Dissertations / Theses on the topic 'Exchange rates'
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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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Fuksa, Michel Carleton University Dissertation Management Studies. "Forecasting exchange rates." Ottawa, 1997.
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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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Dror, Marika. "Forecasting of exchange rates." Doctoral thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-202335.
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The thesis investigates different exchange rate models and their forecasting performance. The work takes previous literature overview and summarize their findings. Despite the significant amount of papers which were done on the topic of exchange rate forecast, basically none of them cannot find an appropriate model which would outperform a forecast of a simple random walk in every horizon or for any currency pair. However, there are some positive findings in specific cases (e.g. for specific pair or for specific time horizon). The study provides up-to-date analysis of four exchange rates (USD/CZK, USD/ILS, USD/GBP and USD/EUR) for the period of time from January 2000 to August 2013 and analyse forecasting performance of seven exchange rate models (uncovered interest rate parity model, purchasing power parity model, monetary model, monetary model with error correction, Taylor rule model, hidden Markov model and ESTAR model). Although, the results are in advantage of Taylor rule model, especially for the exchange rate of USD/CZK, I cannot prove that the forecasting performance is significantly better than the random walk model. Except of the overall analysis, the work suppose instabilities in the time. Stock and Watson (2003) found that the forecast predictability is not stable over time. As a consequence, the econometric model can give us better forecast than random walk process at some period of time, however at other period, the forecasting ability can be worse than random walk. Based on Fluctuation test of Giacomini and Rossi (2010a) every model is analysed how the out-of-sample forecast ability changes over time.
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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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Alexius, Annika. "Essays on exchange rates, prices and interest rates." Doctoral thesis, Handelshögskolan i Stockholm, Samhällsekonomi (S), 1997. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-862.
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Chantapacdepong, Pornpinun. "Essays in interest rates, exchange rates and savings." Thesis, University of Bristol, 2007. http://hdl.handle.net/1983/2ca48335-de06-42e6-a9fe-05e13bfdc6ab.
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This thesis studies the behaviour of interest rates in government bonds markets, foreign exchange rates and national savings. There are three main chapters in the thesis. The first chapter consists of a comparative study of government securities and risk. It generates monthly interest rate risk premium data and examines their determinants. The results show that the risk premia are time varying and also vary considerably across sample countries. In particular, countries with better financial development and higher income generally have lower risk premia of government assets. Additionally, the risk premia are significantly affected by macroeconomic circumstances, especially economic growth and the real effective exchange rate.
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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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Furlan, Benjamin, Martin Gächter, Bob Krebs, and Harald Oberhofer. "Democratization and real exchange rates." Wiley, 2016. http://dx.doi.org/10.1111/sjpe.12088.
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In this article, we combine two so far separate strands of the economic literature and argue that democratization leads to a real exchange rate appreciation. We test this hypothesis empirically for a sample of countries observed from 1980 to 2007 by combining a difference-in-difference approach with propensity score matching estimators. Our empirical results reveal a strong and significant finding: democratization causes real exchange rates to appreciate. Consequently, the ongoing process of democratization observed in many parts of the world is likely to reduce exchange rate distortions.
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Mattina, Todd D. "International prices and exchange rates." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2002. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp05/NQ65681.pdf.
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Friberg, Richard. "Prices, profits and exchange rates." Doctoral thesis, Handelshögskolan i Stockholm, Samhällsekonomi (S), 1997. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-852.
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Haghpanahan, Houra. "Essays on exchange rates behaviour." Thesis, University of Leicester, 2015. http://hdl.handle.net/2381/37226.
