Ph.D. (Economics) / Please refer to full text to view abstract

M.Comm. (Economic Development and Policy Issues) / The response of the trade balance to changes in currency movements has gained increasing interest among researchers, especially since the fall of the Bretton Woods system. Previous empirical studies that examined the response of the trade balance to exchange rate changes in South Africa employed aggregate trade data and provided mixed results. This dissertation uses disaggregated data with specific focus on the manufacturing sector. The purpose is to investigate the short and long run effects of the real exchange rate of the rand on the South African manufacturing trade balance by adopting the elasticity approach of balance of payments adjustment. Using quarterly data from 1995 to 2010, the study seeks to test the existence of the J-curve effect and to show whether the Marshal–Lerner condition holds in the manufacturing sector. Johansen cointegration and vector error correction modelling techniques are employed in attaining the objectives of this study. In addition, impulse response functions are used to determine how the manufacturing trade balance responds following shocks in its main determinants. The results show that real effective exchange rate (REER), real domestic and foreign income levels are important long run determinants of the manufacturing trade balance, and that a long run equilibrium relationship exists among these variables. A long run negative relationship was found between the trade balance and the REER and between the trade balance and real domestic income. In contrast, real foreign income was found to be positively related to the domestic manufacturing trade balance in the long run. The short run model reveals that a depreciation in the domestic currency results in a deterioration in the manufacturing trade balance. This, together with the long run findings, suggests evidence of the existence of the J-curve in the South African manufacturing trade balance. The long run dynamics suggest that the Marshal–Lerner condition holds. This dissertation found evidence that a depreciation of the rand is necessary to improve the manufacturing trade balance.

M.Com. (Economics) / This dissertation offers an evaluation of the performance of purchasing power parity (PPP) and the monetary approach as explanations of rand exchange rate behaviour over the last three decades. The theory of purchasing power parity is examined in detail. Thereafter purchasing power parity is combined with the quantity theory of money placing the theory in the broader context of the monetary approach. A modified monetary model illustrating exchange rate overshooting in the short-run and adjustment to PPP in the long-run is then examined in some detail. Chapter 4 presents an overview of the: empirical evidence on PPP and the monetary approach from industrialized countries and developing nations. Results are generally mixed but there does appear to be some strong support for PPP holding in the (very) long run in the case of the currencies of industrialized countries. However, it has proven very difficult to reconcile the persistence of deviations from PPP over the short to medium term with the theory of long-run purchasing power parity. This is known as, the purchasing power parity puzzle and is particularly evident for floating exchange rate regimes of industrialized countries. Studies of developing nation currencies are less supportive of PPP. However, much more research needs to be done before any firm conclusions can be made regarding exchange rate behaviour in developing countries...

M.Comm. (Financial Economics) / In this study, the equilibrium exchange rate path of the rand/dollar real exchange rate between 1994 and the second quarter of 2011 is estimated. This is done by employing a number of methods, namely, Fundamental Equilibrium Exchange Rates (FEER), Behavioural Equilibrium Exchange Rates (BEER), Natural Real Exchange Rate (NATREX) and the Corbae-Oularis filter method. What stands out in the study is that all of the methods lead to results that are close in proximity, with the Corbae-Oularis method as an exception. In the study it is established that during the period when the ZAR.USD real exchange rate was

Existing literature reports a puzzle about the forward foreign exchange rate premium over the spot foreign exchange rate. The premium is often negatively correlated with subsequent changes in the spot rate, which is considered to defy economic intuition and possibly violate market efficiency. Rational explanations include non-stationary risk premia and econometric misspecifications, and the puzzle as a guide to profitable trading. Actually, the puzzle consists of three aspects of anomalies: volatility, persistence, and unbiasedness. The puzzle has not yet solved fully thus far. / In the latter part of the thesis, we try to explore the behavioral aspects of the investors in the foreign currency markets (spot and forward markets). We discuss asset prices in an economy where investors derive direct utility from their consumption and adjust their utility based on the concept of habit formation and "catching up with Joneses", therefore explaining thus far the formidable unbiasedness anomaly to a certain extent. Simulation results exhibit properties similar to what has been observed in historical data. / This thesis suggests firstly that there may be no real puzzle. A simple model fits the data. Starting from examining the relations between the excess return of speculation in foreign currency forward markets and the change rates of the return rate on equity (stock) portfolio and the change rate of futures price on stock index as well as foreign currencies where the stock markets and futures market are active, publicly traded, and highly transparent markets, the source of the risk premia in the future change in spot rate has been analyzed in detail. We believe that the panel data analysis is in place for the puzzle based on its nature. In this thesis we find that the future change in spot foreign exchange rate correlate with both forward premium and especially the change rate in stock index or the change rate of futures settlement price on the stock index or on the currencies, which implies that the investors compare and employ the profitable opportunities across financial markets not just act in only one market such as just foreign exchange forward market, thus maximizing the utility or efficiency of their funds. In addition, the change rate of futures price has rather impacts on the excess return of speculation in forward currency markets, thus establishing the relation between OTC markets and publicly traded markets of foreign exchange. / Tan Yue. / "January 2007." / Adviser: Jia He. / Source: Dissertation Abstracts International, Volume: 68-09, Section: A, page: 4006. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references. / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [201-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract in English and Chinese. / School code: 1307.

