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1
Sun, Wei. "THREE ESSAYS ON EXCHANG RATES AND EXCHANGE RATE POLICY." Lexington, Ky. : [University of Kentucky Libraries], 2006. http://lib.uky.edu/ETD/ukyecon2006d00396/dissertationWS.pdf.
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Thesis (Ph. D.)--University of Kentucky, 2006.Title from document title page (viewed on May 8, 2006). Document formatted into pages; contains vii, 143 p. : ill. Includes abstract and vita. Includes bibliographical references (p. 133-142).
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Golotvina, Natalia. "Essays on real exchange rates and exchange rate arrangements /." For electronic version search Digital dissertations database. Restricted to UC campuses. Access is free to UC campus dissertations, 2004. http://uclibs.org/PID/11984.
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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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Termprasertsakul, Santi. "Essays on exchange rate exposure and exchange rate pass-through." Thesis, University of Essex, 2015. http://repository.essex.ac.uk/15592/.
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This thesis examines the effect of exchange rates on stock returns and domestic prices. Specifically, it comprises three essays which are two essays on exchange rate exposure and one essay on exchange rate pass-through. In Chapter Two the first essay presents a comprehensive treatment of exchange rate exposure across a large sample of 3,015 firms from 5 ASEAN economies for the period 2002-2012. We adopt the OLS framework of Jorion (1990) as a benchmark model and the GMM approach of Chue and Cook (2008), with the latter having the advantage of abstracting from the effects of the wider macroeconomic environment. Estimated by the OLS method, our findings yield country specific results with regards to firm value confirming the prevailing view that the value of Asian firms decreases when their local currency depreciates. However, on application of the GMM approach the average exchange rate exposure of nonbank and bank in Indonesia and Thailand overturn the OLS results yielding positive coefficients. Also, the one-lagged exchange rate can explain exchange rate exposure in some cases; this effect is likely to be country specific. According to the different business characteristics, a bank sub-dataset indicates that the foreign exposure of Asian banks shows a greater degree of exposure than nonbank companies do. In Chapter Three the second essay examines transaction and economic exchange rate exposure, and contributes by adopting a transformed regression method that is robust to the econometric problem of data overlapping. The transformed regression method is combined with rolling-window regression in order to examine the time variation in exchange rate exposure in four main industrialised economies during the period of 1990-2012. We find evidence that the firms that are significantly exposed to long-run exchange rate movements reduce by approximately seventy percent at a horizon of 5 years when estimated by the transformed regression method. Our findings also show the effect of the recent global financial crisis on the relationship between exchange rates and firm returns. In Chapter Four the final essay investigates the effect of inflation targeting on the rate of exchange rate pass-through (ERPT). Our ERPT model is based on new open-economy macroeconomics theory but is extended using the nonlinear and asymmetric distributed lags (NARDL) framework, which is suitable in examining asymmetric ERPT under different inflationary regimes. After an adoption of inflation targeting, our evidence reveals that the asymmetric zero pass-through is mainly captured in the long-run, particularly, in emerging countries. By contrast, symmetric zero pass-through is robust for all countries in the short-run. This suggests that asymmetries of depreciation and appreciation have no noticeable impact on consumer prices after central banks pursue inflation targeting. This phenomenon might be explained by the effectiveness of inflation targeting implementation.
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Yablonskyy, Karen. "Exchange Rate Predictions." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-161875.
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The aim of this thesis is to analyze the foreign exchange currency forecasting techniques. Moreover the central idea behind the topic is to develop the strategy of forecasting by choosing indicators and techniques to make own forecast on currency pair EUR/USD. This thesis work is a mixture of theory and practice analyses. The goal during the work on this project was to study different types of forecasting techniques and make own forecast, practice forecasting and trading on Forex platform, based on acquired knowledge.
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Liu, Juanxiu. "Exchange rate regime and exchange rate performance : evidence from East Asia." Thesis, University of Glasgow, 2009. http://theses.gla.ac.uk/600/.
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This thesis is intended to be part of a vigorous debate currently going on in the international community of exchange rate regime, monetary policy and related core issues in East Asian economies. From different angles and aspects, this thesis contributes to the related literature, and provides fresh theoretical arguments and comprehensive study on the exchange rate regime and exchange rate performance in East Asia. This thesis firstly investigates the performance and characteristics of exchange rate regimes in a group of East Asian economies during the 1990s. The determination of local currency, the flexibility of exchange rate regime, as well as the regional coordination of exchange rate management have been thoroughly examined. This thesis then considers the implications of exchange rate regimes on the monetary policy. It examines whether the adoption of new exchange rate regime has affected monetary autonomy, concerning the sensitivity of domestic interest rates to international interest rates under different currency regimes, from the cases of the selected East Asian economies during 1994-2004. One of the aspects of the choices of exchange rate regime is its implications for the magnitude of exchange rate volatility and the transmission of this volatility into other countries in the region. This thesis thus carries out an empirical investigation on the exchange rate volatility and cross-country contagion/spillover effect within foreign exchange markets for a group of East Asian countries in the context of the 1997/98 financial crisis. In addition, this thesis provides an investigation on the measurement of foreign exchange market pressure and currency crisis proneness, as well as examines interrelations between exchange market pressure and monetary policy. The post-crisis interactions among EMP, domestic credit growth, and the interest rate differential between domestic and foreign interest rates, in particular, have been investigated for a representative group of East Asian countries. Finally, this thesis provides further evidence on the relationship between stock prices and exchange rates, from the typical case of Hong Kong, to realise what kind of causality prevailed over the period 1995-2001. Based on the high frequency weekly data, both long-run and short-run dynamics between stock prices and exchange rates in Hong Kong are addressed. Various forms of evidence and empirical techniques are extensively applied and fully evaluated for the specific questions addressed in this research. These practical methodologies include Ordinary Least Square (OLS), Generalised Method of Movements (GMM), Generalised Autoregressive Conditional Heteroskedasticity (GARCH), Exponential GARCH (EGARCH), Vector Autoregressions (VAR) and their Impulse Response Functions (IRF), Unit Root Tests, Cointegration, and Granger Causality Tests. All kinds of data sets and sample periods employed in this research provide an interesting comparison to the existing related studies. The main findings and key ideas drawn from this research have important implications for policy markers on the exchange rate management. The study on specific research topics and the comprehensive and thorough applications of various econometric methodologies provide valuable insight in characteristics and patterns of East Asian foreign exchange markets.
