This dissertation empirically and theoretically investigates three interrelated issues of market anomalies in interest rates derivatives and foreign exchange rates. The first essay models the spot exchange rate as a decomposition of permanent and transitory components. Unlike extant analysis, the transitory component could be stationary or explosive. The second essay examines the market efficiency hypothesis in the foreign exchange markets and relates the rejection of forward rate unbiasedness hypothesis to the existence of risk premium not to the failure of rational expectation. The third essay examines the behavior of short-term riskless rate and models the risk free rate as a nonlinear trend stationary process. While addressing these issues, these essays account for: (1) finite sample bias; (2) Unit root and other nonstationary behaviors; (3) the role of nonlinear trend; and (4) the interrelations between different behaviors. Several new results have been gleaned from our analysis; we find that: (1) the spot exchange rates display a very slow mean aversion behavior, which implies the failure of the purchasing power parity; (2) there are positive autocorrelations across the long horizons overlapping returns increases overtime and then begin to decline at a very long horizon period; (3) the short-term riskless rate displays a nonlinear trend stationary process which is closer to driftless random walk behavior; (4) modifying the mean reverting shortterm interest rates models to a nonlinear trend stationary shows an extreme improvement and outperforms all suggested models; (5) the traditional tests for rational expectations and market efficiency in the foreign exchange markets are subject to size distortions; (6) we relate the rejection of market efficiency in the foreign exchange markets documented across most currencies to the existence of risk premium not to the rejection of rational expectation hypothesis.

In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Bayesian non-linear time series framework, our modeling approach assumes that different regimes are characterized by commonly used structural exchange rate models, with their evolution being driven by a Markov process. We assume a time-varying transition probability matrix with transition probabilities depending on a measure of the monetary policy stance of the central bank at the home and foreign country. We apply this model to a set of eight exchange rates against the US dollar. In a forecasting exercise, we show that model evidence varies over time and a model approach that takes this empirical evidence seriously yields improvements in accuracy of density forecasts for most currency pairs considered. / Series: Department of Economics Working Paper Series

This paper deals with the management of foreign exchange risk and focuses on ŠKODA JS a.s. Its aim is to evaluate the process of risk managing in the company, assuming that foreign exchange risk has a substantial impact on business. The analysis itself is based on interpretation of foreign exchange position, forecasts of both exchange rate and expected losses, explicit hedge strategy and details of financial derivatives used for hedging.

This master thesis examines mutual relations between components of the balance of payments and the foreign exchange rate. The first part briefly describes the structure of the balance of payments and the theory of the foreign exchange rate as a macro-economical variable, which can be seen in many different systems. The next part brings the characteristics of historic and recent economic conditions and challenges of four selected countries: Brazil, Russia, India and China (BRIC). In the empirical part, relations between components of the balance of payments and the development of the exchange rate are analyzed by methods of the linear regression. The time-series consisted of annual data for a period of fifteen to seventeen years.

在國際貨幣經濟發展的領域中一九七三年以前為固定匯率制度；當時的理論文獻偏重 於國際收支理論之研究，而在一九七三年以後，一些主要工業化國家紛紛採取浮動匯 率制度，隨之而來的是各國外匯市場呈現不穩定的波動，其中尤以匯率之變動最為受 到動視，因而於七○年代逐有大量的文獻出現，紛紛對匯率之決定提出探討。其中尤 以貨幣分析法所提出之見解最為受到重視，俺然成為七○至八○年代間貨幣金融的主 導。而其對於匯率之波動確也可以提出合理的解釋，但於一九七八年以後，這些結構 化之貨幣模型的表現卻逐漸地不如人意，遂有學者嘗試以其他觀點進行分析，以實證 研究的觀點來看，利用時間序列模型，當為另一重要的主流。本文主要以上述兩種模 型為基礎進行匯率之估計，進而利用時間序列資料進行匯率之預測。全文共一冊，分 為五章，約三萬字，第一章緒論，第二章為對匯率理論與實證文獻之回顧，第三章則 對於實證研究方法論做一簡介，第四章對於台灣進行實證分析，第五章為結論與建議 。

This thesis concerns with speculative carry trade strategy. Carry trade is based on breach of Uncovered Interest Parity. The theoretical part is focused on traditional fundamental analysis. This thesis deals with the identification of carry trade existence and capture their expressions in the financial markets, verification profitability and attractiveness of carry trade operations, analysis of conditions for carry trade on financial markets before and after global financial crisis 2008. Important part of the work was also description of the consequences of carry trade transactions and their effects on the exchange rate and financial situation

This thesis is focused on elimination of exchange rate risks as well as on possible ways how to ensure the risk, considering actuall situation in the Czech republic and expansive economical crisis in the year 2009. Mentioned is an overview of possible financial derivates and methods how to adapt them to export-oriented company. The work also includes an outline of a question how far the situation would be changed after launching euro.

近年來台灣貿易收支帳持續巨額的盈餘，其來源大都來自美國市場，外匯不斷的累積 ，加上美國保護主義壓力下，均使台幣勢所難免的必須升值，而且台灣的出口產業大 都是替代性高，勞力密集產業，所以本文將探討出口單價對我國出口的影響，及工資 與匯率對我國出口單價即價格競爭力的關聯性，同時也考慮來自韓國、香港、新加坡 、大陸．．．．．．這些競爭對手國間互相競爭取代的情形。 本文共一冊，約四萬餘字，分為四章八節，其大綱如下： 第一章：緒論，第一節、研究目的；第二節、研究方法；第三節、資料來源及限制。 第二章：理論模型，第一節、文獻回顧；第二節、模型之設定。 第三章：實證分析，第一節、單一方程式之實證分析；第二節、聯立方程式之實證分 析；第三節、單一方程式與聯立方程式實證結果之比較。 第四章：結論。

This thesis discusses the phenomenon of currency crises, in particular it is devoted to empirical identification of crisis periods. As a crisis indicator, we aim to utilize an exchange market pressure index which has been revealed as a very powerful tool for the exchange market pressure quantification. Since enumeration of the exchange market pressure index is crucial for further analysis, we pay special attention to different approaches of its construction. In the majority of existing literature on exchange market pressure models, a currency crisis is defined as a period of time when the exchange market pressure index exceeds a predetermined level. In contrast to this, we incorporate a probabilistic approach using the extreme value theory. Our goal is to prove that stochastic methods are more accurate, in other words they are more reliable instruments for crisis identification. We illustrate the application of the proposed method on a selected sample of four central European countries over the period 1993 - 2012, or 1993 - 2008 respectively, namely the Czech Republic, Hungary, Poland and Slovakia. The choice of the sample is motivated by the fact that these countries underwent transition reforms to market economies at the beginning of 1990s and therefore could have been exposed to speculative attacks on their newly arisen currencies. These countries are often assumed to be relatively homogeneous group of countries at similar stage of the integration process. Thus, a resembling development of exchange market pressure, particularly during the last third of the estimation period, would not be surprising.

The thesis is focused on the management of exchange rate risk in international trade. The work is divided into theoretical and practical part. The first part deals with the theories of the exchange rate, exchange rate risk and also on its management. The most common way of risk hedging is the use of currency derivatives. Therefore their advantages and disadvantages will be presented. In the practical part, theoretical knowledge will be applied to foreign exchange risk management of a specific Czech international trading company. After evaluating of its current approach, more effective hedging strategy will be suggested.