This paper shows the important role of government in determining the behavior of firms in emerging markets by focusing on their response to exchange-rate exposure. We measure the foreign exchange-rate exposure of Korean firms and investigate into its determinant factors. Our results show that around 15 percent of the firms have significant exposure and there exists a structural shift of the firms' exposure during our experimental period. In the earlier subperiod, firms tend to have positive exposure while in the later subperiod firms tend to have negative one. Our results also show the significant role of government intervention when Korean firms deal with their exchange-rate exposure. Firms with more government intervention tend to over-invest and care less about their exposure. As a result, firms with more government intervention tend to expose more. Our results also show that chaebol firms usually have lower exposures. It can, at least partly, be attribute to size effect because those firms tend to be large firms. The evidences uncovered in this paper are very different from the existing studies based on developed countries. / Yan Hong-jun. / Adviser: Jia He. / Source: Dissertation Abstracts International, Volume: 62-09, Section: A, page: 3138. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (p. 56-59). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / School code: 1307.

by Mak Nak Keung. / Bibliography: leaves 143-148 / Thesis (M.Phil.) -- Chinese University of Hong Kong, 1983

by So Wai-man, Raymond. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1991. / Bibliography: leaves 294-302. / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.vi / LIST OF FIGURES --- p.xii / LIST OF APPENDICES --- p.xvi / ACKNOWLEDGEMENT --- p.xvii / CHAPTER / Chapter I. --- INTRODUCTION --- p.1 / Importance of Real Exchange Rate Movement --- p.1 / Concepts and Hypotheses --- p.2 / The Purchasing Power Parity (PPP) Doctrine --- p.2 / Real Exchange Rate --- p.6 / Long Run Economic Series --- p.9 / Conclusion --- p.10 / Chapter II. --- LITERATURE REVIEW --- p.11 / Introduction --- p.11 / Literatures In Purchasing Power Parity --- p.12 / Literatures In Real Exchange Rates --- p.18 / Conclusions --- p.23 / Chapter III. --- METHODOLOGY --- p.25 / Introduction --- p.25 / Construction of Real Exchange Rate --- p.25 / Economic Time Series & Stationarity --- p.29 / Box-Jenkins Models --- p.32 / Autoregressive (AR) Models --- p.33 / Moving Average (MA) Models --- p.34 / Autoregressive Moving Average (ARMA) Models --- p.35 / Autoregressive Integrated Moving Average (ARIMA) Models --- p.35 / Random Walk Hypothesis --- p.36 / Unit Root Tests --- p.37 / The Dickey-Fuller Test --- p.38 / The Augmented Dickey-Fuller Test --- p.39 / The Sims Test --- p.40 / Hypothesis --- p.42 / The Dickey-Fuller Test --- p.42 / The Augmented Dickey-Fuller Test --- p.42 / The Sims Test --- p.43 / Conclusions --- p.44 / Chapter IV. --- EMPIRICAL RESULTS --- p.45 / Description of Data and Movement of Real Exchange Rates --- p.45 / Tentative AR(1) Models for Real Exchange Rates --- p.48 / Original Series: Whole Period --- p.49 / Original Series: Fixed Rate Period --- p.49 / Original Series: Floating Rate Period --- p.50 / Logarithmic Series: Whole Period --- p.50 / Logarithmic Series: Fixed Rate Period --- p.51 / Logarithmic Series: Floating Rate Period --- p.51 / The Dickey-Fuller Test Statistics --- p.52 / The Augmented Dickey-Fuller Test Statistics --- p.56 / The Sims Test Statistics --- p.59 / Summary of Empirical Results --- p.62 / Chapter V. --- SUMMARY AND CONCLUSIONS --- p.64 / Highlights of the Findings of this Study --- p.64 / Policy Implications --- p.65 / Conclusions --- p.66 / Limitations --- p.67 / APPENDICES --- p.68 / BIBLIOGRAPHY --- p.294