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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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Bottazzi, Laura. "Essays on exchange rate targets and interest rates." Thesis, Massachusetts Institute of Technology, 1992. http://hdl.handle.net/1721.1/12879.
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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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Chala, A. V. "Classified forecasting exchange rate." Thesis, Видавництво СумДУ, 2012. http://essuir.sumdu.edu.ua/handle/123456789/26081.
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Kubota, Megumi. "Real exchange rate misalignments." Thesis, University of York, 2009. http://etheses.whiterose.ac.uk/874/.
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The real exchange rate (RER) misalignment is a key variable in academic and policy circles. Among policy circles, sustained RER overvaluations are observed by authorities for future exchange rate adjustments. In some cases with capital flows pouring into emerging markets, those countries have tried to remain competitive by pursuing very active exchange policies to undervalue their currencies and foster growth through export promotion (e.g. China). These developments have led to a renewed debate on the role of exchange rate policies as industrial policy tools in both academic and policy circles. Policy practitioners usually examine RER misalignments to monitor the behavior of this key relative price and, if possible, exploit distortions in the traded and non-traded relative price to promote growth. The main goal of this paper is to provide a systematic characterization of real exchange rate undervaluations. What are the consequences of undervaluation? What are the main determinants of undervaluations? Could policymakers generate and sustain RER undervaluations? More pecifically, our goal is to assess whether policymakers can exploit (if any) the nexus between RER and policy to weaken the currency and promote growth through competitive valuations. In this context, this paper complements and improves upon the existing literature by formulating a theoretical based model to compute equilibrium real exchange rate and its misalignment and to estimate and calculate RER misalignments. One of the novelties is to derive and solve for what we call intertemporal BOP equilibrium and equilibrium in the tradable and non-tradable goods market based on the current account dynamics and Harrod-Balassa-Samuelson (HBS) productivities. After solving for the RER in the steady state, we estimate the fundamental RER equation using cointegration techniques for time series –i.e. Johansen's (1988,1991) multivariate analysis and the error correction model (ECM) by Bewley (1979) and Wickens and Breusch (1987)– and for heterogeneous panel data –i.e. the pooled mean group estimator (PMGE) by Pesaran, Shin and Smith (1999). An empirical novelty of this paper is to model RER misalignments and estimating VAR models that link them with shocks to fundamentals and permits us to calculate the speed of reversion of RER misalignments. Once we estimate the equilibrium RER, we proceed to calculate the RER misalignment and, more specifically, we construct a dataset of real undervaluation episodes. Then, we present some basic evidence on the behavior of macroeconomic aggregates (output, demand, and inflation, among others) during undervaluation episodes using the “event analysis” methodology. Finally, we evaluate whether (and if so, to what extent) economic policies can be used to either cause or sustain real undervaluations. In this context we empirically model the likelihood and magnitude of sustaining RER undervaluations by examining their link to policy instruments (e.g. exchange rate regimes, capital controls, among other policies) using Probit and Tobit models, respectively.
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Wanga, Godwill George. "Hedging Exchange Rate Risks." ScholarWorks, 2017. https://scholarworks.waldenu.edu/dissertations/3373.
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Risks associated with fluctuating exchange rates affect investment cost and investor profitability. Approximately 50% of firms in emerging markets have significant exposure to fluctuating exchange rates. Grounded in principal-agent theory (PAT), the purpose of this case study was to explore hedging strategies to mitigate risks of fluctuating exchange rates. The population comprised a census sampling of 12 bank hedgers (risk managers and controllers) in Dar es Salaam in Tanzania, East Africa. Data collection involved semistructured interviews, casual observations of the work environment, and analysis of reports including risk management, internal control, and compliance policies. Data were analyzed by coding and grouping narrative segments and significant statements into themes of participants' experience in hedging exchange rate risks. Method triangulation and member checking were used to increase the trustworthiness of interpretations. Four themes emerged directly related to the PAT conceptual framework: training and skills development, management of hedging strategies and contracts, corporate governance, and benefits to management and the organization through effective compensation programs. A focus on training and skill development helped develop appropriate exchange rate hedging strategies and corporate governance improved compliance with laws, regulations, and policies. The benefits of effective hedging strategies include a reduction in cost and increase in profitability. The findings may help improve the soundness of professional hedging practices, which will increase the stability of the Tanzanian banking system.
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Gonzalez, Pablo. "Nominal exchange rate pegging, escape clauses and targeting of the real exchange rate." Texas A&M University, 2003. http://hdl.handle.net/1969.1/3916.
