Dissertationen: „Foreign exchange rates – Ethiopia“

1

Chen, Ruo. „Essays on exchange rates“. Diss., Restricted to subscribing institutions, 2007. http://proquest.umi.com/pqdweb?did=1481668671&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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2

Liu, Kit-ying Ida. „Empirical exchange rate models : out-of-sample forecasts for the HK$/Yen exchange rate /“. Hong Kong : University of Hong Kong, 1997. http://sunzi.lib.hku.hk/hkuto/record.jsp?B20666895.

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3

Gau, Yin-Feng. „Heteroskedastic volatility of foreign exchange rates /“. Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1997. http://wwwlib.umi.com/cr/ucsd/fullcit?p9804526.

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4

Kim, Chung-Han. „Empirical studies of real exchange rates : heteroskedasticity, cross exchange rate correlation, forecasting /“. Thesis, Connect to this title online; UW restricted, 1998. http://hdl.handle.net/1773/7396.

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5

Chan, Man Ching Stella. „Essays on real exchange rate adjustments in a fixed exchange rate system“. Diss., Restricted to subscribing institutions, 2008. http://proquest.umi.com/pqdweb?did=1666128101&sid=5&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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6

Liu, Kit-ying Ida, und 廖潔瑩. „Empirical exchange rate models: out-of-sampleforecasts for the HK$/Yen exchange rate“. Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1997. http://hub.hku.hk/bib/B3195456X.

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7

Kristensen, Scott Dennis 1958. „A new monetary model of foreign exchange rates“. Diss., The University of Arizona, 1997. http://hdl.handle.net/10150/288762.

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An attempt is made to create a model of exchange rates that explains the short term, daily levels of the foreign exchange spot market. The model is a monetary type that focuses on the eurocurrency markets and the current account. It has a liquidity preference form and employs daily data. The futures rate, the euro interest rate, the eurocurrency money stocks and a current account variable are the individual variables of the model. The futures rate and the euro interest rates are from the assumed Fisher's 'Covered Interest Rate Paradigm'. The eurocurrency money stock variable's justification is based on the real world structure of the spot market where the foreign exchange desks of the major world commercial banks are the dominant players. The current account variable, which is motivated by a desire to improve on the short run performance of the Purchasing Power Parity variable of other monetary models, is justified by trade theory. The liquidity preference form of the model is in keeping with current monetary models. The econometric results show that the model is better than the random walk model. However the results of the individual variables are mixed. The futures rate accounts for the vast majority of the model's success. Although the eurocurrency variable is as statistically significant as the interest rate differentials from the widely accepted Fisher's Covered Interest Rate Parity paradigm, neither was as significant as the futures rate. The current account variable results are not statistically significant. Thus, the current account variable may be discarded while the eurocurrency interest rates and euromoney variables warrant further study. As a result of the dominance of the futures rate variable, models that cry to capture rational expectations such as the News or Chaos Models are appealing. This rational expectations characteristic of the market combined with the dominance of speculation over economic fundamentals also points toward game theory as a good candidate for further study.

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8

Packirisamy, Someshini. „Empirical modelling of high-frequency foreign exchange rates“. Master's thesis, University of Cape Town, 2004. http://hdl.handle.net/11427/5963.

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Includes bibliographical references (leaves 213-219).
There is a wealth of information available on modelling foreign exchange time series data, however, research studies on modelling and predicting high frequency foreign exchange data is less prominent. Furthermore, there does not appear to be much evidence supporting work on the modelling and prediction of high frequency South African Rand/United States Dollar (ZAR/USD) exchange rates. A fair amount of noise is embedded in high frequency time series data, especially the ZAR/USD exchange rates, and the modelling of these time series requires the use of specialized models. In addition, lengthy high frequency foreign exchange data is largely unavailable for the South African market. This dissertation undertakes empirical explorations to model high frequency foreign exchange time series (primarily the ZAR/USD time series), through the use of multi-agent neural networks, linear Kalman filters and fuzzy Markov chain theory.

