Essays on Monetary Coordination, Exchange Rate Volatility and Interfirm Networks PDF Download

Author: Qing Liu
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Shang-Jin Wei
Publisher:
ISBN:
Category :
Languages : en
Pages : 532

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Author: Nikolaos Antonakakis
Publisher:
ISBN:
Category :
Languages : en
Pages : 374

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This thesis explores a number of aspects of time series modelling of exchange rate volatility. After having reviewed the main modelling approaches used in the existing literature, the first key chapter investigates the best models for forecasting the volatility of daily exchange rate returns for a number of countries, including new results for a selection of developing countries. The superior performance of the FIGARCH model, noted in the recent literature, is confirmed in the case of industrialised countries, but the MARCH model results in substantial gains in insample estimation and out-of-sample forecasting performance when dealing with developing countries. The next essay investigates exchange rate volatility co-movements and spillovers before and after the launch of the Euro. This study has the advantage of a longer sample period than the most comparable papers. Key results are that the dominance of the Deutschemark in volatility transmission was succeeded by the dominance of the Euro following its launch, in that both exert unidirectional and persistent spillovers on the sterling, the Swiss franc and the Japanese yen. Further, there is evidence of greater stability in financial markets after the launch of the Euro in that conditional variances, covariances and correlations in exchange rate returns declined significantly. Finally the thesis turns to assessing the impact of official central bank interventions (CB1s) on exchange rate returns, their volatility and bilateral correlations. By exploiting the recent publication of intervention data by the Bank of England, this study is able to investigate interventions by a total number of four central banks, while the previous studies have been limited to three (the Federal Reserve, Bundesbank and Bank of Japan). The results of the existing literature are reappraised and refined. In particular, unilateral CBI is found to be more successful than coordinated CBI. The likely implications of these findings are then discussed.

Author: Kenneth Saul Rogoff
Publisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 328

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Author: Richard J. Herring
Publisher: Cambridge University Press
ISBN: 9780521311205
Category : Business & Economics
Languages : en
Pages : 254

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A collection of essays about foreign exchange risk and how to cope with it.

Author: Abelardo Salazar Neaves
Publisher:
ISBN:
Category :
Languages : en
Pages :

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This work comprises five chapters that explore in detail issues related to real exchange rate volatility and trade openness. In the case of real exchange rate volatility, we start with the decomposition of this measure to determine the relative contribution of traded and nontraded goods to the variance of the real exchange rate. We obtain evidence in favour of a relevant role for non-traded goods. Our estimation of the real exchange rate volatility is included in the second chapter. Our results, based on a cross-section regression, show that the existing link of openness to real exchange rate volatility is weaker when we control for imposed and natural trade barriers. At the same time we are able to obtain a relationship between inflation volatility and the variation of the real exchange rate. Chapters three and four are related to our real exchange rate volatility model. We decide to obtain a specication for openness that could help us explore in detail the idea of country characteristics aecting trade flows. Our rst approach considers a cross-section estimation to identify the factors that consistently aect trade openness. The second approach considers a more dynamic specication. We are able to establish a link between country characteristics and trade openness. At the same time our results capture interesting changes in the eects of the dependent variables on openness across time. The final chapter takes us back to the analysis of real exchange rate volatility. In this case, we explore which measure is the most appropriate amongst those calculated from series in levels and the ones in first dierences. We conclude that series that do not show less stationary behaviour require longer time series (more observations) in order to display results that close to the reference value.

Author: Kenneth S. Rogoff
Publisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 328

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Author: Helina Laakkonen
Publisher:
ISBN: 9789513936556
Category : Foreign exchange rates
Languages : en
Pages : 124

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Author: Anne Marjaana Mikkola
Publisher:
ISBN:
Category : International finance
Languages : en
Pages : 240

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Author: Hyung Suk Kim
Publisher:
ISBN: 9781267758071
Category :
Languages : en
Pages :

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Motivated by the existence of time-varying volatility in exchange rates, the paper investigates the effects of exchange rate volatility shocks on a small open economy. First, we use a high-frequency dataset to generate a volatility measure for the period, instead of the traditional moving average standard deviation of exchange rates. The structural VAR impulse responses utilizing the volatility measure yield more significant and robust reactions of real variables to a volatility shock. Consumption, ouput, investment and net export exhibit non-trivial decrease upon impact of the shock. On the contrary, an exchange rate level shock and the traditional volatility measure fail to generate robust impulse responses under different Cholseky orderings. Second, we develop a theoretical model based on a standard New Keynesian small open economy, which can replicate the effects of a volatility shock observed in the VAR result. We solve the model up to a third order approximation so that the solution includes an explicit time-varying volatility term. The model impulse responses exhibit that real variables respond to a volatility shock and they are qualitatively consistent with the VAR result. The underlying mechanism is precautionary saving. The result is sensitive to various parameters such as the openness parameter and the elasticity of inter-temporal substitution. Finally, we make a welfare analysis regarding the optimal monetary policy. Two types of welfare measures are used: the unconditional mean of utility and the conditional welfare. The conditional welfare suggests that policy makers should raise the interest rate when volatility increases. The seemingly counter-intuitive result is due to the fact that the conditional welfare measure reflects dynamic response of the agent throughout her life-cycle. Under the optimal policy suggested by the conditional welfare, the initial consumption adjustment is severe but agents work less and eventually enjoy a higher level of consumption from savings carried over from earlier periods.