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We consider an economy under a fixed exchange rate system, but with bounds (a
minimum level or a band) on the real exchange rate. The international price of the
tradable good is characterized by the continuous arrival of shocks that change its level.
In a model with microfoundations, we investigate the effects of targeting the real
exchange rate through nominal exchange rate changes that preclude the real exchange
from trespassing the imposed bounds.
A stochastic general model with two goods and fixed non-tradable goods price level is
developed. We analyze the cases in which a lower bound or a band on the real exchange
rate is introduced. The general conclusion is that when bounds are established, then
welfare effects can be expected, which are generated at the expense of the levels of
consumption that go in the opposite direction than what policy intended. This short-run
effect is present even in the case the targeting policy is never exercised. This result is
similar to the one we find in the target zones literature, in the sense that just the existence of this tolerance band changes the behavior of the economy.
An interesting result is that, in the case in which home goods prices are fixed, the
imposition of the band on the real exchange rate does not change its behavior within the
band. However, this result is not true of other real variables in the economy. In other
words, although the targeted variable within the band behaves identically to the case in
which there are no bounds, the rest of the real variables in the economy behave
differently, even if the targeted variable remains within the band and the escape clause is
not triggered.
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Liu, Kit-ying Ida, and 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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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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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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Nikolaou, Kleopatra. "Essays on exchange rate and interest rate fluctuations." Thesis, University of Warwick, 2007. http://wrap.warwick.ac.uk/61950/.
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The aim of this thesis is to further investigate new empirical methods, results and implications on major topics relating to foreign exchange and interest rate markets. To this end, this thesis is organised in three chapters. The first chapter focuses on nominal exchange rates. It extends the literature of foreign exchange unbiasedness by including information from different derivatives markets. For the purpose of this thesis, it also implicitly provides a lead on the behaviour of interest rate differentials. The second chapter uses innovative econometric methodologies to add new insights in the behaviour of real exchange rates. Finally, Chapter Three explicitly models the international linkages between the interest rate differentials across countries with clear monetary policy implications. More specifically, a large empirical literature has tested the unbiasedness hypothesis in the foreign exchange market using forward exchange rates. In the first chapter we amend the conventional testing framework to exploit the information in currency options, using a newly constructed data set for three major dollar exchange rates. The main results are that: (i) tests based on stationary regressions suggest that options provide biased predictions of the future spot exchange rate; (ii) cointegration-based tests that are robust to several statistical problems afflicting stationary regressions and allow for endogeneity issues arising from a potential omitted risk premium term are supportive of unbiasedness. In the second chapter we test for mean reversion in real exchange rates using a recently developed unit root test for non-normal processes based on quantile autoregression inference in semi-parametric and non-parametric settings. The quantile regression approach allows us to directly capture the impact of different magnitudes of shocks that hit the real exchange rate, conditional on its past history, and can detect asymmetric, dynamic adjustment of the real exchange rate towards its long run equilibrium. Our results suggest that large shocks tend to induce strong mean reverting tendencies in the exchange rate, with half lives less than one year in the extreme quantiles. Mean reversion is faster when large shocks originate at points of large real exchange rate deviations from the long run equilibrium. However, in the absence of shocks no mean reversion is observed. Finally, we report asymmetries in the dynamic adjustment of the RER. Finally, in the third chapter we employ dynamic factor modelling and maximum likelihood estimation to investigate the existence, the patterns and the implications of common fluctuations in the money market rate differentials of a group of countries visa-vis the US or Germany. To the extent that money market rates reflect monetary policy decisions we argue that the resulting global factor represents the common part of monetary policy deviations across countries. We find that a significant part of such policy deviations is shared across countries and in fact is mainly driven by the policy interactions of the EU and the US. In particular, the US interest rate seems to emerge as a potential global interest rate. The implication is that policy makers should pay closer attention to foreign policies when setting domestic ones.
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Yuan, Chunming. "Essays on exchange rate behavior and financial anomalies." Diss., Restricted to subscribing institutions, 2008. http://proquest.umi.com/pqdweb?did=1621833961&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.
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FERNANDEZ, CASSIANA YUMI HAYASHI. "REAL EXCHANGE RATE AND COMMODITY PRICES: RELATION IDENTIFIED USING CHANGES OF EXCHANGE RATE REGIME." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2003. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=4235@1.
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A partir do método de Rigobon (2001) para identificação de
um sistema de equações simultâneas na presença de
heterocedasticidade, aprofundamos a discussão sobre a
relação entre os preços internacionais de commodities e o
câmbio real para países com determinadas características.