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9

Wan, Chung-kum. „Cross hedging of foreign exchange risk“. Click to view the E-thesis via HKUTO, 2000. http://sunzi.lib.hku.hk/hkuto/record/B31954741.

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10

Wan, Chung-kum, und 尹頌琴. „Cross hedging of foreign exchange risk“. Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31954741.

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11

Liu, Peter Chi-Wah. „The dynamics of nominal exchange rates“. Gainesville, FL, 1989. http://www.archive.org/details/dynamicsofnomina00liup.

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12

Chang, Yuanchen. „Modelling intraday foreign exchange rates : price patterns and volatility“. Thesis, Lancaster University, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.364367.

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13

Welander, Jesper. „Forecasting foreign exchange rates with large regularised factor models“. Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-193004.

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Vector autoregressive (VAR) models for time series analysis of high-dimensional data tend to suffer from overparametrisation as the number of parameters in a VAR model grows quadratically with the number of included predictors. In these cases, lower-dimensional structural assumptions are commonly imposed through factor models or regularisation. Factor models reduce the model dimension by projecting the observations onto a common lower-dimensional subspace, decomposing the variables into common and idiosyncratic terms, and might be preferred when predictors are highly collinear. Regularisation reduces overfitting by penalising certain features of the model estimates and might be preferred when, for example, only a few predictors are assumed important. We propose a regularised factor model where factors are constructed by projection onto a common subspace and where the transition matrices in a time series model with the resulting factors are estimated with regularisation. By the subspace estimation we hope to uncover underlying latent factors that explain the predictor dynamics and the additional penalisation is used to encourage additional sparsity and to impose a priori structural knowledge into the estimate. We investigate unsupervised and supervised subspace extraction and extend earlier results on dynamic subspace extraction. Additionally, we investigate element-wise regularisation by the ridge and lasso penalties and two extensions of the lasso penalty that encourage structural sparsity. The performance of the model is tested by forecasting log returns of exchange rates.
Vektor autoregressiva (VAR) modeller för tidsserieanalys av högdimensionell data tenderar att drabbas av överparametrisering eftersom antalet parametrar i modellerna växer kvadratiskt med antalet inkluderade prediktorer. I dessa fall används ofta lägredimensionella strukturella antaganden genom faktormodeller eller regularisering. Faktormodeller reducerar modellens dimension genom att projicera observationerna på ett lägredimensionellt underrum av gemensamma faktorer och kan föredras om prediktorerna är kollineära. Regularisering minskar överanpassning genom att bestraffa vissa egenskaper hos modellens estimerade parametrar och kan föredras när exempelvis endast ett mindre antal prediktorer antas betydande. Vi föreslår en regulariserad faktormodell där prediktorerna projiceras på ett gemensamt underrum för att skapa faktorer och där övergångsmatriserna i en tidsseriemodell med de resulterande faktorerna estimeras med en bestraffande term. Den lägredimensionella projiceringen används för att hitta latenta faktorer som beskriver dynamiken i prediktorerna och den ytterligare regulariseringen används för att premiera gleshet och a priori kunskap om modellens struktur. Både övervakade och oövervakade metoder undersöks för att estimera det gemensamma underrummet och vi generaliserar tidigare resultat om dynamisk estimering av underrum. Dessutom undersöks elementvis regularisering genom bestraffningstermerna ridge och lasso samt två varianter av lasso som premierar strukturell gleshet. Modellens prestanda testas genom att prediktera logaritmerade valutakursförändringar.

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14

Chan, Sau-san. „Choosing an exchange rate regime for a sub-national economy from an optimum currency area perspective : the case of Hong Kong /“. Hong Kong : University of Hong Kong, 1997. http://sunzi.lib.hku.hk/hkuto/record.jsp?B18492083.

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15

Edelshain, David John. „British corporate currency exposure and foreign exchange risk management“. Thesis, London Business School (University of London), 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.261812.

