evidence. The focus is on the use of advanced econometric tools to find answers to these and other questions which are important to practitioners, policy-makers and academic economists. In addition, the book addresses more technical econometric considerations such as the importance of the choice between single-equation and system-wide approaches to modelling the exchange rate, and the reduced form versus structural equation problems. Readers will gain both a comprehensive overview of the way macroeconomists approach exchange rate modelling, and an understanding of how advanced techniques can help them explain and predict the behavior of this crucial economic variable.

Author : Lucio Sarno,Mark P. Taylor
Publisher : Cambridge University Press
Page : 334 pages
File Size : 40,8 Mb
Release : 2003-01-09
Category : Business & Economics
ISBN : 9781139435048

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The Economics of Exchange Rates by Lucio Sarno,Mark P. Taylor Pdf

In the last few decades exchange rate economics has seen a number of developments, with substantial contributions to both the theory and empirics of exchange rate determination. Important developments in econometrics and the increasingly large availability of high-quality data have also been responsible for stimulating the large amount of empirical work on exchange rates in this period. Nonetheless, while our understanding of exchange rates has significantly improved, a number of challenges and open questions remain in the exchange rate debate, enhanced by events including the launch of the Euro and the large number of recent currency crises. This volume provides a selective coverage of the literature on exchange rates, focusing on developments from within the last fifteen years. Clear explanations of theories are offered, alongside an appraisal of the literature and suggestions for further research and analysis.

Author : Jessica James,Ian Marsh,Lucio Sarno
Publisher : John Wiley & Sons
Page : 674 pages
File Size : 41,9 Mb
Release : 2012-05-29
Category : Business & Economics
ISBN : 9781118445778

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Handbook of Exchange Rates by Jessica James,Ian Marsh,Lucio Sarno Pdf

Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.

Author : Mr.Ronald MacDonald
Publisher : International Monetary Fund
Page : 62 pages
File Size : 52,6 Mb
Release : 1995
Category : Business & Economics
ISBN : UCSD:31822019113547

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Long-Run Exchange Rate Modeling by Mr.Ronald MacDonald Pdf

In this paper we survey the recent literature on long run, or equilibrium, exchange rate modeling. In particular, we review the voluminous literature which tests for a unit root in real exchange rates and the closely related work on testing for a unit root in the residual from a regression of the nominal exchange rate on relative prices. We argue that the balance of evidence is supportive of the existence of some form of long-run exchange rate relationship. The form of this relationship, however, does not accord exactly with a traditional representation of the long-run exchange rate. We offer some potential explanations for this lack of conformity.

Author : Arif Orçun Söylemez
Publisher : Routledge
Page : 83 pages
File Size : 48,7 Mb
Release : 2021-02-07
Category : Business & Economics
ISBN : 9781000357318

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Foreign Exchange Rates by Arif Orçun Söylemez Pdf

Predicting foreign exchange rates has presented a long-standing challenge for economists. However, the recent advances in computational techniques, statistical methods, newer datasets on emerging market currencies, etc., offer some hope. While we are still unable to beat a driftless random walk model, there has been serious progress in the field. This book provides an in-depth assessment of the use of novel statistical approaches and machine learning tools in predicting foreign exchange rate movement. First, it offers a historical account of how exchange rate regimes have evolved over time, which is critical to understanding turning points in a historical time series. It then presents an overview of the previous attempts at modeling exchange rates, and how different methods fared during this process. At the core sections of the book, the author examines the time series characteristics of exchange rates and how contemporary statistics and machine learning can be useful in improving predictive power, compared to previous methods used. Exchange rate determination is an active research area, and this book will appeal to graduate-level students of international economics, international finance, open economy macroeconomics, and management. The book is written in a clear, engaging, and straightforward way, and will greatly improve access to this much-needed knowledge in the field.

Author : Robert Miguel W. K. Kollman
Publisher : International Monetary Fund
Page : 52 pages
File Size : 55,5 Mb
Release : 1997-01-01
Category : Business & Economics
ISBN : 9781451928525

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The Exchange Rate in a Dynamic-Optimizing Current Account Model with Nominal Rigidities by Robert Miguel W. K. Kollman Pdf

This paper studies dynamic-optimizing model of a semi-small open economy with sticky nominal prices and wages. The model exhibits exchange rate overshooting in response to money supply shocks. The predicted variability of nominal and real exchange rates is roughly consistent with that of G-7 effective exchange rates during the post-Bretton Woods era. The model predicts that a positive domestic money supply shock lowers the domestic nominal interest rate, that it raises output and that it leads to a nominal and real depreciation of the country’s currency. Increases in domestic labor productivity and in the world interest rate too are predicted to induce a nominal and real exchange rate depreciation.

