Ip Tak Sang. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 65-67). / Abstracts in English and Chinese. / Chapter Chapter 1 --- Introduction --- p.1 / Chapter Chapter 2 --- Data and Methodology --- p.4 / Chapter Chapter 3 --- Results / Chapter 3.1 --- Performance of Long/Short Strategies --- p.11 / Chapter 3.2 --- Subsample and Sensitivity Analysis --- p.17 / Chapter 3.3 --- Autocorrelation Analysis --- p.25 / Chapter Chapter 4 --- Discussion and Conclusion --- p.27 / Appendices / Chapter A.1 --- Exchange Rates Figures --- p.28 / Chapter A.2 --- Tables --- p.32 / References --- p.65

Thesis. 1979. Ph.D.--Massachusetts Institute of Technology. Dept. of Economics. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY. / Bibliography: leaves 184-187. / Ph.D.

This dissertation consists of three essays on exchange rates and international finance with an emphasis on emerging economies. In Chapter 1, I provide empirical evidence that supports the hypothesis that exchange rate based stabilization programs are expansionary during their early phases. I derive a new set of stabilization episodes using extensive country chronologies from Reinhart and Rogoff (2004) and I find that even after controlling for external conditions, the initial expansion associated with the introduction of an exchange rate based program, is caused by both, the program itself and positive external conditions. These expansionary effects are robust to different estimation methods and different criteria for detecting stabilization episodes. In Chapter 2, I study the relationship between foreign interest rates, country spreads, terms of trade and macro fundamentals in emerging markets. I estimate a structural VAR for 15 emerging economies. I find that country spreads explain 12% of output fluctuations, foreign interest rates an additional 7% and the terms of trade about 5%. I also find that country spreads account for a quarter of real exchange rate variability while the terms of trade account for just 1%. To further validate these results, I develop a dynamic stochastic general equilibrium (DSGE) model for a small open economy. The model incorporates several open economy frictions: i) bond-holding adjustment costs, ii) investment adjustment costs, iii) a working capital constraint, and iv) a country spread component that depends upon macro fundamentals, which is taken from the estimated VAR. The model is able to replicate fairly good the propagation effects of foreign rates and country spread shocks but overestimates the importance of the terms of trades. In Chapter 3, I investigate the relation between volatility in the foreign exchange market and excess returns on carry trade portfolios for the G10 currencies. I develop and compare three different investment strategies that aim at avoiding losses when volatility jumps, a common feature of the carry trade. I find that two trading strategies, one based on implied volatility from FX options and the other on exponentially-weighted moving averages, provide better risk-adjusted returns than the standard carry trade. A third strategy, based on Markov-switching exchange rate forecasts, provides excess returns for some currencies but fails for portfolios of currencies. I also show that currency investing provides superior Sharpe ratios than a benchmark bond portfolio and a benchmark stock portfolio, even after including the recent global financial crisis.

Thesis (Ph. D.)--University of Washington, 2002. / Vita. Includes bibliographical references (leaves 100-111).

Thesis (Ph. D.)--University of Washington, 2001. / Vita. Includes bibliographical references (leaves 62-66).

No description available.

This study focuses on the effects of nominal shocks on the real exchange rate. The model used to determine the effects of a monetary expansion on the real exchange rate assumes instantaneously clearing asset markets and sticky goods prices. A monetary expansion causes the nominal exchange rate to initially overshoot its long run equilibrium value followed by a series of appreciations. The real exchange rate depreciates sharply and then appreciates until its initial value is restored. / A simple monetary model, a sticky price monetary model and a random walk model are empirically tested with Canadian/U.S. data over the 1972-1989 time period. Both monetary models were rejected and the random walk model represented the best fit to the data. This evidence supports the hypothesis that the Canadian/U.S. nominal exchange rate follows a random walk process. / An empirical examination of the Canadian real exchange rate over the 1970-1989 period confirms the hypothesis that since the advent of the floating exchange rate period, the Canadian real exchange rate movements have been much larger than most economists predicted.

The value of the RMB, China's currency has become a contentious issue. China's RMB exchange rate regime has moved from a fixed exchange rate before July 2005, to a managed floating change rate regime. There has been external pressure on China to agree to the RMB's appreciation to the US dollar. There is a common view that the RMB is considerably undervalued at this moment, with some quarrelling that this is an issue of global concern. This study has two objectives. First, to review and critically comment on China's exchange rate regime over the period 1994 to 2008. Second, to review and critically comment on whether the RMB was undervalued over the period 1994 to 2008. This study shows that the evidence is mixed. The popular Big Mac Index shows that the RMB was significantly undervalued from 1994 to 2008. In contrast, this study reviewed research that provides evidence for alternative perspectives on the valuation of RMB. / Thesis (MBA)-University of KwaZulu-Natal, Wesville, 2009.

No description available.

I propose and test a new model determining the choice of the exchange rate regime in Latin America and the Caribbean. The key insight is that systemic level instability plays an important role in choosing the exchange rate regime. Using new data from Reinhart and Rogoff (2004), a second insight is that countries do not always follow the type of exchange rate regime they claim. Testing the determinants of regime choice against both the traditional, official de jure and new, market de facto data, I find that policymakers are strategically using the observed gap between the measures. The evidence reveals that systemic level variables, namely instability in the US interest rate and the bilateral USD:DEM/Euro exchange rate, significantly impact the choice of the exchange rate regime.