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16

O'Mahony, Angela Julie. „Monetary regimes : the interrelated choice of monetary policy and the exchange rate /“. Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC IP addresses, 2003. http://wwwlib.umi.com/cr/ucsd/fullcit?p3083461.

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17

Yang, Yusi. „The relationship between stock and foreign exchange markets : evidence from periods of exchange-rate-regime shifts /“. access full-text access abstract and table of contents, 2009. http://libweb.cityu.edu.hk/cgi-bin/ezdb/thesis.pl?mphil-ef-b23749799f.pdf.

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Thesis (M.Phil.)--City University of Hong Kong, 2009.
"Submitted to Department of Economics and Finance in partial fulfillment of the requirements for the degree of Master of Philosophy." Includes bibliographical references (leaves 63-73)

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18

Abbey, Laurie-Ann Cecilia. „The effects of nominal shocks on the real exchange rate /“. Thesis, McGill University, 1991. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=61180.

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This study focuses on the effects of nominal shocks on the real exchange rate. The model used to determine the effects of a monetary expansion on the real exchange rate assumes instantaneously clearing asset markets and sticky goods prices. A monetary expansion causes the nominal exchange rate to initially overshoot its long run equilibrium value followed by a series of appreciations. The real exchange rate depreciates sharply and then appreciates until its initial value is restored.
A simple monetary model, a sticky price monetary model and a random walk model are empirically tested with Canadian/U.S. data over the 1972-1989 time period. Both monetary models were rejected and the random walk model represented the best fit to the data. This evidence supports the hypothesis that the Canadian/U.S. nominal exchange rate follows a random walk process.
An empirical examination of the Canadian real exchange rate over the 1970-1989 period confirms the hypothesis that since the advent of the floating exchange rate period, the Canadian real exchange rate movements have been much larger than most economists predicted.

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19

Kim, Dong-Jun. „Impacts of the currency value change on the forest products import quantities in Korea /“. Thesis, Connect to this title online; UW restricted, 2001. http://hdl.handle.net/1773/5526.

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20

Galloway, D. W. „Dual exchange rates : theory, insulation properties and the South African experience“. Master's thesis, University of Cape Town, 1990. http://hdl.handle.net/11427/17271.

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Includes bibliographies.
Dual exchange rate regimes are not a phenomenon peculiar only to South Africa. In the past they have been implemented by the BLEU, France, Italy and the Netherlands in one form or another. More recently, multiple exchange regimes have been adopted by other developing countries such as Mexico, Brazil, Venezuela and Argentina. The rationale for imposing a two- or multi-tier exchange regime is to protect the balance of payments from volatile short-term capital flows due to political and economic uncertainty inherent in developing economies. The focus of this paper is on the insulation properties of dual market systems against foreign shocks. These shocks may take the form of foreign interest rate increases or increases in foreign perceptions of risk. An implication of these insulation properties is that the monetary authorities are able to pursue a monetary policy independent of external constraints.

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21

Zou, Shanshan. „Empirical analysis on random walk behavior of foreign exchange rates“. Thesis, Georgia Institute of Technology, 2010. http://hdl.handle.net/1853/33836.

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This thesis conducts a comprehensive examination on the random walk behavior of 29 foreign exchange rates over the period of floating exchange regime, using variance-ratio tests. The cross-country and time-series test show that random walk model cannot be rejected on majority, and the random walk behavior is quite volatile across the whole floating exchange regime period. It then goes further to explore possible factors that can explain the probability of rejection/ non-rejections on random walk model using linear as well as nonlinear probability models, and find that the factors such as capital openness and investment-to-trade ratio significantly increases the chance of its exchange rate exhibiting random walk behavior.

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22

Yan, Bingcheng. „Cross-market interactions, price discovery dynamics, and market quality measurement /“. Thesis, Connect to this title online; UW restricted, 2005. http://hdl.handle.net/1773/7375.

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23

Hodge, Duncan. „Theories of exchange rates and the methodology of economics“. Thesis, Rhodes University, 1997. http://hdl.handle.net/10962/d1002747.

