This thesis contributes to knowledge concerning the volatility and forecasting of exchange rates in the emerging world. It investigates the exchange rates of the leading trading blocs in that part of the world. This thesis examines exchange rates of selected emerging countries across continents and fills gaps in the literature pertaining to local and regional analyses of exchange rates, with an investigation of the determinants of their fluctuations in selected common markets in Africa, Asia, Central and Latin America. Exchange rates of countries from the four different regions are investigated separately, followed by an analysis within and across regions to identify common patterns of exchange rates fluctuations. Monthly forecasts are generated for a period of 24 months to test the performance of the times series, cointegration and combination techniques used in this thesis. The results show that exchange rates of countries in the same region behave similarly following a shock to the system. Additionally, exchange rates of countries at the same stage of development albeit in different geographical location (Central America, Southern Africa, Latin America and Southeast Asia) share some similarities. This thesis found that all exchange rates examined have been volatile. Furthermore, asymmetric volatility was particularly relevant in the modelling process mainly for countries that suffered from the aftermath of a financial or debt crisis, especially in Asia and Latin America. Exponential smoothing time series models provided the most accurate forecasts for the sampled exchange rates, while combination models outperformed single time series models in about 70% of the cases. ARDL cointegration models had limited success in the forecasting exercise but were particularly relevant as a composite method and were the best performing models when combined with time series techniques.

Το ζήτημα, αν οι συναλλαγματικές αγορές διέπονται από αποτελεσματικότητα, έχει απασχολήσει κατά καιρούς πολλούς μελετητές και η διερεύνησή του έχει οδηγήσει σε αντικρουόμενα συμπεράσματα. Στη συγκεκριμένη εργασία αναπτύσσουμε την έννοια της αποτελεσματικότητας των συναλλαγματικών αγορών σε θεωρητικό επίπεδο, παρουσιάζοντας βασικές έννοιες και ορισμούς που απαιτούνται για να γίνει κατανοητό το αντικείμενο ανάλυσης και στη συνέχεια προχωρούμε σε εμπειρική διερεύνηση των όσων έχουμε αναπτύξει. Στα πλαίσια της εμπειρικής ανάλυσης, πιο συγκεκριμένα, ελέγχουμε αν οι αγορές συναλλάγματος των ΗΠΑ, της Μεγ. Βρετανίας, του Καναδά και της Ιαπωνίας σε σχέση με το Ευρώ είναι αποτελεσματικές, αν δηλαδή οι προθεσμιακές ισοτιμίες είναι αμερόληπτες εκτιμήτριες των άμεσων συναλλαγματικών ισοτιμιών. Το 1ο βήμα της ανάλυσής μας, μάς οδηγεί στην απόρριψη της υπόθεσης αποτελεσματικότητας για τις συγκεκριμένες αγορές. Την αναποτελεσματικότητα που εμφανίζεται προσπαθούμε να την ερμηνεύσουμε με ένα νέο όρο, τον οποίο ονομάζουμε πριμ κινδύνου. Αξιοσημείωτη είναι η προσέγγιση που γίνεται για το νέο αυτό όρο στο 2ο και 3ο βήμα της ανάλυσής μας με τη μέθοδο των instrumental variables, βασιζόμενοι στο άρθρο των Tzavalis και Wickens (1997): “Explaining the Failures of the Term Spread Models of The Rational Expectations Hypothesis of the Term Structure”. Και πάλι, όμως αν και παρατηρούμε κάποια ενδεικτική βελτίωση στις εκτιμήσεις μας, η υπόθεση αποτελεσματικότητας εξακολουθεί να μη γίνεται δεκτή. Η εργασία περιλαμβάνει την εισαγωγή και οκτώ κύρια κεφάλαια από τα οποία τα τρία πρώτα αναπτύσσουν τις ευρύτερες έννοιες της αποτελεσματικότητας και των συναλλαγματικών αγορών και στο τέταρτο κεφάλαιο αναφέρονται οι σημαντικότερες εμπειρικές έρευνες που έχουν δημοσιευθεί από το 1980 και ύστερα. Στα επόμενα κεφάλαια, αφού παρουσιάζεται αρχικά το θεωρητικό υπόβαθρο που απαιτείται για να γίνει κατανοητή όλη η ανάλυση που ακολουθεί, προχωρούμε στην εμπειρική διερεύνηση και στα αποτελέσματα που προκύπτουν από αυτή. Τέλος, στο όγδοο κεφάλαιο παραθέτουμε τα τελικά μας συμπεράσματα και ακολουθεί η Βιβλιογραφία . / The question, whether the exchange markets are conditioned by effectiveness, has occupied occasionally a lot of researchers and its investigation has led to controversial conclusions. In this work we develop the significance of effectiveness of exchange markets in theoretical level, presenting basic concepts and definitions that are required in order to become clear the object of analysis. Then we advance in empiric investigation of what we have developed. In the frames of empiric analysis, we check whether the exchange markets of USA, G. Britain, Canada and Japan concerning to Euro are effective. The first step of our analysis, lead us to reject the affair of effectiveness for the particular markets. We then try to interpret the inefficiency that is presented with a new term, named “danger bonus”. Remarkable is the approach for this new term in the 2nd and 3rd step of our analysis with the instrumental variables method, based on the article Tzavalis και Wickens (1997): “Explaining the Failures of the Term Spread Models of The Rational Expectations Hypothesis of the Term Structure”. However, even if we observe certain indicative improvement in our estimates, the affair of effectiveness is still non acceptable. This work includes an introduction followed by eight chapters from which the first three develop the wider significances of effectiveness and exchange markets and in the fourth chapter are reported the more important empiric researches that have been published from 1980 and later. In the next chapters, initially we present the theoretical background for the analysis that follows, we then advance in the empiric investigation and in its outcomes. Finally, in the eighth chapter we produce our final conclusions followed by the bibliography.

