Technical Trading, Monetary Policy, and Exchange Rate Regimes PDF Download

Author: Bernhard Herz
Publisher:
ISBN:
Category :
Languages : en
Pages : 31

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Book Description
The paper extends and empirically tests the noise trader exchange rate model of Jeanne and Rose (2002). We introduce technical trading in the exchange market as a source of noise and explicitly incorporate monetary and exchange rate policy. With these modifications it is possible to directly test the model's prediction of an U shaped relation between exchange trend and volatility. We find strong empirical evidence supporting the implications of the model. As a corollary we develop a measure of excess exchange rate volatility and categorize exchange rate regimes based on the de facto behavior of the exchange rates.The paper extends and empirically tests the noise trader exchange rate model of Jeanne and Rose (2002). We introduce technical trading in the exchange market as a source of noise and explicitly incorporate monetary and exchange rate policy. With these modifications it is possible to directly test the model's prediction of an U shaped relation between exchange trend and volatility. We find strong empirical evidence supporting the implications of the model. As a corollary we develop a measure of excess exchange rate volatility and categorize exchange rate regimes based on the de facto behavior of the exchange rates.

Author: Mr.Charalambos G. Tsangarides
Publisher: International Monetary Fund
ISBN: 145196319X
Category : Business & Economics
Languages : en
Pages : 46

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Book Description
This paper examines the impact of exchange rate regimes on bilateral trade while differentiating the effects of "words" and "deeds". Our findings-based on an extended database for de jure and de facto exchange rate classifications-show that while fixed exchange rate regimes increase trade, there is no systematic difference in the effects of policy announcements versus actions to maintain exchange rate stability. The trade generating effect of more stable exchange rate regimes is however more pronounced when words and actions are aligned, both in the short and long-run. Policy credibility therefore plays an important role in determining the effects of de jure and de facto exchange rate arrangements such that deviations between the two could be costly. In addition, we find evidence that (i) the impact of hard pegs such as currency unions is broadly similar to that of conventional pegs; (ii) the currency union and direct peg effects evolve over time; and (iii) the effects of more stable regimes are heterogeneous across country groups.

Author: United States. Congress. House. Committee on Financial Services. Subcommittee on Domestic and International Monetary Policy, Trade, and Technology
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 120

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Author: Olivier Jeanne
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 52

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Book Description
Both the literature and new empirical evidence show that exchange rate regimes differ primarily by the noisiness of the exchange rate, not be measurable macroeconomic fundamentals. This motivates a theoretical analysis of exchange rate regimes with noise traders. The presence of noise traders can lead to multiple equilibria in the foreign exchange market. The entry of noise traders both create and share the risk associated with exchange rate volatility. In such circumstances, monetary policy can be used to lower exchange rate volatility without altering macroeconomic fundamentals.

Author: Jessica James
Publisher: John Wiley & Sons
ISBN: 1118445775
Category : Business & Economics
Languages : en
Pages : 674

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Book Description
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: Eliana Cardoso
Publisher: American Univ in Cairo Press
ISBN: 9789771727590
Category : Business & Economics
Languages : en
Pages : 362

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Book Description
Monetary Policy and Exchange Rate Regimes: Options for the Middle East examines some of the most pressing issues facing policymakers today. The authors offer answers to such questions as: Are the choices of exchange rate regime limited to hard fixing or fully floating? Are capital flight and banking crises avoidable? What is the best way to coordinate monetary and fiscal policies? The answers to these questions draw on the vast literature available on these topics as well as the lessons learned from recent crises, especially in East Asia and Latin America. Beside its broad coverage, this volume includes rich analyses on specific countries of the Middle East. It merits a wide readership, but policymakers seeking to achieve macroeconomic stability and growth will find it particularly useful.

Author: Atish R. Ghosh
Publisher: MIT Press
ISBN: 9780262072403
Category : Business & Economics
Languages : en
Pages : 252

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Book Description
An empirical study of exchange rate regimes based on data compiled from 150 member countries of the International Monetary Fund over the past thirty years. Few topics in international economics are as controversial as the choice of an exchange rate regime. Since the breakdown of the Bretton Woods system in the early 1970s, countries have adopted a wide variety of regimes, ranging from pure floats at one extreme to currency boards and dollarization at the other. While a vast theoretical literature explores the choice and consequences of exchange rate regimes, the abundance of possible effects makes it difficult to establish clear relationships between regimes and common macroeconomic policy targets such as inflation and growth. This book takes a systematic look at the evidence on macroeconomic performance under alternative exchange rate regimes, drawing on the experience of some 150 member countries of the International Monetary Fund over the past thirty years. Among other questions, it asks whether pegging the exchange rate leads to lower inflation, whether floating exchange rates are associated with faster output growth, and whether pegged regimes are particularly prone to currency and other crises. The book draws on history and theory to delineate the debate and on standard statistical methods to assess the empirical evidence, and includes a CD-ROM containing the data set used.

Author: Gleb P. Severov
Publisher: Nova Publishers
ISBN: 9781600211034
Category : Business & Economics
Languages : en
Pages : 286

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Book Description
International finance is the branch of economics that studies the dynamics of exchange rates, foreign investment, and how these affect international trade. In a globalising world, the policies of various central banks and similar institutions impact large and small players alike. This book presents new and important research on issues of interest in international finance and monetary policy.

Author: Derek Howard Aldcroft
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 232

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Book Description
Provides an account of the evolution of exchange rate regimes in the 20th century, in chronological, non-technical format. Links between the past and present shed light on the merits of different exchange rate systems. Discusses forces that have brought about change in order to determine how different regimes affected the economic environment, considers the merits or otherwise of the respective regimes, and assesses arguments for and against fixed and floating exchange ratesAnnotation copyrighted by Book News, Inc., Portland, OR

Author: Mrs.Gilda Fernandez
Publisher: International Monetary Fund
ISBN: 1589064763
Category : Business & Economics
Languages : en
Pages : 29

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Book Description
A growing number of countries are adopting flexible exchange rate regimes because flexibility offers more protection against external shocks and greater monetary independence. Other countries have made the transition under disorderly conditions, with the sharp depreciation of their currency during a crisis. Regardless of the reason for adopting a flexible exchange rate, a successful transition depends on the effective management of a number of institutional and operational issues. The authors of this Economic Issue describe the necessary ingredients for moving to a flexible regime, as well as the optimal pace and sequencing under different conditions.