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This thesis aims to investigate the exchange rate behaviour and its abnormal movements. By doing so, I introduce a novel instrument which contributes to analyse the exchange rate behaviour. I then apply the new instrument, called wavelet analysis, to investigate the relation of exchange rate to price ratio (PPP proposition) and the relation of exchange rate and interest rates (UIRP proposition). Finally, I concentrate on the specific movements in exchange rate that leads to currency crises. The second chapter introduces wavelet analysis which has been extensively applied to many situations with favourable results. Many researchers are expanding wavelet application in a variety of fields such as signal processing, physics and astronomy. It has remarkable potential properties that can be applied in the disciplines of economics and financial. The first attempt of this chapter is to introduce wavelet analysis in an intuitive manner. The next step involves reviewing the potential and possible contributions of wavelet analysis in empirical economic and finance literature. I also examine the validity of short-run and long-run purchasing power parity (PPP) hypothesis applying wavelet analysis. The results indicate that the impact of price ratio on exchange rates are positive and close to unity. The findings confirm that the PPP holds for long-run horizon. The third chapter deals with examining the relationship between spot exchange rates and the interest rate differentials (UIRP) for ten bilateral currencies against the Pound Sterling in short and long time horizons, simultaneously. The distinguishing feature of this study is to apply wavelet transform to decompose the time series into short-run and long-run time horizons. I find out both negative and positive relationships between exchange rates and interest rate differentials. The former is supported by the fixed-price model in short-run and the latter is supported by flexible-price model in long-run. In the forth chapter, I evaluate the potential leading indicators of a currency crash by applying a quarterly panel of 26 developing and developed countries. I split the definition of currency crashes according to different generations of the currency crises in the literature. Based on two different definitions, I use two binomial logit models, which provide estimations of the probability of a currency crash occurring. The empirical results reveal that domestic credit growth rate, ratio of reserves to GDP, current account, output growth rate, and ratio of national debt to GDP are consistently associated with the early warning theory. According to definitions provided by this chapter, the findings show that current account and GDP growth rate in the developing countries and current account and national debt in the developed countries are significantly related to the crash incident. This chapter also criticizes the previous papers for their construction of exchange rate overvaluation indicator and proposes a recursive Kalman filter to express overvaluation. The findings confirm that overvaluation of exchange rate is not an appropriate predictor of currency crashes unlike previous studies.
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Diallo, Ibrahima Amadou. "Exchange rates policy and productivity." Thesis, Clermont-Ferrand 1, 2013. http://www.theses.fr/2013CLF10405/document.
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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- inéaire: 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 moyenThis dissertation investigates how the real effective exchange rate (REER) and its associated asurements (REER volatility and REER misalignment) affect total factor productivity growth (TFPG). It also analyzes the channels through which the REER and its associated measurements act on total factor productivity (TFP). The first part studies how the REER itself, on the one hand, and the REER volatility, on the other hand, influence productivity. An analysis of the link between the level of REER and TFP in chapter 1 reveals that an exchange rate appreciation causes an increase of TFP. But this impact is also nonlinear: below the threshold, real exchange rate influences negatively productivity while above the threshold it acts positively. The results of chapter 2 illustrate that REER volatility affects negatively TFPG. We also found that REER volatility acts on TFP according to the level of financial development. For moderately financially developed countries, REER volatility reacts negatively on productivity and has no effect on productivity for very low and very high levels of financial development. The second part examines the channels through which the REER and its associated measurements influence productivity. The results of chapter 3 illustrate that the exchange rate volatility has a strong negative impact on investment. This outcome is robust in low income and middle income countries, and by using an alternative measurement of exchange rate volatility. Chapter 4 show that both real exchange rate misalignment and real exchange rate volatility affect negatively exports. It also demonstrates that real exchange rate volatility is more harmful to exports than misalignment. These outcomes are corroborated by estimations on subsamples of Low- ncome and Middle-Income countries
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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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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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Lindblad, Hans. "Essays on Unemployment and Real Exchange Rates." Doctoral thesis, Stockholms universitet, Nationalekonomiska institutionen, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-43830.
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In the first essay, Persistence in Swedish Unemployment Rates, we study if there is no or weak tendency in unemployment rates to revert back to previous levels. Persistence is caused by: natural rate shocks, long unemployment cycles, and spill-over from cyclical to permanent unemployment. We find evidence of high persistence. The results suggest that the quick rise of unemployment rates during 1992-1994 was caused by large permanent and cyclical shocks in combination with spill-over effects. In the second essay, The Equilibrium Rate of Unemployment in a Small Open Economy, we challenge the common and simplifying assumption that the economy is closed. We set up and estimate a structural unobserved components open economy model for the unemployment rate and the real exchange rate. Our estimates indicate that the foreign sector is of substantial importance when explaining movements in the NAIRU. In the third essay, A Simultaneous Model of the Swedish Krona, the US Dollar and the Euro, we simultaneously estimate the real exchange rates between the Swedish Krona, the US Dollar and the Euro. The exchange rate movements are well explained by potential output, the output gap, terms of trade, the fraction of prime-aged people in the population, and structural government budget deficits. The models work well in an out of sample exercise. In the last essay, Wages, Employment, and Unemployment: The Effect of Benefits, Taxes and Labor Mobility, we study how wages and employment are affected by unemployment insurance and labor mobility. We show that the wage effect of higher unemployment benefits can be either positive or negative, depending on the specification of union utility function and the taxation scheme for financing the benefits. The common claim that wages are lower when a sector bears a higher fraction of unemployment costs does not hold in general. We also show that labor mobility across sectors and increased competition reduces wages and unemployment.