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This thesis is an exercise in applied methodology. Ideas in the history and philosophy of science which have proved to be influential in the methodology of economics, and in shaping economists' self-image in this regard, are selected for closer analysis and criticism. The main ideas that are addressed are those of empiricism, with emphasis on the methodological falsificationism of Karl Popper and Imre Lakatos, and Laudan's problem solving model of scientific progress . The thesis examines the relationship between empirical evidence, in the form of both econometric test results and stylized facts, and the development of theories about exchange rates and the open economy. This analysis begins with Cassel's formulation of purchasing power parity theory in 1916, through the elasticities, absorption, and Mundell-Fleming models of exchange rates and the balance of payments, up to the present day monetary and asset market models. This is done with regard to the broad methodological issues examined earlier in the thesis. Some of the main empirical and methodological difficulties in testing such theories are addressed, with particular reference to the role played by the Duhem-Quine thesis and the ceteris paribus assumption. Although some of these difficulties may be regarded as a matter of degree compared to similar problems in the natural sciences, it is argued that this difference is significant for the workability of falsification in economics . Moreover, the presence of hypotheses about expectations in many economic theories appears to be a substantive difference such that the difficulties posed by the Duhem-Quine thesis apply with much greater force in a social science like economics. The main conclusions are that neither the Popperian nor Lakatosian versions of falsification are seriously practiced in the area of exchange rate economics and that, unlike the position taken by advocates of falsification such as Mark Blaug, it would be inappropriate and misguided to do so. A tentative case is made, with some reference to the theories surveyed in this thesis, for the possibly greater relevance of Laudan' s more pragmatic problem solving model for the methodology of economics, particularly as regards his analysis and emphasis on conceptual problem solving in the progress of knowledge.

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24

Chan, Lai Yee. „The influences of external factors on interest rates and exchange rates in industrialized countries“. HKBU Institutional Repository, 2002. http://repository.hkbu.edu.hk/etd_ra/430.

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25

Baerg, Nicole R. „Shocks from the system : remodelling exchange rate regime choice in Latin America and the Caribbean 1960-1995“. Thesis, McGill University, 2006. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=98537.

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I propose and test a new model determining the choice of the exchange rate regime in Latin America and the Caribbean. The key insight is that systemic level instability plays an important role in choosing the exchange rate regime. Using new data from Reinhart and Rogoff (2004), a second insight is that countries do not always follow the type of exchange rate regime they claim. Testing the determinants of regime choice against both the traditional, official de jure and new, market de facto data, I find that policymakers are strategically using the observed gap between the measures. The evidence reveals that systemic level variables, namely instability in the US interest rate and the bilateral USD:DEM/Euro exchange rate, significantly impact the choice of the exchange rate regime.

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26

Pisa, Michael A. „Explaining competitive currencies domestic politics, international trade, and exchange rate valuation /“. Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2008. http://wwwlib.umi.com/cr/ucsd/fullcit?p3297900.

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Thesis (Ph. D.)--University of California, San Diego, 2008.
Title from first page of PDF file (viewed June 12, 2008). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references (p. 150-160).

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27

Chang, Jaechul. „Real exchange rate and relative real wage : the Balassa-Samuelson model revisited /“. Thesis, Connect to this title online; UW restricted, 2002. http://hdl.handle.net/1773/7430.

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28

Knight, Sarah Cleeland. „Divested interests globalization and the new politics of exchange rates /“. Connect to Electronic Thesis (ProQuest), 2008. http://0-gateway.proquest.com.library.lausys.georgetown.edu/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3320702.

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29

Panizzo, Jose Manuel Carrera. „Market microstructure of the foreign exchange market : lessons from Mexico“. Thesis, Lancaster University, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.302418.

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30

Li, Po-sing. „The study of the combination of technical analysis and qualitative model in financial forecasting /“. Hong Kong : University of Hong Kong, 1998. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19878059.

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31

Cho, Won Joo. „A Study on Factors Affecting U.S. Bilateral Trade with Her Major Trading Partners“. Thesis, North Dakota State University, 2012. https://hdl.handle.net/10365/26616.