Ao contrário da abordagem tradicional da literatura de
commodity currency nesta dissertação admitimos a
possibilidade dos preços de commodities serem endógenos em
relação à taxa de câmbio, trabalhamos com séries que
incorporam mais de um regime cambial e, através de diversas
simulações, encontramos evidências de que hipóteses sobre a
estacionariedade das séries, em torno da raiz unitária, não
afetam significativamente os resultados do exercício
empírico. Salvo algumas restrições, os resultados derivados
sugerem que o câmbio real do Brasil deve apreciar em
resposta a elevações nos preços internacionais das
principais commodities que exporta, mas a elasticidade dos
preços de commodities em relação ao câmbio não pode ser
considerada estatisticamente diferente de zero. Para a Nova
Zelândia, as evidências indicam que os efeitos
contemporâneos dos movimentos da taxa de câmbio sobre os
preços das suas principais commodities exportadas é
significativo, embora o efeito dos preços das commodities
sobre o câmbio deva ser considerado estatisticamente igual
a zero.Using Rigobons (2001) identification method for simultaneous equations models, based on the heteroskedasticity of the structural shocks, we analyze the relationship between the exchange rate and commodity prices for specific countries. Instead of the traditional approach of the commodity currency literature, we allow for endogenous effects of the exchange rates on the commodity prices, and we work with series that span two exchange rate regimes. From the results of some simulations, we also find out that the lack of assumptions about the stationarity of the series, close to the unity root, do not harm the conclusions of the empirical exercise. In spite of some caveats, the results of the empirical investigation suggest that the real exchange rate of Brazil should appreciate in response to a rise in the prices of its most important export commodities. However, the elasticity of the commodity prices to the exchange rate can not be considered different from zero, implicating that the country does not have much market power in the trade of these commodities. For New Zealand, the evidence indicates that exchange rate variations are important for the determination of the commodity prices, although the impact of commodity prices on the exchange rate is statistically equal to zero.
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Kim, Young Se. "Expectations, learning, and exchange rate dynamics." Connect to this title online, 2004. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1087229892.
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Thesis (Ph. D.)--Ohio State University, 2004.Title from first page of PDF file. Document formatted into pages; contains xiii, 121 p.; also includes graphics (some col.) Includes bibliographical references (p. 117-121). Available online via OhioLINK's ETD Center
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Shu, Yan. "Essays on Exchange Rate Economics." FIU Digital Commons, 2008. http://digitalcommons.fiu.edu/etd/16.
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Exchange rate economics has achieved substantial development in the past few decades. Despite extensive research, a large number of unresolved problems remain in the exchange rate debate. This dissertation studied three puzzling issues aiming to improve our understanding of exchange rate behavior. Chapter Two used advanced econometric techniques to model and forecast exchange rate dynamics. Chapter Three and Chapter Four studied issues related to exchange rates using the theory of New Open Economy Macroeconomics. Chapter Two empirically examined the short-run forecastability of nominal exchange rates. It analyzed important empirical regularities in daily exchange rates. Through a series of hypothesis tests, a best-fitting fractionally integrated GARCH model with skewed student-t error distribution was identified. The forecasting performance of the model was compared with that of a random walk model. Results supported the contention that nominal exchange rates seem to be unpredictable over the short run in the sense that the best-fitting model cannot beat the random walk model in forecasting exchange rate movements. Chapter Three assessed the ability of dynamic general-equilibrium sticky-price monetary models to generate volatile foreign exchange risk premia. It developed a tractable two-country model where agents face a cash-in-advance constraint and set prices to the local market; the exogenous money supply process exhibits time-varying volatility. The model yielded approximate closed form solutions for risk premia and real exchange rates. Numerical results provided quantitative evidence that volatile risk premia can endogenously arise in a new open economy macroeconomic model. Thus, the model had potential to rationalize the Uncovered Interest Parity Puzzle. Chapter Four sought to resolve the consumption-real exchange rate anomaly, which refers to the inability of most international macro models to generate negative cross-correlations between real exchange rates and relative consumption across two countries as observed in the data. While maintaining the assumption of complete asset markets, this chapter introduced endogenously segmented asset markets into a dynamic sticky-price monetary model. Simulation results showed that such a model could replicate the stylized fact that real exchange rates tend to move in an opposite direction with respect to relative consumption.
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Marsh, Ian William. "Exchange rate forecasts and forecasting." Thesis, University of Strathclyde, 1994. http://oleg.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=21506.
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This thesis is concerned with forecasting key floating exchange rates. The first half is based on the predictions of almost two hundred forecasters, working in banks, industrial companies, chambers of commerce and specialist forecasting agencies. It demonstrates that individual forecasters interpret commonly available information differently, and that these differences of opinion translate into economically meaningful heterogeneity in forecast performance - some forecasters are significantly more accurate than others. It also shows that the dispersion of forecasts helps to explain turnover in the foreign exchange futures market. The notion that the best predictive model of the exchange rate is a random walk has stood the test of time. In chapter three we evaluate the forecasts of our panellists based on a variety of metrics, using the random walk as a benchmark. Over short horizons (three months) the random walk remains preeminent, but over a one year horizon several forecasters demonstrate an ability to outperform. In an attempt to overturn the short horizon results we combine forecasts using several techniques in chapter four, but to no avail. It would appear that we are unable to find any information that is not discounted into the current spot rate but which is relevant over short forecast intervals. The second half of the thesis builds three exchange rate models based on an augmented theory of purchasing power parity, with which we forecast key rates. The five variable, simultaneous equation models each incorporate long-run equilibria characterised by economically meaningful restrictions, and complex short term dynamics. The thesis demonstrates that these models are capable of generating fully dynamic forecasts which rank very favourably when compared to our panellists. More tellingly, it also shows that the forecasts are significantly better than a random walk over all but the shortest of horizons.
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Roberts, Mark Andrew. "Information and exchange rate dynamics." Thesis, University of Warwick, 1988. http://wrap.warwick.ac.uk/4460/.