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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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Liu, Peter Chi-Wah. "The dynamics of nominal exchange rates." Gainesville, FL, 1989. http://www.archive.org/details/dynamicsofnomina00liup.
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Wilander, Fredrik. "Essays on exchange rates and prices." Doctoral thesis, Stockholm : Economic Research Institute (EFI), Stockholm School of Economics, 2006. http://www2.hhs.se/EFI/summary/693.htm.
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Ricchi, Ottavio. "Studies on fundamental equilibrium exchange rates." Thesis, University of Exeter, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.248468.
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Gourinchas, Pierre-Olivier. "Essays on exchange rates, and consumption." Thesis, Massachusetts Institute of Technology, 1996. http://hdl.handle.net/1721.1/10830.
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Goldfajn, Ilan. "On public debt and exchange rates." Thesis, Massachusetts Institute of Technology, 1995. http://hdl.handle.net/1721.1/11082.
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Zhang, Guangfeng. "Exchange rates : macro and micro fundamentals." Thesis, University of Glasgow, 2009. http://theses.gla.ac.uk/933/.
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This thesis aims to examine a number of issues related to exchange rate movements at different time horizons: long-run, in terms of investigating equilibrium real exchange rates; medium-run, in terms of investigating predictability of exchange rates in out-of-sample forecasting contexts; and short-run, in terms of studying high-frequency exchange rate dynamics in the actual foreign exchange trading. Specifically, we reassess four topics concerning exchange rate movements through macroeconomic fundamental analysis and microstructure approaches to exchange rates. With macro approaches, our study demonstrates, in a panel data setting, the link between real exchange rates and net foreign asset could be through the association between real exchange rates and trade balance. The panel study indicates the heterogeneity, in terms of the association between real exchange rates and trade balance, between the OECD economies and less mature economies. Our study on the monetary exchange rate model indicates the monetary model can describe the long-run behaviour of nominal exchange rates. Furthermore, we find the short-term exchange rate deviation adjustments to equilibrium and nonlinearities involved in the association between exchange rates and monetary fundamentals. With micro approaches, our study demonstrates, in short run, order flow has a significant impact on the contemporaneous exchange rate dynamics. However, we observe the prediction of order flow on the future exchange rate is quite weak. Our study also finds the weak interaction between macro news and private information in the exchange rate volatility study.
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Salazar, Natalia S. "Essays on fundamental equilibrium exchange rates." The Ohio State University, 2000. http://rave.ohiolink.edu/etdc/view?acc_num=osu1261237229.
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Salazar, Natalia. "Essays on fundamental equilibrium exchange rates /." Connect to resource, 2000. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1261237229.
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Guan, Zhao. "The interrelationship between New Zealand stock market and exchange rates a dissertation submit [sic] to Auckland University of Technology in fulfilment of the requirements for the degree of Master of Business (MBus), 2008 /." Click here to access this resource online, 2008. http://hdl.handle.net/10292/481.
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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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Menla, Ali Faek. "Essays in exchange rates and international finance." Thesis, Brunel University, 2014. http://bura.brunel.ac.uk/handle/2438/8552.