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The objective of this study is to analyze factors affecting U.S. bilateral trade with her major trading partners, including exchange rate, GDP, economic structure, market openness, and free trade agreements. Six commodity groups included in this study are agriculture, low technology, mid-low technology, mid-high technology, high technology, and overall trade. This research employs Bayesian econometric procedure to solve cross-sectional heterogeneity problem in estimating the bilateral trade model with the U.S. major trading partners for six commodity groups. Estimation results show that capital-labor ratio is more influential in U.S. bilateral trade with her major trading partners than exchange rate. In addition, U.S. trade is largely intra-industry trade except agricultural goods, which are based on resource endowments.

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32

Mapenda, Rufaro. „Exchange rates behaviour in Ghana and Nigeria: is there a misalignment?“ Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002710.

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Exchange rates are believed to be one of the major driving forces behind sustainable macroeconomic growth and it is therefore important to ensure that they are at an appropriate level. Exchange rate misalignment is a situation where the actual exchange rate differs significantly from its equilibrium value, resulting in either an overvalued or an undervalued currency. The problem with an undervalued currency is that it will increase the domestic price of tradable goods whereas an overvalued currency will cause a fall in the domestic prices of the tradable goods. Persistent exchange rate misalignment is thus expected to result in severe macroeconomic instability. The aim of this study is to estimate the equilibrium real exchange rate for both Ghana and Nigeria. After so doing, the equilibrium real exchange rate is compared to the actual real exchange rate, in order to assess the extent of real exchange rate misalignment in both countries, if any such exists. In order test the applicability of the equilibrium exchange rate models, the study draws from the simple monetary model as well as the Edwards (1989) and Montiel (1999) models. These models postulate that the variables which determine the real exchange rate are the terms of trade, trade restrictions, domestic interest rates, foreign aid inflow, income, money supply, world inflation, government consumption expenditure, world interest rates, capital controls and technological progress. Due to data limitations in Ghana and in Nigeria, not all the variables are utilised in the study. The study uses the Johansen (1995) model as well as the Vector Error Correction Model (VECM) to estimate the long- and the short-run relationships between the above-mentioned determinants and the real exchange rate. Thereafter the study employs the Hodrick-Prescott filter to estimate the permanent equilibrium exchange rate. The study estimates a real exchange rate model each for Ghana and Nigeria. Both the exchange rate models for Ghana and Nigeria provide evidence of exchange rate misalignment. The model for Ghana shows that from the first quarter of 1980 to the last quarter of 1983 the real exchange rate was overvalued; thereafter the exchange rate moved close to its equilibrium value and was generally undervalued with few and short-lived episodes of overvaluation. In regard to real exchange rate misalignment in Nigeria prior to the Structural Adjustment Program in 1986 there were episodes of undervaluation from the first quarter of 1980 to the first quarter of 1984 and overvaluation from the second quarter of 1984 to the third quarter of 1986; thereafter the exchange rate was generally and marginally undervalued.

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33

Molla, Kiflu Gedefe. „Essays in International trade, exchange rates and prices“. Doctoral thesis, Stockholms universitet, Nationalekonomiska institutionen, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-137002.

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This thesis consists of three self-contained essays in International Trade, Exchange Rates and Prices. Although independent, these essays share some common themes. The first two papers can be related to the vast literature on exchange rate pass-through to prices. While the first paper uses firm-product level data from Sweden to study firms’ export price response to movements in exchange rate, the second paper employs aggregate level data from Ethiopia and looks at the issue from the importers’ perspective. The third paper, like the first paper, uses Swedish firm-level data and investigates firms’ exporting behavior. The third paper, however, specifically focuses on export margins of multi-product firms and studies their response when exporting to destinations of different size and distance from the home country.

At the time of the doctoral defense, the following papers were unpublished and had a status as follows: Paper 1: Manuscript. Paper 2: Manuscript. Paper 3: Manuscript.

