Thesis (Ph. D.)--University of Washington, 2005. / Vita. Includes bibliographical references (p. 87-93).

Thesis (Ph. D.)--University of Washington, 2000. / Vita. Includes bibliographical references (leaves 113-121).

Foreign exchange market is the most active market in today’s global financial domains. While the consensus on several aspects of this market is fairly established, the informational efficiency in this market is still unsettled, particularly during unexpected interruptions and unusual or unstable periods. The financial crisis of 2008 is the most recent example of such a period. This dissertation focuses on the efficiency of the foreign exchange market during a unique, turbulent period using the six most actively traded currencies: the Australian dollar, Canadian dollar, Swiss franc, Euro, British pound, and Japanese yen. Considering nine months before the peak of the financial crisis to nine months thereafter, the entire sample is divided into three sub-samples: full-, non-crisis-, and crisis-periods. Both daily and minute-by-minute data are used. A variety of instruments are analyzed, including spot, forward, and exchange traded funds on the currencies. The methodologies that are employed range from standard econometric tests of efficiency to estimation of vector error correction models to identify price discovery, or leadership positions, in each of the currency markets. The findings indicate behavioral similarities and differences. The patterns of the volatility of the currencies are mixed: two-humped for the AUD, CAD, and EUR; W-shaped for the CHF; three-humped for the GBP, and flat U-shaped for the JPY. The daily results from several methodologies provide mixed evidence on market efficiency. Over the entire sample period, the estimated forward premium coefficients from the GARCH (1, 1) model are not significant for all currencies, while the null hypotheses of zero and one cointegrating vectors cannot be rejected for all currencies, except for the AUD. These findings are consistent with some of the previous studies, concluding that the efficiency tests in the foreign exchange market would depend on the methodology and the time period of the study. The high frequency data results show different degrees of price discovery between pair-wise instruments. Specifically, the spot exchange market shows a greater contribution to price discovery than the corresponding exchange traded funds. A possible explanation is the current size of the market and its increased transparency through the use of electronic trading.

This paper investigates the effects of real exchange rate misalignment (REM) on economic growth in Kenya over the period 1964-2009. The real exchange rate misalignment is defined as the difference between the equilibrium exchange rate and the actual real exchange rate (RER). The equilibrium real exchange rate was obtained by using the purchasing power parity (PPP) approach. To this effect, the study examined the existence or absence of the cointegration between the REM and economic growth, using the autoregressive distributed lag (ARDL) bounds testing approach. The ARDL approach is employed to determine both the long-run and short-run dynamics of the model. The results suggest that no long-run relationship exists between economic growth and the REM in Kenya. The short-run model is then estimated, using the OLS (ordinary least squares) method. From this model, it is determined that trade openness has a positive impact on economic growth, while foreign aid has a negative impact on economic growth; and both are considered empirically significant. The inflation rate and REM both negatively impact economic growth, but are empirically insignificant. All variables corroborate the a priori expectations.

The Bolivian foreign exchange market is explained in terms of the official and parallel exchange rates. The data covers the post hyper inflationary period from 1986 to 1992. The distribution of the rate of depreciation of the official and parallel exchange rates is long tailed and strongly departs from normality due to the existence of outliers. A market interactions model of the autoregressive kind is estimated using robust regression. This procedure produces M-parameter estimates using iteratively reweighted least squares. The robust method handles well the outlier problem and at the same time it reveals the true nature of the statistical properties of the data by not being able to produce white noise in the squared residuals. Both markets show a one-time break in the variance creating two periods of differential behavior, with one of them having GARCH properties. Robust unit root and cointegration tests also fail to produce white noise squared residuals due to the same phenomena. Further research requires the development of a robust procedure that could take care of the outlier and heteroskedasticity problems simultaneously.

The project examines the relationship between trade interdependency and correlation of market returns between the United States and the four emerging economies of Singapore, Malaysia, Thailand and the Philippines. The author analyzed statistical data for trade interdependency and market return to determine if there is a pattern that would provide the basis for increasing the return of a security portfolio without increasing the risk to the investor. The project analysis relied on mathematical formulas to measure the trade relationships between the selected countries and to calculate the measure of return and measure of risk of investing in each emergent market.

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.

The understanding of the mechanism determining exchange rates is still an unsolved puzzle in the field of international economics. In the search for the underlying causes of the failure of existing approaches to explain a large proportion of short term exchange rate movements, our review of methodology literature revealed that a significant number of scholars consider the methodological approach employed by mainstream economics as a main cause for the disappointing result of established approaches. In particular, the excessive use of formal modelling and quantitative data as well as the use of oversimplified assumptions has been criticized. In response to this critique we chose to use a more pluralistic approach in our research methodology by employing both qualitative as well as quantitative data analysis. For the analysis of qualitative data, we employed an approach based on grounded theory principles, where we analyze Reuters Foreign exchange market reports. The findings of the qualitative data analysis show that, based on market practitioners commentary, there are two predominant variables affecting exchange rates. First, expectations on interest rate changes appears to be a major variable affecting currency value. An upward revision of interest rate expectations usually suggests an increase in the value of the currency concerned and vice versa. Second major variable affecting exchange rates appear to be global equity returns. In contrast to interest rates, which is a country specific variable, global equity returns is a global variable affecting currencies based on their relative interest rate levels and safe haven attributes. In particular, it is suggested that higher yielding currencies’ value is positive related to global equity returns, while low/lower yielding and safe haven currencies’ value is negatively related to global equity returns. The empirical test we performed to explore the relationship between exchange rates and global equity returns suggest that they are indeed linked. The sign of the relationship depends on the characteristics of the currencies examined. When equity prices increase, currencies with higher interest rates tend to appreciate, whereas currencies with lower interest rates tend to depreciate and vice versa. In addition, the strength of the relationship depends to some extent on relative interest differentials. A stronger relationship is observed when interest differentials are relatively large, while the explanatory power of the model is reduced when interest rate differentials are relatively narrow. Our study presents evidence on the role of stock markets in exchange rate determination which is considerable different to the focus of current theory. Whereas current research focuses on stock market’s relative stock market returns in the respective countries, the findings of this thesis suggests that global stock market returns affect exchange rate movements based on differentiated characteristics of different currencies. Another important contribution of this thesis is that we illustrate the complexity of interactions and links among different variables. For example, whereas interest changes were seen as positively correlated to the home currency value, the relationship was seen as being reversed because of the possible effect of higher interest rates on the subprime crisis. Another example of complex links is the relationship between exchange rates and equity markets. For example, whereas the USD effective exchange rate was not related equity returns during the initial stages of the subprime crises, the strength of the relationship increased significantly when the crisis escalated and the demand for USD increased due to safe haven flows.