The objective of this thesis is to assess the current state of exchange rate modelling and forecasting. The thesis has four distinct essays, each one analysing a current interest topic in this wide and vibrant area of economic research. But a common thread runs through all four: to determine whether it is possible to use the results of this research to develop trading strategies that can add persistent value to international investment portfolios with significant exposure to the foreign exchange market. This market has a daily turnover of $1.9 trillion (BIS, 2004) and is the most liquid financial exchange in the world, by some distance. Nonetheless, we argue that the market is also inefficient, in the sense that profitable trading opportunities persist and that prices do not reflect all available public information on a continuous basis. If we are correct-and we present simulation results that suggest we are-then the opportunity to derive and test plausible trading rules for the management of international investment portfolios though rigorous academic research is enormous. Yet all too often academic exchange rate research appears to be conducted in a cocoon, with the result that conclusions are sometimes difficult to apply in a practical context by portfolio managers. These difficulties reflect the computational requirements of implementing highly intensive trading strategies, associated trading costs and size limitations, and the practical limitations on implementation raised by publication lags and general data limitations. We aim to address these difficulties throughout this thesis. By assessing the merits of various theoretical models that collectively encompass all of the main themes on the current research agenda, we will be in a position to appreciate both the statistical and economic value of existing academic research, isolating areas of real merit for the investment community, and suggesting areas for further attention.

La présente thèse étudie le cheminement récent de l’économie mauritanienne avec un accent particulier sur les volets relatifs aux politiques choisies pour la gestion du régime de change. La période concernée par cette recherche va de l’indépendance du pays en 1960 jusqu’à la fin de 2013, année au cours de laquelle le pays a mis fin à une succession de programmes d’ajustement structurel entamée une vingtaine d’années plutôt avec le concours du fonds monétaire international et la banque mondiale. Nous avons montré les principales étapes de la politique de change mise en place par les gouvernements successifs avec une tentative d’évaluation des résultats obtenus. La recherche apporte – après avoir figé les contours théoriques de la littérature qui traite du régime de change et établi une rétrospective sur les choix économiques opérés par le pays – des éclairages sur la pertinence des approches suivies par les autorités pour faire face aux défis posés dans ce domaine. Le travail explique à la fois les raisons, et les méthodes utilisées par les dirigeants, pour contourner les impératifs liés à la gestion économique et financière orthodoxe qui a été convenue avec les partenaires au développement. Ce contournement s’est traduit, entre autres, par des dysfonctionnements importants sur le marché de change avec la naissance, et le développement, d’un marché parallèle devenu avec le temps, particulièrement dynamique et important. La thèse analyse les conséquences de ce phénomène et étudie les circonstances dans lesquelles il a été élucidé et corrigé. / This thesis examines the recent progress of the Mauritanian economy with a particular focus on the policy aspects chosen for the management of the exchange rate regime. The period covered by this research ranges from the independence of the country in 1960 to the end of 2013, the year in which the country ended a succession of structural adjustment programs that began around 20 years ago with the support of the International Monetary Fund and the World Bank. We have shown the key steps of the exchange rate policy put in place by successive governments with an attempt to assess the achieved results. The research brings - after having frozen the theoretical outlines of the literature that addresses the exchange rate regime and established a retrospective on the economic choices made by the country - insights into the adequacy of approaches taken by the authorities to face the challenges posed in this domain. The work explains both the reasons and the methods used by leaders to circumvent the imperatives linked to orthodox economic and financial management that has been concluded with development partners. This circumvention has led, among other things, to major dysfunctions in the foreign exchange market with the birth and development of a parallel market that has become particularly dynamic and important over time. The thesis analyzes the consequences of this phenomenon and studies the circumstances in which it has been elucidated and corrected.

