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The effects of nominal shocks on the real exchange rate /Abbey, Laurie-Ann Cecilia January 1991 (has links)
No description available.
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Shocks from the system : remodelling exchange rate regime choice in Latin America and the Caribbean 1960-1995Baerg, Nicole R. January 2006 (has links)
No description available.
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The theory and practice of the gold standard: an application to the convulsions in the ERMWan, Ho-fung, Jonathan., 尹可豐. January 1994 (has links)
published_or_final_version / Economics and Finance / Master / Master of Economics
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Cross hedging of foreign exchange riskWan, Chung-kum., 尹頌琴. January 2000 (has links)
published_or_final_version / Economics and Finance / Master / Master of Economics
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A study of the factors determining the choice of exchange rate regime: with specific reference to China.Tang, Liang January 2007 (has links)
<p>Since the 1980s China had different exchange rate regimes. For example, in 1981, a dual-exchange rate system was introduced, with the official exchange rate applying to non-trade-related foreign exchange transactions and the depreciated internal settlement rate (ISR) applying to trade related transactions. This system was discontinued in 1985, but after the establishment of special economic zones to boost the country&rsquo / s export performance, the dual-exchange rate system was reintroduced in 1986. In 1994 the country informed the IMF that it will be switching to a managed floating exchange rate system and this was the official policy for almost ten years. However, de facto, the country chose to peg its currency to the USD during all these years (whilst Japan was the most important trading partner).</p>
<p><br />
The report provides a descriptive analytical overview of how China in this era of globalization and with the importance of the World Trade Agreement, managed to keep its currency pegged to the USD over such a long period of time. The most important factors explaining this choice were identified as the desire to stimulate export-let economic growth, the risk related to capital mobility, financial sector liberalization, relative price level stability, dollarization and politics.</p>
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New Evidence on Interest Rate and Foreign Exchange Rate ModelingAl-Zoubi, Haitham 07 August 2003 (has links)
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.
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An analysis of exchange rate policies in the Republic of South Africa 1971-1977Gidlow, Roger Malcolm 05 February 2015 (has links)
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.
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The profitability of trading rules in international currency market.January 2004 (has links)
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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Fractional integration, stable distributions and long-memory models of foreign exchange ratesAssaf, Ata A. January 1999 (has links)
No description available.
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An examination of some statistical and economic models involving exchange rates.Buncic, Daniel, Economics, Australian School of Business, UNSW January 2007 (has links)
This dissertation is concerned with the examination of some widely employed nonlinear exchange rate models. In particular, its aim is to assess how well non-linear statistical models accommodate the theoretical implications contained in economic models and how well they are able to capture the empirical properties of the data. Chapter 2 gives a brief background to the concept of PPP and discusses the role of transaction costs in economic models, making it necessary to model exchange rates within a non-linear framework. Parametric as well as non-parametric statistical techniques are applied to a long time-series data set to give an indication of the empirical validity of non-linearity in real exchange rates. Wide threshold bands are found to be a common characteristic of real exchange rate data. Chapter 3 studies the fitness of the ESTAR model for real exchange rate modelling. It is shown that wide threshold bands in the empirical data necessitate a small transition function parameter in the exponential regime weighting function, leading to difficulties in the meaningful interpretation of regimes. When this occurs, it is also shown that the ESTAR model is weakly identified over the range of the sample data that one generally works with. These results are illustrated on an empirical data set by replicating the often cited study of Taylor et al. (2001). In Chapter 4 and Chapter 5 a number of non-linear models are evaluated. Simulation experiments indicate that LM style tests that are commonly employed in the literature to test for ESTAR non-linearity have a very low probability of rejecting the false null hypothesis of linearity when the true data generating process is in fact the ESTAR model of Taylor et al. (2001). It is further shown that, contrary to the claims of the recent study by Rapach and Wohar (2006), long-horizon forecasts from the ESTAR model converge to the unconditional mean of the series, so that there is no gain in utilising the ESTAR model for long-horizon forecasts. Studying the Markov switching model of Bergman and Hansson (2005) reveals that the model does not generate any non-linearity as predicted from economic models.
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