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34

Yuen, Wai-kee. „A historical event analysis of the variability in the empirical uncovered interest parity (UIP) coefficient“. Click to view the E-thesis via HKUTO, 2006. http://sunzi.lib.hku.hk/hkuto/record/B36424201.

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35

Wang, Wei-Hsin. „Comparative analysis of approaches to short-term foreign exchange rates forecasting“. Thesis, Imperial College London, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.313480.

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36

Hirunraengchok, Athipong. „Three essays on international capital movements and exchange rates /“. view abstract or download file of text, 2000. http://wwwlib.umi.com/cr/uoregon/fullcit?p9987233.

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Thesis (Ph. D.)--University of Oregon, 2000.
Typescript. Includes vita and abstract. Includes bibliographical references (leaves 97-101). Also available for download via the World Wide Web; free to University of Oregon users.

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37

Hwang, Yu-Ning. „Essays on real exchange rate dynamics and exchange rate regime /“. Thesis, Connect to this title online; UW restricted, 2006. http://hdl.handle.net/1773/7509.

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38

Kim, Jung-Kwan. „Monetary policy and exchange rate during the Asian Crisis“. free to MU campus, to others for purchase, 2002. http://wwwlib.umi.com/cr/mo/fullcit?p3052187.

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39

Al-Zoubi, Haitham. „New Evidence on Interest Rate and Foreign Exchange Rate Modeling“. ScholarWorks@UNO, 2003. http://scholarworks.uno.edu/td/467.

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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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40

Zwanger, Sebastian. „Determinants of exchange rates the case of the Chilean peso /“. View electronic thesis, 2008. http://dl.uncw.edu/etd/2008-3/zwanzgers/sebastianzwanzger.pdf.

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41

Kim, Jeong-Hwan. „Wavelet decomposition of relationship between real exchange rates and real interest differentials /“. free to MU campus, to others for purchase, 2001. http://wwwlib.umi.com/cr/mo/fullcit?p3012987.

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42

Reyes, Cecilia Gonzales. „Statistical properties of daily returns on foreign exchange rates and a test of the Black-Scholes paradigm on foreign exchange options“. Thesis, London Business School (University of London), 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.296920.

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43

Hillman, Robert J. T. „Econometric modelling of nonlinearity and nonstationarity in the foreign exchange market“. Thesis, University of Southampton, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.264846.

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44

Chui, Hiu-fai Sam. „Evaluation of measures taken by financial institutes under the interest rate swing caused by the currency attack /“. Hong Kong : University of Hong Kong, 1998. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19882117.

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45

Mirkin, Lorice. „Essays in exchange rates and international finance“. Thesis, Brunel University, 2018. http://bura.brunel.ac.uk/handle/2438/17423.

