Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2017. / This study examines the relationship between major commodity exports and the real exchange rate of commodity exporting countries. We make use of monthly commodity price time series data to determine the causality relationship between exchange rates and the top three commodity exports from 5 commodity exporting countries (Brazil, Chile, Mexico, Norway and South Africa). Due to the phenomenon called “Dutch Disease” commodity exporting countries’ economies are found not to experience large economic success during periods of booming export commodity prices. Using data from the IMF IFS database, only one country out of the five included in this study shows evidence of conitegration relationship between commodity prices and exchange rates, although there is some evidence of commodity prices explaining the movement of exchange rates in all five countries. We find that commodity prices do play a role in the exchange rates movement in commodity exporting countries. / MT2017

This dissertation examines the pricing of the same credit risk in two currencies, and hence the valuation of credit-contingent foreign exchange products. Such pricing hinges upon the dependence of the credit risk and the foreign exchange rate. We recall the reduced-form model proposed by Ehlers (2007), which allows credit-currency dependence through correlation between the Brownian motions driving the default intensity and the exchange rate, and through a jump in the exchange rate at the default time. Four basic specifications of this model are considered. Two of these specifications have not previously appeared in the literature and one of these, based on a lognormal process for the default intensity, proves to be especially useful and tractable. The problem of hedging defaultable claims in one currency with similar claims in another is briefly considered, and it is shown that hedging against the default event and against credit spread movements are not in general equivalent.

Thesis (Ph.D. (Economics))--University of the Witwatersrand, Faculty of Commerce, Law and Management, School of Economic & Business Sciences, 2016. / The objective of this thesis is to investigate the recent historical dynamics of the four major nominal bilateral spot foreign exchange rates and the fifteen currency-basket nominal effective exchange rate of the South African rand (hereafter referred to as the rand). The thesis has been organised as three separate studies that add to the advancement of the knowledge of the characteristics and behaviour (causal effects) of the rand. The common thread that holds the individual chapters together is the study of the dynamics of the rand. In particular, the study establishes whether the apparent nonstationarity of the exchange rate is a product of unit root test misspecification (a failure to account for structural change), considers the connexions between the timing of the identified structural shifts and important economic and noneconomic events, and analyses rand volatility and the temporal effect of monetary policy surprises on both the spot foreign exchange market returns and volatility of the rand. In order to do this, low- and high-frequency data are employed. With regard to exchange rate modelling, the theoretical economic-exchange rate frameworks are approached both from the traditional macro-based view of exchange rate determination and a micro-based perspective. The various methodologies applied here tackle different aspects of the exchange rate dynamics. To preview the results, we find that adjusting for structural shifts in the unit root tests does not render any of the exchange rates stationary. However, the results show a remarkable fall in the estimates of volatility persistence when structural breaks are integrated into the autoregressive conditional heteroskedasticity (ARCH) framework. The empirical results also shed light on the impact of modelling exchange rates as long memory processes, the extent of asymmetric responses to ‘good news’ and ‘bad news’, the consistencies and contrasts in the five exchange rate series’ volatility dynamics, and the timing and likely triggers of volatility regime switching. Additionally, there are convincing links between the timing of structural changes and important economic (and noneconomic) events, and commonality in the structural breaks detected in the levels and volatility of the rand. We also find statistically and economically significant high-frequency exchange rate returns and volatility responses to domestic interest rate surprises. Furthermore, the rapid response of the rand to monetary policy surprises suggests a relatively high degree of market efficiency (from a mechanical perspective) in processing this information. Keywords: Exchange rate, expectations, long memory, monetary policy surprises, repo rate, structural breaks, volatility; unit root. JEL Code: C22, E52, E58, F31, F41, G14 and G15