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Theoretical models of the exchange rate are developed where information on the model is not fully available to agents. It is an application of Benjamin Friedman's (1979) theme that full rational expectations may be a possibility only in the long-run, even for completely rational individuals. The thesis attempts to develop the theory of exchange rate behaviour by considering some neglected informational issues. The three substantive chapters each consider specific aspects of relevance to the determination of the exchange rate from an asset market view of perfect capital mobility. These are the possible current account inter-relationship, the persistence of interest rate differentials between the two currencies and the subjectivity of and the regress in beliefs across a decentralised market. Generally, limited information on the model will give rise to erroneous beliefs, on the one hand, and encourage the acquistion of information and the revision of beliefs, on the other. Erroneous beliefs will cause correlations between variables, which may not normally occur inside full rational expectations. The revision of beliefs will bring a particular source of non-stationarity to the data. And the stability of certain learning forms may require limitations on the degree of capital mobility. These conclusions would suggest that any empirical work on modelling the exchange rate may gain from relaxing certain a priori restrictions, which properly belong to models with stronger assumptions on the availability of information.
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Ulu, Dilek. "Essays on exchange rate exposure." Thesis, University of Essex, 2013. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.654581.
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This thesis consists of three substantive essays on exchange rate exposure, each constituting a separate chapter. These essays address three questions to improve our knowledge on exchange rate exposure. First, do exchange rates matter to firms? Secondly, which companies are more likely to be affected by exchange rate changes? Finally, does exchange rate exposure play a role in cross-sectional return variation? The first essay (Chapter 2) addresses the first two questions for the UK market by utilising a detailed and novel dataset drawn from a variety of sources, including hand collected data from company financial reports. This permits a robust examination of exchange rate exposure and its determinants in the UK market. The chapter analyses monthly firm characteristics data for a sample of 168 non-financial companies for the 2000-2011 period. The empirical results indicate that firms with more foreign sales, less foreign assets and higher growth opportunities exhibit more exposure to exchange rate changes. The second essay (Chapter 3) adopts a novel quantile regression approach to examine exchange rate exposure in the UK market. This is able to provide a more nuanced picture of the relationship between exchange rate changes and stock returns. A puzzling finding in the exchange rate exposure literature is that often empirical researchers are led to conclude that exchange rate changes have no impact on stock returns. By adopting the quantile regression approach, the results show that exchange rate exposure is significant and negative for the firms which underperform and positive for the firms which overperform. The final essay (Chapter 4) investigates the relation between exchange rate exposure and stock returns. Specifically we use Fama-Macbeth regressions and focus on a sample of 251 UK non-fmancials over the years 2002-2011. We opt for a quantile regression estimation method which provides robust and more efficient estimates than OLS does particularly for data samples with heterogeneity and outliers. Our fmdings show that exposure is economically meaningful and is an important contributor to the cross-sectional variation in returns. We reveal substantial heterogeneity in the effects of exchange rate exposure on future stock returns
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Diallo, Ibrahima Amadou. "EXCHANGE RATE POLICY AND PRODUCTIVITY." Phd thesis, Université d'Auvergne - Clermont-Ferrand I, 2013. http://tel.archives-ouvertes.fr/tel-00997038.
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Cette thèse étudie comment le taux de change effectif réel (TCER) et ses mesures associées (volatilité du TCER et désalignement du TCER) affectent la croissance de la productivité totale des facteurs (CPTF). Elle analyse également les canaux par lesquels le TCER et ses mesures associées agissent sur la productivité totale des facteurs (PTF). La première partie étudie comment le TCER lui-même, d'une part, et la volatilité du TCER, d'autre part, influencent la productivité. Une analyse du lien entre le niveau du TCER et la PTF dans le chapitre 1 indique qu'une appréciation de taux de change cause une augmentation de la PTF. Mais cet impact est également non-linéaire: en-dessous du seuil, le TCER influence négativement la productivité tandis qu'au-dessus du seuil il agit positivement. Les résultats du chapitre 2 illustrent que la volatilité du TCER affecte négativement la CPTF. Nous avons également constaté que la volatilité du TCER agit sur PTF selon le niveau du développement financier. Pour les pays modérément financièrement développés, la volatilité du TCER réagit négativement sur la productivité et n'a aucun effet sur la productivité pour les niveaux très bas et très élevés du développement financier. La deuxième partie examine les canaux par lesquels le TCER et ses mesures associées influencent la productivité. Les résultats du chapitre 3 illustrent que la volatilité du TCER a un impact négatif élevé sur l'investissement. Ces résultats sont robustes dans les pays à faible revenu et les pays à revenu moyens, et en employant une mesure alternative de volatilité du TCER. Le chapitre 4 montre que le désalignement du taux de change réel et la volatilité du taux de change réel affectent négativement les exportations. Il démontre également que la volatilité du taux de change réel est plus nocive aux exportations que le désalignement. Ces résultats sont corroborés par des résultats sur des sous-échantillons de pays à bas revenu et à revenu moyen.
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Sager, Michael. "Exchange rate modelling and forecasting." Thesis, University of Warwick, 2004. http://wrap.warwick.ac.uk/1222/.
