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Author: Mr.Peter B. Clark Publisher: International Monetary Fund ISBN: 1451936621 Category : Business & Economics Languages : en Pages : 40
Book Description
This paper investigates the consequences of exchange rate volatility on the variability of export prices and quantities in the presence of market segmentation and pricing to market. Firms stabilize destination prices through systematic price discrimination, limiting the degree of exchange rate pass-through. Consequently, the variability of exchange rates is not fully translated into prices and quantities at the point of destination. Empirical estimates using aggregate price data for the G-7 industrial countries show incomplete pass-through in variances, with considerable variation among these countries. U.S. industry specific data also indicate incomplete pass-through in most cases, with considerable variation across industries.
Author: Mr.Peter B. Clark Publisher: International Monetary Fund ISBN: 1451936621 Category : Business & Economics Languages : en Pages : 40
Book Description
This paper investigates the consequences of exchange rate volatility on the variability of export prices and quantities in the presence of market segmentation and pricing to market. Firms stabilize destination prices through systematic price discrimination, limiting the degree of exchange rate pass-through. Consequently, the variability of exchange rates is not fully translated into prices and quantities at the point of destination. Empirical estimates using aggregate price data for the G-7 industrial countries show incomplete pass-through in variances, with considerable variation among these countries. U.S. industry specific data also indicate incomplete pass-through in most cases, with considerable variation across industries.
Author: Takatoshi Ito Publisher: University of Chicago Press ISBN: 0226386899 Category : Business & Economics Languages : en Pages : 346
Book Description
Fluctuations of commodity prices, most notably of oil, capture considerable attention and have been tied to important economic effects. This book advances our understanding of the consequences of these fluctuations, providing both general analysis and a particular focus on the countries of the Pacific Rim.
Author: Mr.Lorenzo Giorgianni Publisher: International Monetary Fund ISBN: 1451849222 Category : Business & Economics Languages : en Pages : 21
Book Description
This paper presents a method to test the volatility predictions of the textbook asset-pricing exchange rate model, which imposes minimal structure on the data and does not commit to a choice of exchange rate “fundamentals.” Our method builds on existing tests of excess volatility in asset prices, combining them with a procedure that extracts unobservable fundamentals from survey-based exchange rate expectations. We apply our method to data for the three major exchange rates since 1984 and find broad evidence of excess exchange rate volatility with respect to the predictions of the canonical asset-pricing model in an efficient market.
Author: Bernhard Herz Publisher: ISBN: Category : Languages : en Pages : 37
Book Description
The microeconomic structure of foreign exchange markets can cause excessive volatility in flexible exchange rate regimes. The market entry of chartists changes the composition of the foreign exchange market and leads to excessive volatility. Our chartist model predicts a continuum of equilibria and an U-shaped relation between exchange rate volatility and the measured trend, which is supported by the empirical evidence. The data show a positive nonlinear relation between trend and volatility, as predicted by the model. In such a situation monetary policy may be able to smooth the exchange rate without changing macroeconomic fundamentals.
Author: Mr.Thomas Helbling Publisher: International Monetary Fund ISBN: Category : Business & Economics Languages : en Pages : 44
Book Description
This paper analyzes the recent behavior of real exchange rates, the trade balance and the net foreign asset position of the United States in an intertemporal optimizing model of the world economy that incorporates heterogeneity across countries and imperfect international capital and good markets. While the model successfully tracks the dynamics of trade balances and net foreign assets it generates too much consumption smoothing and excessively volatile relative prices. Resolving these inadequacies simultaneously is difficult as the elasticity of substitution between tradables and nontradables affects in opposite ways the degree of consumption smoothing and the volatility of relative prices.
Author: Sallem Koubida Publisher: ISBN: Category : Languages : en Pages : 132
Book Description
This dissertation investigates conditional volatility in both spot and futures markets. We examine two approaches in spot market. While A parametric approach is the subject of the second chapter, the third chapter focuses on a nonparametric approach. In futures currency markets, we develop a model to identify the origin of conditional volatility using different type of traders. First, we focus on developing currency markets to explore if the conditional volatility in these markets have characteristics particular to themselves and to what extent these foreign exchange markets (Forex) share the characteristics of the developed markets using parametric models. Therefore, this paper examines weather the statistical models best suited for forecasting volatility of currencies from the high income countries also perform best in forecast of volatility of currencies from emerging market countries. Second, this study aims to forecast the conditional variance of exchange rates in developing countries using a non-parametric kernel smoothing technique with three different kernels: Gaussian, Epanechnikov, and Quartic. The evaluation of the predictive ability based on Root Mean Square Error, Mean Absolute Error, and Mean Absolute Percent Error to forecast 1, 5, and 22 days into the future shows that Gaussian distribution performs the best in short horizon while the other distributions converge to the same outcome as normal distribution in longer horizon. Finally, we try to identify what group of traders (hedgers or speculators) contributes more to the price volatility in currency futures markets. We control for both expected and unexpected trading volume and open interest to estimate the effect of traders' positions on the price volatility of currency futures. We find that short positions have significant associations with the volatility of futures prices. Further, the expected effect of short positions by speculators tends to have a larger effect than the expected effect of short positions by hedgers on volatility while the unexpected effect of short position by hedgers is likely to have a larger effect than the unexpected effect of short positions by speculators.
Author: Arif Orçun Söylemez Publisher: Routledge ISBN: 1000357317 Category : Business & Economics Languages : en Pages : 83
Book Description
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: Mr.Peter B. Clark
Author: Mr.Peter B. Clark
Author: Takatoshi Ito
Author: Bart G. Turtelboom
Author: Mr.Lorenzo Giorgianni
Author: International Monetary Fund
Author: Bernhard Herz
Author: Mr.Thomas Helbling
Author: Sallem Koubida
Author: Piet Sercu
Author: Arif Orçun Söylemez