Lam, Yu Fung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 40-43). / Abstract also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Methodology --- p.6 / Chapter 2.1 --- Brownian Motion --- p.6 / Chapter 2.2 --- Reflected Brownian Motion --- p.8 / Chapter 2.3 --- Partially Reflected Brownian Motion --- p.11 / Chapter 3 --- Numerical Analysis --- p.15 / Chapter 3.1 --- Comparison of RBM and PRBM --- p.15 / Chapter 3.2 --- Initial state far from the boundaries --- p.17 / Chapter 3.3 --- Initial state close to a boundary --- p.17 / Chapter 4 --- A Study of the USD/HKD Exchange Rate --- p.23 / Chapter 4.1 --- Data Description --- p.23 / Chapter 4.2 --- Testing for the Mean-reverting Property --- p.25 / Chapter 4.3 --- Testing for Decreasing Volatility near the Boundaries --- p.27 / Chapter 4.4 --- Estimation Results --- p.27 / Chapter 5 --- Conclusion --- p.31 / Chapter A --- Derivation of MLE estimator --- p.33 / Chapter B --- Numerical Laplace Inversion --- p.35 / Chapter C --- Augmented Dickey-Fuller Test --- p.39 / Bibliography --- p.40

This dissertation consists of three essays on exchange rates and international finance with an emphasis on emerging economies. In Chapter 1, I provide empirical evidence that supports the hypothesis that exchange rate based stabilization programs are expansionary during their early phases. I derive a new set of stabilization episodes using extensive country chronologies from Reinhart and Rogoff (2004) and I find that even after controlling for external conditions, the initial expansion associated with the introduction of an exchange rate based program, is caused by both, the program itself and positive external conditions. These expansionary effects are robust to different estimation methods and different criteria for detecting stabilization episodes. In Chapter 2, I study the relationship between foreign interest rates, country spreads, terms of trade and macro fundamentals in emerging markets. I estimate a structural VAR for 15 emerging economies. I find that country spreads explain 12% of output fluctuations, foreign interest rates an additional 7% and the terms of trade about 5%. I also find that country spreads account for a quarter of real exchange rate variability while the terms of trade account for just 1%. To further validate these results, I develop a dynamic stochastic general equilibrium (DSGE) model for a small open economy. The model incorporates several open economy frictions: i) bond-holding adjustment costs, ii) investment adjustment costs, iii) a working capital constraint, and iv) a country spread component that depends upon macro fundamentals, which is taken from the estimated VAR. The model is able to replicate fairly good the propagation effects of foreign rates and country spread shocks but overestimates the importance of the terms of trades. In Chapter 3, I investigate the relation between volatility in the foreign exchange market and excess returns on carry trade portfolios for the G10 currencies. I develop and compare three different investment strategies that aim at avoiding losses when volatility jumps, a common feature of the carry trade. I find that two trading strategies, one based on implied volatility from FX options and the other on exponentially-weighted moving averages, provide better risk-adjusted returns than the standard carry trade. A third strategy, based on Markov-switching exchange rate forecasts, provides excess returns for some currencies but fails for portfolios of currencies. I also show that currency investing provides superior Sharpe ratios than a benchmark bond portfolio and a benchmark stock portfolio, even after including the recent global financial crisis.

Abstract not available

The thesis contains two chapters which address questions important both for the economic theory and applications. In Chapter I we show that inequalities are an important tool in the theory of production functions. Various notions of internal economies of scale can be equivalently expressed in terms of upper or lower bounds on production functions. In the problem of aggregation of efficiently allocated goods, if one is concerned with two-sided bounds as opposed to exact expressions, the aggregate production function can be derived from some general assumptions about production units subject to aggregation. The approach used does not require smoothness or convexity properties. In Chapter II we introduce a new forecasting techniques essential parts of which include using average high-order polynomial estimators for in-sample fit and low-order polynomial extension for out-of-sample fit. We provide some statements following the Gauss-Markov theorem format. The empirical part shows that algebraic polynomials treated in a proper way can perform very well in one-step-ahead prediction, especially in prediction of the direction of exchange rate movements. / Graduation date: 1995

Thesis (Ph. D.)--University of California, San Diego, 2002. / Vita. Includes bibliographical references.

Thesis (Ph. D.)--University of Texas at Austin, 2003. / Vita. Includes bibliographical references. Available also from UMI Company.

Thesis (Ph. D.)--University of Missouri-Columbia, 2000. / Typescript. Vita. Includes bibliographical references (leaves 99-107). Also available on the Internet.