The thesis comprises three essays, all of which are empirical studies of different issues on exchange rates. Implementing advanced econometrics methodologies with monthly time series data, these studies focus on macroeconomic determinants to measure the relationships within the variables. The first essay (Chapter Two) re-examines the robustness of the export-led growth hypothesis across the exchange rate regimes in Malaysia. According to the exchange rate regime history, Malaysia experienced three different exchange rate mechanisms from 1990 to 2010. Generally, the results vary across the time and regimes. Specifically, the study suggests bi-directional and/or unidirectional causality between exports and economic growth across the regimes, both in the short-run and long-run. The second essay (Chapter Three) tries to bridge the gap between the exchange rate issues by investigating the impact exchange rate exposure on sector level in Malaysia from October, 1992 to December, 2010. The purpose of this study is to examine the impact of the exchange rate exposure in Malaysia sectorial returns by using an augmented model. Overall, in all instances, the results suggest that the exchange rate exposures in Malaysia can be categorized as the long memory in the volatility process. After investigating currency exposure in two types of models, the results further suggest that the sectors are largely affected by the currency fluctuations. The third essay (Chapter Four) explores the channels and magnitude of exchange rate volatility-export nexus empirically on the export flow of five ASEAN countries namely, Singapore, Malaysia, Thailand, Philippines and Indonesia to the United States from January, 1990 to December, 2010. The major results show that increases in the volatility of the real bilateral exchange rate, exert significant effects upon export demand in the short run in each of the ASEAN countries. This study further suggests significant negative effects from the bilateral exchange rate volatility of exports flow in Singapore, Malaysia and Philippines. However, these findings do not apply to Indonesia and Thailand.

This thesis aims to examine a number of issues related to exchange rate movements at different time horizons: long-run, in terms of investigating equilibrium real exchange rates; medium-run, in terms of investigating predictability of exchange rates in out-of-sample forecasting contexts; and short-run, in terms of studying high-frequency exchange rate dynamics in the actual foreign exchange trading. Specifically, we reassess four topics concerning exchange rate movements through macroeconomic fundamental analysis and microstructure approaches to exchange rates. With macro approaches, our study demonstrates, in a panel data setting, the link between real exchange rates and net foreign asset could be through the association between real exchange rates and trade balance. The panel study indicates the heterogeneity, in terms of the association between real exchange rates and trade balance, between the OECD economies and less mature economies. Our study on the monetary exchange rate model indicates the monetary model can describe the long-run behaviour of nominal exchange rates. Furthermore, we find the short-term exchange rate deviation adjustments to equilibrium and nonlinearities involved in the association between exchange rates and monetary fundamentals. With micro approaches, our study demonstrates, in short run, order flow has a significant impact on the contemporaneous exchange rate dynamics. However, we observe the prediction of order flow on the future exchange rate is quite weak. Our study also finds the weak interaction between macro news and private information in the exchange rate volatility study.