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This thesis is based on four essays in exchange rates and international finance. The first essay, examined in the second chapter, considers the long-run performance of the flexible-price monetary model as well as the real interest differential monetary model to explain the dollar–yen exchange rate during a period of high international capital mobility. We apply the Johansen methodology to quarterly data over the period 1980:01–2009:04 and show that the inadequacy of the two monetary models is due to the breakdown of their underlying building-blocks, money demand stability and purchasing power parity. In particular, modifying the monetary models by adjusting them for real stock prices to capture the stability of money demands on one hand and also for real economic variables such as productivity differential, relative government spending, and real oil price to explain the persistence in the real exchange rate on the other provide long-run relationships that appear consistent with the monetary models. Our findings of long-run weak exogeneity tests also emphasise the importance of the extended models employed here. The second essay, examined in the third chapter, is on the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated to produce evidence of unidirectional Granger causality from stock returns to exchange rate changes in the US and the UK, in the opposite direction in Canada, and of bidirectional causality in the euro area and Switzerland. Furthermore, causality-in-variance from stock returns to exchange rate changes is found in Japan and in the opposite direction in the euro area and Switzerland, whilst there is evidence of bidirectional causality-in-variance in the US and Canada. These findings imply limited opportunities for investors to diversify their assets during this period. The third essay, examined in the fourth chapter, considers the impact of net bond and net equity portfolio flows on exchange rate changes. Two-state Markov-switching models are estimated for the exchange rate of the US vis-a-vis Canada, the euro area, Japan and the UK. Our results suggest that the relationship between net portfolio flows and exchange rate changes is nonlinear for all cases considered, except that of the US dollar against the Canadian dollar. The fourth essay, examined in the fifth chapter, considers the impact of exchange rate uncertainty on different components of net portfolio flows, namely net equity and net bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in mean model is estimated using bilateral data for the US vis-à-vis Australia, the UK, Japan, Canada, the euro area, and Sweden over the period 1988:01-2011:12. The results indicate that the effect of exchange rate uncertainty on net equity flows is negative in the euro area, the UK and Sweden, and positive in Australia, whilst two countries (Canada and Japan) showed insignificant responses. With regard to the impact of uncertainty on net bond flows, it is shown to be negative in all countries, except Canada (where it is positive). Under the assumption of risk aversion, this suggests that exchange rate uncertainty induces investors, especially those of the counterpart countries to the US, to reduce their financing activities to maximise returns and minimise exposure to uncertainty. This evidence is strong for the UK, the euro area and Sweden as opposed to Canada, Australia and Japan. Furthermore, since exchange rate volatility and the variability of flows are interlinked, exchange rate or credit controls on these flows can be used to pursue economic and financial stability.
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Can, Mutan Oya. "Real Exchange Rates And Real Interest Rate Differentials: An Empirical Investigation." Master's thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/2/12606669/index.pdf.
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This study investigates the validity of the real exchange rate-real interest rate differential (RERI) relationship for a sample of twenty-three developing and developed countries. The results based on the Johansen cointegration analysis suggest the validity of the long-run RERI relationship only for a small number of countries including Canada, Italy, Switzerland, Belgium, Chile, Israel and Norway. Real interest rate differentials are found to be positively associated with real exchange rates in the long-run for every country except Israel. The results of the weak exogeneity tests suggest that real exchange rates are the adjusting variables for Italy, Switzerland, Belgium and Israel. Consistent with an endogenous response of domestic interest rates to a real exchange rate shock policy rule, real interest rate differentials are found to be endogenous for the parameters of the cointegration vector for Canada, Chile and Norway.
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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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Ko, Byeonggeon, and Yang Gao. "Monitoring Exchange Rates by Statistical Process Control." Thesis, Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16533.
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The exchange rate market has traditionally played a key role in the financial market. The variation of the exchange rate which is called volatility is also an important feature for studying the exchange rate market because the increased volatility may have a negative effect on a nation's economy by increasing the uncertainty in the exchange market. In this paper the volatility of the exchange rate is considered by means of a Heterogeneous Autoregression Conditional Heteroskedastictity (HARCH) Model. It explains the volatility of the exchange rate market well. In addition, it is assumed that at a random time point a change of a parameter in the distribution of the random process underobservation may occur. Some methods such as the Shewhart method, the Culumative Sum Method (CUSUM) and the ExponentiallyWeighted Moving Average Method (EWMA) are investigated within the frames of this change-point problem. In order to evaluate them, Average Run Length (ARL) and Conditional Expected Delay (CED) will be used asperformance measures.
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Metelski, Peter David. "Pressure effects on electron self-exchange rates." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp02/NQ34687.pdf.