by Zhi-Bin Lai. / Thesis submitted in: December 1998. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 111-116). / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- ICA Model --- p.1 / Chapter 1.2 --- ICA Algorithms --- p.3 / Chapter 1.3 --- Foreign Exchange Rate Scheme --- p.9 / Chapter 1.4 --- Problem Motivation --- p.10 / Chapter 1.5 --- Main Contribution of the Thesis --- p.10 / Chapter 1.6 --- Other Contribution of the Thesis --- p.11 / Chapter 1.7 --- Organization of the Thesis --- p.11 / Chapter 2 --- Heuristic Dominant ICs Sorting --- p.13 / Chapter 2.1 --- L1 Norm Sorting --- p.13 / Chapter 2.2 --- Lp Norm (L3 Norm) Sorting --- p.14 / Chapter 2.3 --- Problem Motivation --- p.15 / Chapter 2.4 --- Determination of Dominant ICs --- p.15 / Chapter 2.5 --- ICA in Foreign Exchange Rate Markets --- p.16 / Chapter 2.6 --- Comparison of Two Heuristic Methods --- p.16 / Chapter 2.6.1 --- Experiment 1: US Dollar vs Swiss Franc --- p.18 / Chapter 2.6.2 --- Experiment 2: US Dollar vs Australian Dollar --- p.21 / Chapter 2.6.3 --- Experiment 3: US Dollar vs Canadian Dollar --- p.24 / Chapter 2.6.4 --- Experiment 4: US Dollar vs French Franc --- p.27 / Chapter 3 --- Forward Selection under MSE Measurement --- p.30 / Chapter 3.1 --- Order-Sorting Criterion --- p.30 / Chapter 3.2 --- Order Sorting Approaches --- p.30 / Chapter 3.3 --- Forward Selection Approach --- p.31 / Chapter 3.4 --- Comparison of Three Dominant ICs Sorting Methods --- p.32 / Chapter 3.4.1 --- Experiment 1: US Dollar vs Swiss Franc --- p.33 / Chapter 3.4.2 --- Experiment 2: US Dollar vs Australian Dollar --- p.37 / Chapter 3.4.3 --- Experiment 3: US Dollar vs Canadian Dollar --- p.41 / Chapter 3.4.4 --- Experiment 4: US Dollar vs French Franc --- p.45 / Chapter 4 --- Backward Elimination Tendency Error --- p.49 / Chapter 4.1 --- Tendency Error Scheme --- p.49 / Chapter 4.2 --- Order-Sorting Criterion --- p.50 / Chapter 4.3 --- Order Sorting Approaches --- p.50 / Chapter 4.4 --- Backward Elimination Tendency Error Approach --- p.51 / Chapter 4.5 --- Determination of Dominant ICs --- p.52 / Chapter 4.6 --- Comparison Between Three Approaches --- p.53 / Chapter 4.6.1 --- Experiment Results on USD-SWF Return --- p.53 / Chapter 4.6.2 --- Experiment Results on USD-AUD Return --- p.57 / Chapter 4.6.3 --- Experiment Results on USD-CAD Return --- p.61 / Chapter 4.6.4 --- Experiment Results on USD-FRN Return --- p.65 / Chapter 5 --- Other Analysis of ICA in Foreign Exchange Rate Markets --- p.69 / Chapter 5.1 --- Variance Characteristics of ICs and PCs --- p.69 / Chapter 5.2 --- Reconstruction Ability between PCA and ICA --- p.70 / Chapter 5.3 --- Properties of Independent Components --- p.70 / Chapter 5.4 --- Autocorrelation --- p.73 / Chapter 5.5 --- Rescaled Analysis --- p.73 / Chapter 6 --- Conclusion and Further Work - --- p.78 / Chapter 6.1 --- Conclusion --- p.78 / Chapter 6.2 --- Further Work --- p.79 / Chapter A --- Fast Implement of LPM Algorithm --- p.80 / Chapter A.1 --- Review of Selecting Subsets from Regression Variables --- p.80 / Chapter A.2 --- Unconstrained Gradient Based Optimization Methods Survey --- p.85 / Chapter A.3 --- Characteristics of the Original LPM Algorithm --- p.88 / Chapter A.4 --- Constrained Learning Rate Adaptation Method --- p.89 / Chapter A.5 --- Gradient Descent with Momentum Method --- p.98

The purpose of this thesis is analysis process of increasing financial resources on the foreign exchange market. This thesis is devided into two parts. Firts part gives basic information about foreign exchange market. Operative part contains analysis steps of entering into foreign exchange market and trading system aplied in real market.