Noise Trading Central Bank Interventions And The Informational Content Of Foreign Currency Options

Author : Christian Pierdzioch
Publisher : Springer Science & Business Media
Page : 232 pages
File Size : 43,6 Mb
Release : 2001-12-06
Category : Business & Economics
ISBN : 3540427457

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Noise Trading, Central Bank Interventions, and the Informational Content of Foreign Currency Options by Christian Pierdzioch Pdf

A flexible instrument to insure against adverse exchange rate movements are options on foreign currency. Often a relatively simple foreign currency option valuation model is used to address issues related to the pricing and hedging of such options. The results of many empirical studies document that real-world foreign currency option premia deviate from those predicted by the baseline model. In the first part of the book, it is shown that a noise trader model can help to explain the observed mispricing of the baseline foreign currency option pricing model. In the second part of the book, it is studied how policymakers can exploit the pricing errors of the baseline model. In particular, it is examined how option pricing theory can be applied to assess the effectiveness of central bank interventions in the foreign exchange market. To this end, a model is constructed to analyze the effectiveness of the interventions conducted by the Deutsche Bundesbank during the Louvre period.

Author : Horst Siebert
Publisher : Springer Science & Business Media
Page : 296 pages
File Size : 41,6 Mb
Release : 2003-06-24
Category : Business & Economics
ISBN : 9783540004394

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Global Governance: An Architecture for the World Economy by Horst Siebert Pdf

Globalization deeply affects economic structures and raises the issue of how governments should respond to new challenges. In this book, various ways of improving the institutional setup for global governance are discussed by renowned experts. The discussion focuses on further liberalizing international trade, preventing international financial crises, and protecting global environmental systems. The advantages of free international trade as well as the fears of those who are against globalization are considered in the contributions.

Author : Anonim
Publisher : Unknown
Page : 62 pages
File Size : 42,8 Mb
Release : 2000
Category : Economic policy
ISBN : IND:30000092817224

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Kiel Reports by Anonim Pdf

Author : Anonim
Publisher : Unknown
Page : 816 pages
File Size : 54,7 Mb
Release : 2002
Category : Economics
ISBN : UCSD:31822034031419

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Journal of Economic Literature by Anonim Pdf

Author : Deutsches Institut für Wirtschaftsforschung
Publisher : Unknown
Page : 536 pages
File Size : 55,8 Mb
Release : 2002
Category : Economic history
ISBN : STANFORD:36105113366517

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Economic Bulletin by Deutsches Institut für Wirtschaftsforschung Pdf

Author : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
Publisher : Unknown
Page : 0 pages
File Size : 43,6 Mb
Release : 2013
Category : Banks and banking, Central
ISBN : 9291319627

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Market Volatility and Foreign Exchange Intervention in EMEs by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico Pdf

Author : Darryl King,Mr.Luis Brandao-Marques,Kelly Eckhold,Peter Lindner,Diarmuid Murphy
Publisher : International Monetary Fund
Page : 50 pages
File Size : 49,7 Mb
Release : 2017-07-10
Category : Business & Economics
ISBN : 9781484305850

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Central Bank Emergency Support to Securities Markets by Darryl King,Mr.Luis Brandao-Marques,Kelly Eckhold,Peter Lindner,Diarmuid Murphy Pdf

This paper considers the central bank mandate with respect to financial stability and identifies the links to the functioning of securities markets. It argues that while emergency support to securities markets is an important part of the crisis management response, a high bar should be set for its use. Importantly, it should be used only as part of a comprehensive policy package. The paper considers what types of securities markets may be important for financial stability, what market conditions could trigger emergency support measures, and how programs can be designed to restore market functioning while minimizing moral hazard.

Author : Anonim
Publisher : Unknown
Page : 1182 pages
File Size : 52,5 Mb
Release : 2003
Category : Electronic journals
ISBN : 02615606

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Journal of International Money and Finance by Anonim Pdf

Earlier place of publication varies.

Author : Jeffrey A. Frankel,Giampaolo Galli,Alberto Giovannini
Publisher : University of Chicago Press
Page : 358 pages
File Size : 49,9 Mb
Release : 2009-05-15
Category : Business & Economics
ISBN : 9780226260235

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The Microstructure of Foreign Exchange Markets by Jeffrey A. Frankel,Giampaolo Galli,Alberto Giovannini Pdf

The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.

Author : Anonim
Publisher : Unknown
Page : 2252 pages
File Size : 44,8 Mb
Release : 2002
Category : Books
ISBN : STANFORD:36105111052903

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American Book Publishing Record by Anonim Pdf

Author : Lee Scott Redding
Publisher : International Monetary Fund
Page : 16 pages
File Size : 49,8 Mb
Release : 1996-09-01
Category : Business & Economics
ISBN : 9781451947960

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Noise Traders and Herding Behavior by Lee Scott Redding Pdf

Recent developments in financial economics have included many explorations into market microstructure, that is, the internal functioning of markets and the ways in which they provide liquidity to traders. An important contribution of this literature is that prices can deviate from their fundamental values. This paper describes models of imperfect liquidity and improperly processed information in financial markets, focusing on the noise trader and investor herding literature. The motivations for this line of research are presented, followed by a description of some of the major contributions and tests of some of their empirical implications.

Author : Anonim
Publisher : Unknown
Page : 48 pages
File Size : 46,7 Mb
Release : 1999
Category : Canada
ISBN : UCAL:$C94422

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Document de Travail by Anonim Pdf

Author : Mr.George S. Tavlas,Yusuru Ozeki
Publisher : International Monetary Fund
Page : 61 pages
File Size : 55,9 Mb
Release : 1991-01-01
Category : Business & Economics
ISBN : 9781451930993

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The Japanese Yen as an International Currency by Mr.George S. Tavlas,Yusuru Ozeki Pdf

The role of the Japanese yen as an international currency is assessed. It is found that the determinants of international-currency use imply some increase for the yen’s use in international finance; however, the implications for the yen’s use in international trade are mixed. It is also shown that, despite Japan’s emergence as the world’s largest net creditor nation, Japan’s capital outflows have not significantly facilitated the yen’s internationalization. Data are presented showing that, although the yen’s use as an international currency has increased, it is still rather modest. Wider use of the yen as a regional currency in Asia has occurred, though a “yen-zone” does not appear to be emerging.

Author : Pami Dua,Rajiv Ranjan
Publisher : OUP India
Page : 0 pages
File Size : 50,8 Mb
Release : 2012-04-05
Category : Business & Economics
ISBN : 0198077203

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Exchange Rate Policy and Modelling in India by Pami Dua,Rajiv Ranjan Pdf

This book provides a comprehensive analysis of the foreign exchange market in India in terms of participants, instruments and the trading platform, as also turnover and forward premia. It examines the role of exchange rates in the recent global financial crisis, and also develops an alternative forecasting model for the rupee-dollar exchange rate.

Author : Richard K. Lyons
Publisher : MIT Press (MA)
Page : 360 pages
File Size : 40,5 Mb
Release : 2001
Category : Business & Economics
ISBN : STANFORD:36105110412587

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The Microstructure Approach to Exchange Rates by Richard K. Lyons Pdf

Explaining the puzzling behavior of exchange rates using models from microstructure finance and data from electronic trading.