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In this dissertation we investigate joint optimal capacity investment, pricing and production decisions for a multinational manufacturer who faces exchange rate uncertainties. We consider a manufacturer that sells its product in both domestic and foreign markets over a multiperiod season. Because of long-lead times, the capacity investment must be committed before the selling season begins. The exchange rate between the two countries fluctuates across period and the demand in both markets is price dependent. In the first part, the model considers three scenarios: (1) early commitment to price and quantity with central sourcing, (2) postponement of prices and quantities with central sourcing, and (3) local sourcing. We derive the optimal capacity and the optimal prices for each scenario, and investigate the impact of the exchange rate parameters and the length of the selling season on optimal capacity investment, production allocation, and pricing decisions. We observe that while the price and production decisions in the domestic market are independent of the exchange rate under early commitment and local sourcing scenarios, the exchange rate between two countries directly impacts these decisions under the postponement setting. We identify thresholds and gain insights on investment costs, market potentials, exchange rate drifts, and selling season length for the choice of entering a foreign market under all scenarios. In the second part of this dissertation, we consider a duopoly competition in the foreign country. We consider a single period setting and we model the exchange rate as a random variable. We assume two scenarios: (1) Exogenous Model, where the price of the foreign manufacturer is set a priori, and (2) Endogenous Model, where the prices are set simultaneously based on a Nash Game outcome. In the Exogenous Model, we study the impact of exchange rate and foreign manufacturer's price on optimal capacity and prices. In the Endogenous Model, we investigate the impact of competition and exchange rate on optimal capacities and optimal prices. We show how competition can impact the decision of the home manufacturer to enter the foreign market.

Abstract The purpose of this paper is to research the countries' exchange rates. The paper is organized around the empirical modeling method which is devised by Van Dijk, D.; Terӓsvirta, T.; Franses, P.H.(2002) and Van Dijk, D.; Terӓsvirta, T.; González, A.(2005). It consists of estimation, specification tests, and forecast stages. The data is chosen from 1974M1 to 2008M12. We set the data from 1974M1 to 2003M12 as in-sample period, and from 2003M1 to 2008M12 as out-of-sample period. The macroeconomic variables considered in this paper include nominal exchange rates and real exchange rates. We get four important empirical results in this paper. First, the STAR model shows that every countries exists ¡§eleventh month effects¡¨. Second, the coefficient of nonlinear in Denmark¡¦s, France¡¦s, Germany¡¦s, Italy¡¦s, Spain¡¦s and UK¡¦s model are statistically significant. This result implies that the government of Japan had been intervening significantly in foreign exchange markets. And the government of other countries had been not intervening in foreign exchange markets. Third, the gamma value of the Panel model is statistically significant but slight. We can conclude that nominal exchange rates and real exchange rates exist relationship in long terms but not in short terms. Fourth, the forecast abilities of two models are almost better than random walk model.

The aim of the thesis is to explain short and medium term movements of the U.K. real effective exchange rate index from 1972 to 1984, within a relative purchasing power parity framework. This index is measured using both consumer and wholesale price indices. Movements are examined within a model that incorporates trade flow and asset market mechanisms. In order to validate the model, consideration of time series analysis, the measurement of expectations and the econometric estimation of the model are undertaken. The time series characteristics of the U.K. real and nominal effective exchange rate index are examined using regression, correlation, spectral and non-parametric statistical techniques. These imply that U.K. real exchange rate movements follow a quasi-random walk. Violations from the random walk occur partly due to the use of period averages in the construction of the index and partly from medium term time dependence. The empirical analysis of expectations is undertaken in a rational expectations framework. It is found that the best short term predictor of the nominal effective exchange rate index is a constructed forward effective exchange rate index. However, short term exchange rate movements appear largely due to 'news'. In the longer term, exchange rate expectations appear to be influenced by movements in the real current balance of goods and serVIces. The econometric analysis gives results broadly consistent with the model. This supports the view that the U.K. real effective exchange rate index returns to its equilibrium value in the long term, with movements in the short and medium terms eventually being corrected by trade flow and asset market mechanisms

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Diss. (sammanfattning) Göteborg : Univ., 2001. / Härtill 3 uppsatser.