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The objective of this thesis is to assess the current state of exchange rate modelling and forecasting. The thesis has four distinct essays, each one analysing a current interest topic in this wide and vibrant area of economic research. But a common thread runs through all four: to determine whether it is possible to use the results of this research to develop trading strategies that can add persistent value to international investment portfolios with significant exposure to the foreign exchange market. This market has a daily turnover of $1.9 trillion (BIS, 2004) and is the most liquid financial exchange in the world, by some distance. Nonetheless, we argue that the market is also inefficient, in the sense that profitable trading opportunities persist and that prices do not reflect all available public information on a continuous basis. If we are correct-and we present simulation results that suggest we are-then the opportunity to derive and test plausible trading rules for the management of international investment portfolios though rigorous academic research is enormous. Yet all too often academic exchange rate research appears to be conducted in a cocoon, with the result that conclusions are sometimes difficult to apply in a practical context by portfolio managers. These difficulties reflect the computational requirements of implementing highly intensive trading strategies, associated trading costs and size limitations, and the practical limitations on implementation raised by publication lags and general data limitations. We aim to address these difficulties throughout this thesis. By assessing the merits of various theoretical models that collectively encompass all of the main themes on the current research agenda, we will be in a position to appreciate both the statistical and economic value of existing academic research, isolating areas of real merit for the investment community, and suggesting areas for further attention.
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Tristani, Oreste. "Essays on exchange rate risk." Thesis, University of Warwick, 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.339834.
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Naja, Rafic Y. W. (Rafic Youssef Walid) 1971. "Exchange rate misalignment and realignment." Thesis, Massachusetts Institute of Technology, 1998. http://hdl.handle.net/1721.1/10127.
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Antonakakis, Nikolaos. "Essays on exchange rate volatility." Thesis, University of Strathclyde, 2010. http://oleg.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=22004.
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This thesis explores a number of aspects of time series modelling of exchange rate volatility. After having reviewed the main modelling approaches used in the existing literature, the first key chapter investigates the best models for forecasting the volatility of daily exchange rate returns for a number of countries, including new results for a selection of developing countries. The superior performance of the FIGARCH model, noted in the recent literature, is confirmed in the case of industrialised countries, but the MARCH model results in substantial gains in insample estimation and out-of-sample forecasting performance when dealing with developing countries. The next essay investigates exchange rate volatility co-movements and spillovers before and after the launch of the Euro. This study has the advantage of a longer sample period than the most comparable papers. Key results are that the dominance of the Deutschemark in volatility transmission was succeeded by the dominance of the Euro following its launch, in that both exert unidirectional and persistent spillovers on the sterling, the Swiss franc and the Japanese yen. Further, there is evidence of greater stability in financial markets after the launch of the Euro in that conditional variances, covariances and correlations in exchange rate returns declined significantly. Finally the thesis turns to assessing the impact of official central bank interventions (CB1s) on exchange rate returns, their volatility and bilateral correlations. By exploiting the recent publication of intervention data by the Bank of England, this study is able to investigate interventions by a total number of four central banks, while the previous studies have been limited to three (the Federal Reserve, Bundesbank and Bank of Japan). The results of the existing literature are reappraised and refined. In particular, unilateral CBI is found to be more successful than coordinated CBI. The likely implications of these findings are then discussed.
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Chowdhury, Md Ibrahim Saeed. "Essays in exchange rate economics." Thesis, University of Oxford, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.394978.
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Wali, Muammer Reza Bin. "Essays in exchange rate economics." Thesis, Curtin University, 2014. http://hdl.handle.net/20.500.11937/694.
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This research analyses the key issues in exchange rate economics. It provides a systematic treatment of exchange rate volatility and its manifestations, the presence of nonlinearity in exchange rates, and the interaction between national price levels and exchange rates. The approach is empirical. The results of this study are expected to contribute to an understanding of the existing empirical puzzles that profoundly impact economic policy-making and business.
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Demetriou, Eleni. "Effects of exchange rate on chemical exchange saturation transfer." Thesis, University College London (University of London), 2018. http://discovery.ucl.ac.uk/10051323/.
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The general work presented in this thesis describes the implementation and optimization of CEST MRI techniques on a preclinical 9.4 T MRI scanner for quantifying the chemical exchange rate or the exchange relaxation term both in vitro and in pathological conditions. A novel pulse sequence for measuring chemical exchange rates through a progressive saturation recovery process, called PRO-QUEST (PROgressive saturation for Quantifying Exchange rates using Saturation Times) has been developed. A complete theoretical framework has been set up, and the exchange rates calculated in several aminoacids using PRO-QUEST were compared and found in good agreement with standard methods. A reduction of scan time from 58min to 16min has been obtained using PRO-QUEST for measurement in both healthy and infarcted rat after 24 hours and revealed that imaging specificity to ischemic acidification was substantially increased relative to standard APT-weighted imaging. The second part of this thesis describes the development of CEST contrast agents based on liposome encapsulation. For this work a concise analytical model has been developed for characterizing the liposomal contrast. In addition, combining this analytical model with measurements of the CEST signal enhancement using liposomes as a model membrane system provides a new technique for studying membrane permeability. All theoretical developments are included as part of this second major chapter. The final part of the thesis describes applications of CEST and high-resolution magnetic resonance spectroscopy for studying prion protein misfolding and neurodegeneration in Prion disease. Here alterations in CEST signal are detected before structural changes or any clinical signs of Prion disease, most likely based on changes in exchange rates, which is encouraging for translation of CEST imaging for early detection of neurodegenerative processes. Thus, CEST signal displays different patterns at different stages of the disease indicating the potential of using CEST to separate different groups of Prion-infected mice.
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Ryou, Hyunjoo. "Exchane Rate Dynamics under Financial Market Frictions- Exchange rate regime, capital market openness and monetary policy -Electoral cycle of exchange rate in Korea : The Trilemma in Korea." Phd thesis, Université de Cergy Pontoise, 2012. http://tel.archives-ouvertes.fr/tel-00838836.