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This thesis pertains to international finance and models of exchange rate determination as well as efficiency of the market for foreign currency. The first chapter is an introduction where we discuss the advent of flexible exchange rate regimes and the development of monetary models of exchange rate determination as well as present a framework for this thesis. In the second chapter we consider the historical failure of monetary models of the exchange rate and revisit the standard real interest differential (RID) model (Frankel, 1979a). The Great British Pound (GBP) and Canadian Dollar (CAD) vis-à-vis the United States dollar (USD) are examined during the period 1980:Q1 -2015:Q1, a time characterized by flexible exchange rate regimes and heightened capital mobility across borders. Unit root properties of the sample variables are examined and the Johansen (1995) methodology is applied to test for cointegration. The RID model yields a single cointegrating relation however tests of long-run exclusion (LE) and weak exogeneity (WE) show that the RID model is not a coherent model of the GBP and CAD against the USD. The study is furthered by examination of the hybrid monetary model (Hunter and Ali, 2014). The hybrid model is tested for comparison with Japan, as the post 2007-2009 financial crisis period is branded by zero-lower bound interest rates, a phenomenon first experienced by Japan for any prolonged period of time. The hybrid model in addition yields a single relation however tests of LE and WE show that the long-run projection is reversed and that a coherent relationship exists between the GBP and CAD vis-à-vis the USD and variables related to monetary fundamentals as well as long-run economic activity. In the third chapter we examine efficiency of the market for foreign currency. The lead-lag pricing relationship between spot and futures rates is discussed and a panel employing data for the GBP, Australia Dollar (AUD), CAD, Brazilian Real (BRL) and South African Rand (ZAR) vis-à-vis the USD is constructed at several intervals prior to expiry. The Johansen (1995) methodology is applied and shows that spot and futures rates cointegrate and that the cointegrating vector is the basis. Unit root properties for the basis are also examined and found to be integrated of order one or I(1). We therefore show that the market for foreign currency functions efficiently and that profitable arbitrage opportunities exist that restore prices to parity levels. This study is of particular significance in view of the markets' growing share and need for greater transparency to lay down appropriate regulation that limits systematic risk. In the fourth chapter we re-examine monetary models of the exchange rate and consider the USD vis-a vis the Japanese Yen (JPY) in view of the Japanese economy's slow growth in the post 2007-2009 financial crisis period. We test the standard RID monetary model as a framework for modelling the USD/JPY exchange rate however tests of WE show that the nominal exchange rate is weakly exogenous so drives the system instead of adapting to it. The hybrid monetary model developed by Hunter and Ali (2014) is adjusted in consideration of the current period of sluggish economic growth in Japan by incorporating differentials related to traded and non-traded goods productivity (Rogoff, 1992). The adjusted hybrid model produces a single cointegrating relation and joint tests of LE and WE show that the nominal exchange rate cannot be long-run excluded and is not weakly exogenous so that the adjusted hybrid model is a coherent long-run model of the USD/JPY nominal exchange rate. In the fifth chapter we conclude and summarize the findings of the three studies presented in this thesis as well as provide practical recommendations for further study such as construction of dynamic error correction models and assessing out-of-sample forecasting performance for the extended monetary models examined in chapters two and four. Further development of the study for effectively functioning foreign exchange markets as presented in chapter three is in addition discussed in the final chapter. We contribute to the extant literature by showing in chapter two that the conventional RID monetary model of the exchange rate for the GBP and CAD vis-à-vis the USD can be rejected. A single econometric specification can be adapted to explain the long-run exchange rate for the GBP/USD exchange rate while an extended model is effective in providing an explanation of the long-run CAD/USD exchange rate. In chapter three we demonstrate that the spot and futures markets for five bilateral exchange rates function effectively across developed and developing countries. Lastly, we show in Chapter four that the model of the USD/JPY exchange rate due to Hunter and Ali (2014) appears a specific case and that the USD/JPY is not readily distinguished from a random walk in the context of a monetary model that considers traded and non-traded goods productivity differentials.

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Kwak, Tae Woon. „International transmission of economic disturbances under floating exchange rates“. The Ohio State University, 1985. http://rave.ohiolink.edu/etdc/view?acc_num=osu1278526152.

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47

Allen, Rachel Michele Jackson John D. „Third country effects of the European Union on the monetary model of exchange rate news“. Auburn, Ala., 2006. http://repo.lib.auburn.edu/2006%20Spring/master's/ALLEN_RACHEL_9.pdf.

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48

Assaf, Ata A. „Fractional integration, stable distributions and long-memory models of foreign exchange rates“. Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0022/NQ50104.pdf.

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49

Tshipinare, Katso. „Purchasing power parity between Botswana and South Africa: a cointegration analysis“. Thesis, University of the Western Cape, 2006. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_1984_1184669340.

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This paper tested the purchasing power parity hypothesis for Botswana and South Africa using cointegration analysis. The data used are the spot exchange rate between the two countries (rand and pula) and their consumer price indices.

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Beimel, Simon. „Consumer behavior in a tourism demand model of the Caribbean“. View electronic thesis (PDF), 2009. http://dl.uncw.edu/etd/2009-3/beimels/simonbeimel.pdf.

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Dissertationen zum Thema „Foreign exchange rates – Ethiopia“

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