Author : Michael Roy Rosenberg
Publisher : Unknown
Page : 408 pages
File Size : 46,5 Mb
Release : 1996
Category : Business & Economics
ISBN : UCSC:32106017350197

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Currency Forecasting by Michael Roy Rosenberg Pdf

This text explains the methods and aspects of exchange rate forecasting, including purchasing power, parity, interest rate differentials and technical analysis. Guidelines for reducing risk with forecasting strategies are included, as are techniques for co

Author : P. de Grauwe,Theo Peeters
Publisher : Springer
Page : 299 pages
File Size : 40,6 Mb
Release : 1983-12-01
Category : Business & Economics
ISBN : 9781349172863

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Exchange Rates in Multicountry Econometric Models by P. de Grauwe,Theo Peeters Pdf

Author : Lucio Sarno
Publisher : International Monetary Fund
Page : 40 pages
File Size : 41,6 Mb
Release : 2003-05-01
Category : Business & Economics
ISBN : 9781451853490

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Nonlinear Exchange Rate Models by Lucio Sarno Pdf

This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange rates help resolve the "purchasing power parity (PPP) puzzles." The second question is whether recently developed nonlinear, regime-switching vector equilibrium correction models of the nominal exchange rate can beat a random walk model, the standard benchmark in the exchange rate literature, in terms of out-of-sample forecasting performance. Finally, issues related to the adequateness of standard methods of evaluation of (linear and nonlinear) exchange rate models are discussed with reference to different forecast accuracy criteria.

Author : Michael Rosenberg
Publisher : McGraw Hill Professional
Page : 300 pages
File Size : 53,9 Mb
Release : 2003-05-19
Category : Business & Economics
ISBN : 0071415017

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Exchange Rate Determination by Michael Rosenberg Pdf

Models and Strategies for Exchange Rate ForecastingMichael R. RosenbergGetting an accurate exchange rate is critical for any company doing business in today's global economy. Exchange Rate Determination--written by the number one-ranked foreign exchange team in the world--examines the methods used to accurately and profitably forecast foreign exchange rates. This hands-on guidebook uses extensive charts and tables to examine currency option markets, productivity trends and exchange rates; technical analysis methods to improve currency forecasting accuracy; and more.

Author : Ronald MacDonald
Publisher : Routledge
Page : 334 pages
File Size : 53,8 Mb
Release : 2005
Category : Foreign exchange
ISBN : 9781134838226

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Exchange Rate Economics by Ronald MacDonald Pdf

''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""

Author : Daron Acemoglu,Kenneth Rogoff,Michael Woodford
Publisher : Unknown
Page : 0 pages
File Size : 46,8 Mb
Release : 2008-03
Category : Macroeconomics
ISBN : 0226002020

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NBER Macroeconomics Annual 2007 by Daron Acemoglu,Kenneth Rogoff,Michael Woodford Pdf

The NBER Macroeconomics Annual provides a forum for important debates in contemporary macroeconomics and major developments in the theory of macroeconomic analysis and policy that include leading economists from a variety of fields. The papers and accompanying discussions in NBER Macroeconomics Annual 2007 address exchange-rate models; implications of credit market frictions; cyclical budgetary policy and economic growth; the impacts of shocks to government spending on consumption, real wages, and employment; dynamic macroeconomic models; and the role of cyclical entry of new firms and products on the nature of business-cycle fluctuations and on the effects of monetary policy.

Author : Mr.Mark P. Taylor,Mr.Ronald MacDonald
Publisher : International Monetary Fund
Page : 61 pages
File Size : 47,6 Mb
Release : 1991-06-01
Category : Business & Economics
ISBN : 9781451964394

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Exchange Rate Economics by Mr.Mark P. Taylor,Mr.Ronald MacDonald Pdf

We survey the literature on the two main views of exchange rate determination that have evolved since the early 1970s: the monetary approach to the exchange rate (in flex-price, sticky-price and real interest differential formulations) and the portfolio balance approach. We then go on to discuss the extant empirical evidence on these models and conclude by discussing how the future research strategy in the area of exchange rate determination is likely to develop. We also discuss the literature on foreign exchange market efficiency, on exchange rates and ‘news’ and on international parity conditions.

Author : Ronald MacDonald
Publisher : Taylor & Francis
Page : 465 pages
File Size : 45,5 Mb
Release : 2007-03-12
Category : Business & Economics
ISBN : 9781134801268

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Exchange Rate Economics by Ronald MacDonald Pdf

First published in 2007. Exchange Rate Economics: Theories and Evidence is the second edition of Floating Exchange Rates: Theories and Evidence, and builds on the successful content and structure of the previous edition, but has been comprehensively updated and expanded to include additional literature on the determination of both fixed and floating exchange rates. Core topics covered include: • the purchasing power parity hypothesis and the PPP puzzle; • the monetary and portfolio-balance approaches to exchange rates; • the new open economy macroeconomics approach to exchange rates; and • the determination of exchange rates in target zone models and speculative attack models. Exchange Rate Economics: Theories and Evidence also includes extensive discussion of recent econometric work on exchange rates with a particular focus on equilibrium exchange rates and measuring exchange rate misalignment, as well as discussion on the non-fundamentals-based approaches to exchange rate behaviour, such as the market microstructure approach. The book will appeal to academics and postgraduate students with an interest in all aspects of international finance and will also be of interest to practitioners concerned with issues relating to equilibrium exchange rates and the forecastability of currencies in terms of macroeconomic fundamentals.