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-Exchange Rate Dynamics under Financial Market FrictionsThis paper extends Dornbusch's overshooting model by proposing "generalized interest parity condition", which assumes sluggish adjustment on the asset market. The exchange rate model under the generalized interest parity condition is able to reproduce the delayed overshooting of nominal exchange rates and the hump-shaped response to monetary shocks of both nominal and real exchange rates.-Electoral Cycle of Exchange Rate in KoreaThis paper empirically investigates the real exchange rate behavior around elections in Korea. We find that the real exchange rate depreciates more before the elections but there is no clear pattern found after the elections. Interestingly, this result is the opposite of the electoral cycle found in Latin American countries. To explain this results we should consider the difference between economic backgrounds of Korea and Latin American countries.-Exchange Rate Regime, Capital Market Openness and Monetary Policy; The Trilemma in KoreaThis paper tests the trilemma proposition by performing an empirical study of Korea. Korea has distinct periods of all combinations of exchange rate regime and capital market openness in trilemma: pegged exchange rate regime under capital controls, pegged exchange rate regime under free capital mobility, and floating exchange rate regime under free capital mobility. We check whether monetary autonomy exists in each of the three different combinations. We find that monetary autonomy existed over the periods with capital controls and the periods with floating exchange rate regime. For the periods with the pegged exchange rate regime and free capital mobility, monetary autonomy was limited. In addition, we identify that just before the financial crisis the government pursued autonomic monetary policy under pegged exchange rate regime and free capital mobility, thereby defying the trilemma.
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Wu, Yangru. "Two essays on exchange rate dynamics : econometric studies of mean reversion and exchange rate bubbles." Connect to resource, 1993. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1262620540.
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Ramli, Norimah. "Essays on applied exchange rate issues : some new evidence on the export led growth hypothesis, exchange rate exposure, and the exchange rate volatility-export nexus." Thesis, University of Southampton, 2012. https://eprints.soton.ac.uk/346634/.
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The thesis comprises three essays, all of which are empirical studies of different issues on exchange rates. Implementing advanced econometrics methodologies with monthly time series data, these studies focus on macroeconomic determinants to measure the relationships within the variables. The first essay (Chapter Two) re-examines the robustness of the export-led growth hypothesis across the exchange rate regimes in Malaysia. According to the exchange rate regime history, Malaysia experienced three different exchange rate mechanisms from 1990 to 2010. Generally, the results vary across the time and regimes. Specifically, the study suggests bi-directional and/or unidirectional causality between exports and economic growth across the regimes, both in the short-run and long-run. The second essay (Chapter Three) tries to bridge the gap between the exchange rate issues by investigating the impact exchange rate exposure on sector level in Malaysia from October, 1992 to December, 2010. The purpose of this study is to examine the impact of the exchange rate exposure in Malaysia sectorial returns by using an augmented model. Overall, in all instances, the results suggest that the exchange rate exposures in Malaysia can be categorized as the long memory in the volatility process. After investigating currency exposure in two types of models, the results further suggest that the sectors are largely affected by the currency fluctuations. The third essay (Chapter Four) explores the channels and magnitude of exchange rate volatility-export nexus empirically on the export flow of five ASEAN countries namely, Singapore, Malaysia, Thailand, Philippines and Indonesia to the United States from January, 1990 to December, 2010. The major results show that increases in the volatility of the real bilateral exchange rate, exert significant effects upon export demand in the short run in each of the ASEAN countries. This study further suggests significant negative effects from the bilateral exchange rate volatility of exports flow in Singapore, Malaysia and Philippines. However, these findings do not apply to Indonesia and Thailand.
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Luangnarumitchai, Jakkapan. "Exchange rate exposure of U.S. industries." Thesis, Atlanta, Ga. : Georgia Institute of Technology, 2009. http://hdl.handle.net/1853/31642.
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Thesis (M. S.)--Economics, Georgia Institute of Technology, 2010.Committee Chair: Kilic, Rehim; Committee Member: Iacopetta, Maurizio; Committee Member: McCarthy, Patrick. Part of the SMARTech Electronic Thesis and Dissertation Collection.
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Eita, Joel Hinaunye. "Estimating the equilibrium real exchange rate and misalignment for Namibia." Thesis, Pretoria : [s.n.], 2007. http://upetd.up.ac.za/thesis/available/etd-11212007-134835.
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Zainal, Arindra Artasya. "Exchange rate pass-through, exchange rate volatility, and their impacts on export : evidence from Indonesian data /." Search for this dissertation online, 2004. http://wwwlib.umi.com/cr/ksu/main.
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Milisi, Busisiwe. "The exchange rate volatility and inflation rate in South Africa." Thesis, Nelson Mandela Metropolitan University, 2015. http://hdl.handle.net/10948/9151.
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The study examines exchange rate volatility and inflation in South Africa over the period of 1987- 2012 using annual data. With the use of VAR, ADF unit root testing and Johansen for cointegration the study examines the relationship between exchange rate volatility and inflation in South Africa. The study also examines other variables, which are Money Supply, Trade Openness, Real Interest Rate and Real Gross Domestic Product (RGDP), if they had an impact on inflation and had contributed significantly to inflation during the period under review. All macroeconomic variables were identified to have an impact on inflation in the long-run. Exchange rate volatility was identified as the main variable that had substantial impact on inflation rate. The study recommended the current system used by the authorities was working well, as they can pursue a countercyclical macro policy, but also continue to manage the float by intervening to stabilize the exchange rate. The reason for this recommendation was that because one of the advantages of floating exchange rate is freeing internal policy, with a floating exchange rate, balance of payments disequilibrium would be rectified by a change in the external price of the currency. However, with a fixed rate, curing a deficit could involve a general deflationary policy resulting in unpleasant consequences for the whole economy such as unemployment.
