Three essays on international finance and international capital markets PDF Download

Author: Qiaoqiao Zhu
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Author: Mr.Mark P. Taylor
Publisher: International Monetary Fund
ISBN: 1451947038
Category : Business & Economics
Languages : en
Pages : 31

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This paper contains essays on sterilized intervention, on covered interest rate parity, and on chartist analysis in financial markets. Each essay contains a definition, brief survey of the empirical evidence and overall assessment of each topic.

Author: Michael R. Williams
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 204

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Author: Byong-Ju Lee
Publisher: Stanford University
ISBN:
Category :
Languages : en
Pages : 132

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This thesis consists of three essays on international finance. The first essay is "Exchange rates and Fundamentals". A new open interest rate parity condition that takes account of economic fundamentals is developed from stochastic discount factors (SDFs) of two countries. Through this parity condition, business cycles or fundamentals are linked to exchange rates. Key empirical findings from this parity condition are as follows. First, this model beats the random walk hypothesis: economic fundamentals explain exchange rate movements for high interest rate currencies. Exchange rates of low interest rate currencies act like a random walk because they are less correlated with fundamentals owing to their low risk. For example, U.S. business cycles explain the direction of changes in exchange rates against the dollar. The same thing is true for Japan. Second, this model resolves the forward premium puzzle: the forward premium puzzle is not a general characteristic as regarded in previous studies. It happens when the risk awareness of investors is low, during economic expansions and for low risk currencies. The second essay is "Carry Trade and Global Financial Instability". Carry trade, an opportunistic investment strategy that takes advantage of interest rate differential across countries, is identified the cause of the large-scale depreciations of peripheral currencies in the later half of 2008. A simultaneous equations model, which is derived from a conceptual partial equilibrium model for a local foreign exchange market, is estimated from a cross-sectional sample. The results suggest that the larger appreciation of the yen than the dollar was brought about by a lack of the local supply of the yen rather than a more severe crunch of yen credits. The third essay is "The Economic Origin of Letters of Credit". This essay discusses the economic origin of letters of credit, an instrument widely used in international trade. A game theoretical analysis shows that letters of credit improve efficiency in trade settlements, increasing returns in trade. A few notable facts on letters of credit are discussed. First, the new institution is adopted by merchant banks to maximize their profits and in the process, an improvement in efficiency of international transactions is obtained. Second, the organization established by the legacy institution, bills of exchange, played a critical role in adopting the new institution. Third, the legal enforcement is not essential in this economic institution. Finally, two drivers are identified that improve efficiency of transactions: concentration and projection.

Author: Birgit Charlotte Müller
Publisher: Springer Gabler
ISBN: 9783658354787
Category : Business & Economics
Languages : de
Pages : 147

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In this Open-Access-book three essays on empirical asset pricing in international equity markets are presented. Despite being of fundamental economic and scientific importance, international financial markets have remained considerably underresearched until today. In the first essay, the role of firm-specific characteristics is analyzed for the momentum effect to exist in international equity markets. The second essay investigates the validity, persistence, and robustness of the newly discovered capital share growth factor across international equity markets as proposed by Lettau et al. (2019) for the U.S. market. Lastly, the third and final essay studies stock market reactions of European vendor banks to distressed loan sale announcements.

Author: Lin Zhao
Publisher:
ISBN:
Category : Commodity futures
Languages : en
Pages : 206

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Author: Jose A. Gutierrez
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 164

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Author: Chien Nan Wang
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 386

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Author: Ling Feng
Publisher:
ISBN: 9781124315683
Category :
Languages : en
Pages :

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The dissertation studies two relevant topics in international financial markets. Why has the bias of equity portfolios towards domestic assets (the "equity home bias" puzzle) remained substantial? To what degree has the financial system as an independent source of uncertainty impacted the real economy, especially regarding the international trade? Chapter 1 proposes a dynamic stochastic general equilibrium (DSGE) model in which shocks to consumption tastes ("taste shocks") are an effective explanation for the equity home bias. The mechanism is that home assets provide a nice insurance property, which is not offered by foreign assets, for home agents to hedge against domestic taste shocks. The model finds that home equity bias positively relies on the persistence and the volatility of domestic taste shocks. Chapter 2 is devoted to presenting empirical evidence on the impacts of taste shocks on international portfolio allocations. The model described in Chapter 1 provides a structure with empirical implications, in that the equilibrium portfolio can be written as the sum of two conditional covariance-variance ratios based on a long-run horizon with all determinants observable. Using VAR estimation results, the empirical evidence suggests that models based on hedging against taste risks are more consistent with data than competing models based on labor income risks. Chapter 3, a joint work with Ching-Yi Lin, studies the impacts of credit crunch on the extensive margin and intensive margin of exports both empirically and theoretically. Panel regressions in the study reveal that a negative financial shock discourages exports by reducing the variety of goods exported as well as the export volume of each individual good. A DSGE model is developed to understand this finding, featuring financial shocks, enforcement constraint and firm entry. As the credit crunch happens, the costs of borrowing to finance firms' exports increase. It reduces individual firms' exports as well as aggregate exports and discourages firms' entry into the export market. The model can also explain the fact that trade dropped more than domestic production and GDP as observed in the most recent financial crisis.

Author: Elena V. Skouratova
Publisher:
ISBN:
Category : Petroleum industry and trade
Languages : en
Pages : 180

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