by Hou Ka Chun. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 89-95). / Abstracts in English and Chinese. / LIST OF TABLES --- p.vii / LIST OF ILLUSTRATIONS --- p.viii / CHAPTER / Chapter I --- INTRODUCTION --- p.1 / Chapter II --- REVIEW OF THE LITERATURE --- p.6 / Monetary Models / Nominal Exchange Rate Prediction / Nonparametric Estimation Techniques / Chapter III --- METHODOLOGY --- p.17 / Unit-Root Tests / Zivot-Andrews Test / Error Correction Model / Autoregressive Distributed Lag (ARDL) Approach to Cointegration / Local Polynomial Fitting / Chapter IV --- DATA --- p.36 / Chapter V --- PARAMETRIC MODELING --- p.39 / Estimation Procedure / Empirical Findings / Japan / Germany / Britain / Chapter VI --- NONPARAMETRIC MODELING --- p.50 / Estimation Procedure / Empirical Findings / Chapter VII --- CONCLUSION --- p.54 / TABLES --- p.56 / ILLUSTRATIONS --- p.77 / BIBLIOGRAPHY --- p.89

by Wai-Man Leung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 107-112). / Abstract also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Problems of Cointegration Analysis --- p.1 / Chapter 1.2 --- Contributions of this Research --- p.2 / Chapter 1.3 --- Applications of this Research --- p.3 / Chapter 1.4 --- Organization of this Thesis --- p.3 / Chapter 2 --- Foreign Exchange Features --- p.5 / Chapter 2.1 --- Spot Exchange Rate Markets --- p.5 / Chapter 2.2 --- Development of International Monetary System --- p.6 / Chapter 2.3 --- Determinants of Foreign Exchange Rates --- p.7 / Chapter 2.4 --- Description of Foreign Exchange Data --- p.9 / Chapter 3 --- Literature Overview --- p.17 / Chapter 3.1 --- Model Selection --- p.17 / Chapter 3.2 --- Line and Curve Detection......................................................' --- p.20 / Chapter 3.3 --- Concluding Remarks --- p.23 / Chapter 4 --- Regression by Minor Component Analysis --- p.24 / Chapter 4.1 --- Regression by Ordinary Least Squares --- p.24 / Chapter 4.2 --- Regression by Total Least Squares --- p.27 / Chapter 4.3 --- The comparison of PCA and MCA --- p.28 / Chapter 4.4 --- Experiment 4A : Regression on Artifical Data --- p.29 / Chapter 4.5 --- Experiment 4B : Regression on FX Data --- p.30 / Chapter 4.6 --- Concluding Remarks --- p.32 / Chapter 5 --- Cointegration Test by Minor Component Analysis --- p.33 / Chapter 5.1 --- Concept of Cointegration --- p.33 / Chapter 5.2 --- MCA Based Cointegration Test --- p.34 / Chapter 5.3 --- Experiment 5B : Cointegration Test on FX Data --- p.36 / Chapter 5.4 --- Concluding Remarks --- p.38 / Chapter 6 --- Model Selection by Minor Component Analysis --- p.44 / Chapter 6.1 --- Hypothesis Test on Minor Component Coefficients --- p.44 / Chapter 6.2 --- Experiment 6B : Forward Selection on FX Data --- p.46 / Chapter 6.3 --- Experiment 6B : Backward Elimination on FX Data --- p.50 / Chapter 6.4 --- Experiment 6C : MCA Based Selection on FX Data --- p.53 / Chapter 6.5 --- Concluding Remarks --- p.54 / Chapter 7 --- Cointegration by Modular MCA --- p.55 / Chapter 7.1 --- Ordinary Modular MCA Based Cointegration --- p.56 / Chapter 7.2 --- Experiment 8A : OMMCA on Artificial Data --- p.58 / Chapter 7.3 --- Experiment 8B : OMMCA on FX Data --- p.63 / Chapter 7.4 --- Variable-Dependent Modular MCA Method --- p.71 / Chapter 7.5 --- "Experiment 8C : VMMCA on Artificial Data," --- p.73 / Chapter 7.6 --- Experiment 8D : VMMCA on FX Data --- p.80 / Chapter 7.7 --- Adaptive Modular MCA Based Cointegration --- p.89 / Chapter 7.8 --- Experiment 8E : AMMCA on Artificial Data --- p.90 / Chapter 7.9 --- Experiment 8F : AMMCA on FX Data --- p.94 / Chapter 7.10 --- Concluding Remarks --- p.103 / Chapter 8 --- Conclusions and Future Works --- p.105