In this paper we estimate the short-term and long-term relationship between stock prices and exchange rates for the sample of US and Asian markets during the period 2004 – 2014. Monetary variables include money supply, interest rates, foreign exchange rates, and the consumer price index. All the data are monthly indices and have been examined using multivariate co integration analysis and Granger causality analysis. The empirical analysis employed provides evidence of a positive co-integrating short- run relationship between these variable with Granger causality found to run from stock prices to the exchange rate during the sample period in Japan. For US, significant relationships were not been established. The results for Japan confirm the conclusion of other studies that stock returns are significant predictors of short – run exchange rate movements especially in period of financial crisis. We also apply LS model in order to estimate a linear regression. / Στην εργασία αυτή θα εκτιμηθεί η βραχυπρόθεσμη και μακροπρόθεσμη σχέση μεταξύ των τιμών των μετοχών και των συναλλαγματικών ισοτιμιών για το δείγμα των αμερικανικών και ασιατικών αγορών κατά την περίοδο 2004-2014. Νομισματικές μεταβλητές περιλαμβάνουν την προσφορά χρήματος, τα επιτόκια, τις συναλλαγματικές ισοτιμίες και τον δείκτη τιμών καταναλωτή. Όλα τα στοιχεία είναι μηνιαία και έχουν εξεταστεί σύμφωνα με πολυπαραγοντική ανάλυση και την ανάλυση της αιτιότητας. Η εμπειρική ανάλυση που χρησιμοποιείται παρέχει απόδειξη της θετικής σχέσης μεταξύ αυτών των μεταβλητών με Granger αιτιότητα από τις τιμές των μετοχών προς την συναλλαγματική ισοτιμία κατά τη διάρκεια της περιόδου του δείγματος στην Ιαπωνία. Για την Αμερική, σημαντικές σχέσεις δεν έχουν τεκμηριωθεί. Τα αποτελέσματα για την Ιαπωνία επιβεβαιώνουν το συμπέρασμα άλλων μελέτών ότι οι αποδόσεις των μετοχών είναι σημαντικοί παράγοντες πρόβλεψης των βραχυπροθεσμων διακυμανσεων των συναλλαγματικών ισοτιμιών,ιδίως σε περίοδο οικονομικής κρίσης. Μπορούμε επίσης να εφαρμόσουμε το μοντέλο LS, προκειμένου να εκτιμηθεί μια γραμμική παλινδρόμηση.

We investigate the practical use of Taylor-type rules in Trinidad and Tobago, which is in the process of implementing market based monetary policy and seeks to implement flexible inflation targeting in the presence of a managed exchange rate. This is motivated by the idea that normative Taylor rules can be shaped by the practical experience of developing countries. We find that the inflation – exchange rate nexus is strong, hence the country may be unwilling to allow the exchange rate to float freely. We contend that despite weak market development the Taylor rule can still be applied as the central bank is able to use moral suasion to achieve full pass through of the policy rate to the market rate. Our evidence rejects Galí and Monacelli’s (2005) argument that the optimal monetary policy rule for the open economy is isomorphic for a closed economy. Rather, our evidence suggests that the rule for the open economy allows for lower variability when the rule is augmented by the real exchange rate as in Taylor (2001). We also reject Galí and Monacelli’s (2005) hypothesis that domestic inflation is optimal for inclusion in the Taylor-type rule. Instead we find that core CPI inflation leads to lower variability. Additionally, our evidence suggests that the monetary rule, when applied to Trinidad and Tobago, is accommodating to the US Federal Reserve rate. Further, we expand the work of Martin and Milas (2010) which considered the pass through of the policy rate to the interbank rate in the presence of risk and liquidity. By extending the transmission to the market lending rate, we are able to go beyond those disruptive factors by considering excess liquidity and spillovers of international economic disturbances. We found that these shocks are significant for Trinidad and Tobago, but it is not significant enough to disrupt the pass through. As a result, full pass through was robust to the presence of these disruptive factors.

Ο σκοπός αυτής της εργασίας είναι να εξετάσει σε ποιό βαθμό τα δώδεκα νέα κράτη μέλη (ΝΚΜ)της ΕΕ είναι έτοιμα να ενταχθούν στην ΟΝΕ. Αρχικά, αναφέρονται γενικά τα κριτήρια των άριστων νομισματικών περιόχών (ΑΝΠ) και έπειτα η σχετική βιβλιογραφία για τα ΝΚΜ. Έπειτα, ακολουθεί μια περιγραφική ανάλυση της ανοιχτότητας του εμπορίου και της διαχρονικής πορείας του κατα κεφαλήν προϊόντος των ΝΚΜ. Τέλος,εξετάζεται ο βαθμός σύγκλισης των οικονομικών κύκλων των 12 ΝΚΜ με της Ευρωζώνης και ελέγχονται οι υποθέσεις της ενδογένειας και της β-σύγκλισης αυτών των χωρών. / The aim of this study is to examine in what extent the twelve new member states (NMS)of EU are ready to join the EMU. Firstly, it is refered to the optimum currency area (OCA) criteria in general and to the relative bibliography for the NMS. Secondly, it is presented a descriptive analysis of the openness of the trade and of the time path of the per capita product of NMS. Finally, it is examined the extend of convergence of business cycles of the 12 NMS to the Eurozone and the hypotheses of endogeneity and beta-convergence for these countries.