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Westerhoff, Frank H. "Chartists, fundamentalists, and exchange rate fluctuations /." Aachen : Shaker, 2002. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=010261952&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Avellán, Leopoldo Martin. "Essays on multiple exchange rate systems." College Park, Md. : University of Maryland, 2005. http://hdl.handle.net/1903/3054.
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Thesis (Ph. D.) -- University of Maryland, College Park, 2005.Thesis research directed by: Economics. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.
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Cociu, Sergiu. "Trade openess and exchange rate volatility." Thesis, Jönköping University, Jönköping International Business School, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-983.
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The present thesis tries to argue the importance of non monetary factors in explaining real exchange rate volatility. The main interest is on the effect of trade openness on real effec-tive exchange rate (REER) volatility. Based on theoretical studies I test the existence of a negative relationship between total trade share of an economy and the volatility of REER. Empirical evidence on a panel of 11 CEE and Baltic Countries for the 1995-2006 period confirms the relationship. The conclusion is that for these specific countries a large part of variation of the real exchange rate can be explained by openness of the respective economy to trade.
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Forsberg, Linnéa. "Exchange Rate Exposure of Swedish Banks." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Nationalekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18399.
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Post, Erik. "Macroeconomic uncertainty and exchange rate policy /." Uppsala : Department of Economics, Uppsala universitet, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-7808.
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Selander, Carina. "Chartist trading in exchange rate theory." Doctoral thesis, Umeå : Department of Economics, Umeå University, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-922.
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Westerhoff, Frank. "Chartists, fundamentalists, and exchange rate fluctuations /." Aachen : Shaker, 2002. http://www.gbv.de/dms/zbw/355764563.pdf.
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Wolden, Bache Ida. "Econometrics of exchange rate pass-through /." Oslo : Unipub, 2007. http://www.gbv.de/dms/zbw/527973297.pdf.
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Joy, Mark. "Three essays on exchange-rate misalignment." Thesis, University of Glasgow, 2011. http://theses.gla.ac.uk/2601/.
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Theories of exchange-rate determination have generated a vast theoretical and empirical literature. This thesis adds to that body of literature by asking three questions. (i) How do policymakers respond to exchange-rate misalignment? (ii) How does misalignment affect the decisions of financial-market participants? (iii) What do exchange-rate dynamics reveal about the choices of investors in the face of currency risk? These three questions are tackled with studies that offer broad and tractable conclusions and contribute to furthering the current field of research.
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Nguyen, Viet Hoang. "Three essays in exchange rate modelling." Thesis, University of Leeds, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.531609.
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Kim, Gil. "THREE ESSAYS ON EXCHANGE RATE ECONOMICS." UKnowledge, 2009. http://uknowledge.uky.edu/gradschool_diss/752.
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A country’s economy is becoming more and more dynamic and complicated in its scale and mobility. So, the concerns of exchange rate economics have become more popular. My research interest is in international economics with its major factor, exchange rates and other macroeconomic variables. Chapter 1 presents a brief introduction of the three studies.
Chapter Two investigate the role of exchange rate changes with particular attention to international capital flows. With liberalization of capital movements, international capital movements became free and unrestricted in many emerging market economies as well as developed countries. Using a Vector Auto-regressive (VAR) model for a small open economy in which the endogeneity of exchange rate changes is fully taken into account, I find that capital movements are more likely to be a cause of output fluctuations and current account deficits in developing countries than a channel of equilibrium changes. I also find that domestic currency depreciation is far more likely to be contractionary on domestic output in developing countries than in developed countries. Interestingly, the trade balance improves after depreciation regardless of its output consequence. These findings suggest that there are important differences between developed and developing economies in the way capital movements and exchange rate changes affect and are affected.
Chapter Three demonstrates the dynamic relationship between the current account and the real exchange rate in response to permanent and temporary shocks using structural VAR models for seven developed countries and five developing countries. Special focus is given to the issue of the stationarity of the current account. Capital flows are also included to capture external shocks as well as potential structural breaks due to financial liberalization. I find that the results for unit root tests for the current account are ambiguous. By testing two different VAR models, each taking an opposing stance on the stationarity of the current account, I conclude that responses based on a stationary current account are a better fit to the current theoretical view than those based on a nonstationary current account process. Additionally, the real exchange rate and the current account are positively correlated under a permanent shock while two variables are negatively correlated under a monetary shock. I also find that real exchange rate is an endogenous variable, which is not closely related to the temporary factors that affect the current account in the short run.
Chapter Four examines the long-run mean reverting behavior of the real exchange rates with its six different definitions for 27 economies using annual data from 1974 to 2003. I find that Purchasing Power Parity (PPP) holds better, and the half-life of the real exchange rates is shorter when the wholesale price index, rather than consumer price index, is used as price level measure. Somewhat surprisingly, there is no evidence that PPP holds better with trade-weighted real exchange rates than with bilateral ones regardless of the price index used. Strong evidence for PPP emerges only with the use of Im, Pesaran, and Shin (2003) panel tests but not with the Levine, Lin, and Chu (2002).