Thesis (Ph. D.)--University of Pennsylvania, 1990. / Includes bibliographical references (leaves 324-330).

Thesis (Ph. D.)--University of Chicago, 1987. / Includes bibliographical references (leaves 109-112).

M.Com. (Financial Economics) / Exchange rate forecasting has been an important and complex field of study originating mainly from the introduction of floating exchange rates in the 1970s. Since then, various models have been developed to explain exchange rate behaviour, all contributing in their own way to the understanding of what economic and financial information reveal about the future price of exchange rates. To measure the performance of a variety of exchange rate models, researchers in exchange rate forecasting almost always use the random walk model as benchmark to evaluate the forecasting performance of exchange rate models. An exchange rate model is regarded as superior if it can outperform a random process. The random walk model, a special case of the unit root process, helps us to identify the kinds of disturbances that drive the exchange rate to follow an independent successive process. If the exchange rate follows a random walk process, it has no mean reversion tendency and a directional shock in the exchange rate will cause it to deviate from its long-run equilibrium. Conversely, if the exchange rate does not follow a random walk, it has mean reverting tendencies, and will follow a stationary process which allows us to accurately forecast the exchange rate based on historic observations (Lam, Wong and Wong, 2005:1). However, it seems unrealistic that exchange rates will follow either a random walk process or a stationary process. If we assume that the exchange rate follows a random walk, we also assume that the order flow information from exchange rate trades follows a random walk, and by implication that macroeconomic exchange rate information follows a random walk [see Lyons (2001) for the link between order flow and macroeconomic fundamentals]. It seems unrealistic that exchange rates will follow an identifiable mean reverting (stationary) process, as daily exchange rates are exposed to risk, news and speculation which functions independent from long-run exchange rate fundamentals. Ironically, Meese and Rogoff (who laid the foundation for the use of random walk models as benchmark in exchange rate forecasting) emphasize that exchange rates do not follow an exact random walk (Meese and Rogoff, 1983:14). However, if it is known that exchange rates do not follow a random process explicitly, alternative exchange rate benchmark models should be considered. Yet, judging by the universal...

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published_or_final_version / Economics and Finance / Master / Master of Economics

published_or_final_version / Economics and Finance / Master / Master of Economics

A Thesis submitted to the Faculty of Commerce of the University of the Witwatersrand, Johannesburg, for the degree of Doctor of Philosophy December 1978 / The breakdown of the system of fixed exchange rates, which occurred in the western world in the early 1970s, has exerted marked effects upon the exchange rate policies adopted by South Africa. In particular, it has resulted in the local monetary authorities practising a more active policy concerning the exchange rate value of the rand. The purpose of this thesis is to describe and analyze the exchange rate policies of the Renublic during the period from 1971 to 1977, and to offer recommendations For change. The research procedure followed involved extensive gathering of information from published literature, together with confidential information disclosed to the writer by the Deputy Governor of the Reserve Bank. The thesis is divided into four sections. Section A reviews the traditional exchange rate policy adopted by the South African authorities, and their long-standing support for fixed but adjustable exchange rates in the international monetary system. Section B incorporates on historical review and analysis of changes in the exchange rate for the rand which have materialised since 1971. Section C focuses attention upon the attitudes of the local authorities over the issue of reform of the exchange rate regime in the international monetary system in the past few years. Section D is devoted to an analysis of specific policy issues which have arisen in the conduct of exchange rate policy in South Africa, and highlights areas where improvements could be made. All four chapters in this Section were submitted as evidence to the current Commission of Inquiry into the Monetary System and Monetary Policy in South Africa. One important conclusion of the study is that the more flexible exchange rate policy adopted in South Africa has had very limited success in affecting positively the current account of the balance of payments. Conversely exchange rate policy appears to have been more successful in improving the position on tht capital account. (iv) Another conclusion concerns deficiencies which exist in the provision of foreign exchange facilities, and particularly in regard to forward exchange. In some respects South African policy is characterized by exchange rates and facilities which bear little relation to market conditions. It is recommended that j mor># competitive market in foreign exchange should be established in both spot and forward transactions.

Chiang Lok Man Cally. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 29-31). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.4 / Chapter 2.1 --- Studies against the trading rule profits --- p.4 / Chapter 2.2 --- Studies for the trading rule profits --- p.5 / Chapter 3 --- Data Descriptions and Methodology --- p.8 / Chapter 4 --- Empirical Results --- p.14 / Chapter 4.1 --- First trading rule --- p.14 / Chapter 4.2 --- Second trading rule --- p.19 / Chapter 4.3 --- Comparison between the two trading rules --- p.23 / Chapter 5 --- Other Related Results --- p.25 / Chapter 6 --- Conclusions --- p.27 / Reference --- p.29 / Figure 1 - 12 --- p.32 / Table 1 - 14 --- p.44

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