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Nessén, Marianne. "Essays on exchange rates and international finance /." Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.], 1994. http://www.hhs.se/efi/summary/387.htm.
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Iannizzotto, Matteo. "Essays in the economics of exchange rates." Thesis, University of Oxford, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.323013.
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Costantini, Mauro, Cuaresma Jesus Crespo, and Jaroslava Hlouskova. "Can Macroeconomists Get Rich Forecasting Exchange Rates?" WU Vienna University of Economics and Business, 2014. http://epub.wu.ac.at/4181/1/wp176.pdf.
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We provide a systematic comparison of the out-of-sample forecasts based on multivariate macroeconomic models and forecast combinations for the euro against the US dollar, the British pound, the Swiss franc and the Japanese yen. We use profit maximization measures based on directional accuracy and trading strategies in addition to standard loss minimization measures. When comparing predictive
accuracy and profit measures, data snooping bias free tests are used. The results indicate that forecast combinations help to improve over benchmark trading strategies for the exchange rate against the US dollar and the British pound, although the excess return per unit of deviation is limited. For the euro against the Swiss franc or the Japanese yen, no evidence of generalized improvement in profit measures over the benchmark is found. (authors' abstract)Series: Department of Economics Working Paper Series
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Rey, Helene. "Essays on international currencies and exchange rates." Thesis, London School of Economics and Political Science (University of London), 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.300666.
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Olusi, Olasupo. "Exchange rates risk and equity portfolio diversification." Thesis, Durham University, 2005. http://etheses.dur.ac.uk/2713/.
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This thesis identifies and fills certain gaps in the empirical literature on the relationship between exchange rates and stock prices, and equity portfolio diversification, with the aim of providing useful information for academics, private investors, currency risk hedgers, and policy-makers. Firstly, it analyses granger-causal links between exchange rates and stock prices even at a level of stock market disaggregation not previously considered, taking into consideration a number of factors that may influence the lead/lag results. Secondly, the thesis considers whether exchange rate movements actually contribute to systematic or undiversifyable risks in national equity markets, particularly assessing the implications (thus far) of the single European currency (the euro) on the risk premiums of major equity markets, given the general perception that the EMU should reduce exchange rate and equity market risks. Several studies have advocated cross-border equity investments as a tool for reducing equity portfolio risks, despite inherent problems including exchange rate risks. Finally therefore, this thesis contributes to the literature on the diversification of equity portfolio risks by assessing the potential of home-based diversification in three developed European equity markets as an alternative to international portfolio diversification, and the potential benefits of eurozone diversification. The evidence suggests the existence of time-varying granger-causal links between exchange rates and stock prices in most countries, although the lead/lag structure for each country may differ when the stock market index is disaggregated, contradicting theoretical models. Although the EMU does not appear to have reduced the exchange rate risk premium in key member states, the same cannot be said about the equity market premium, which has reduced in three of the four member countries investigated. Finally, it appears that the potential of diversifying within the European equity market is such that any extra benefit from international equity acquisitions for diversification purposes is statistically and economically insignificant.
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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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Li, Xiangming 1966. "Essays on exchange rates and electricity demand." Thesis, Massachusetts Institute of Technology, 1999. http://hdl.handle.net/1721.1/29213.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics; jointly with Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, February 1999.Includes bibliographical references (p. 134-142).
This thesis examines two important issues in economic development: exchange rates and electricity demand and addresses methodological issues of using time series and panel data analysis to investigate important policy issues. In Chapter 2, I examine the impacts of a currency board on the adjustment of a small open economy to external shocks of imported intermediate input prices. The results of this examination add to the existing evidence of the relative merits of a currency board versus a flexible exchange rate. My main finding is that when nominal rigidity exists and the economy is faced with a negative shock, output drops more under a currency board than under flexible exchange rates. Moreover, the difference in output drop declines as the share of tradables in total consumption decreases. This is contrary to the popular view that the more open an economy, the less costly it is to fix the exchange rate. My empirical analysis, based on data from Hong Kong and Singapore, supports my theoretical prediction that with a negative shock output drops more under a currency board than under flexible exchange rates, since considerable nominal rigidity does exist in reality. This is the first such attempt to examine empirically how small economies react to external shocks under different exchange-rate regimes. In Chapter 3, I examine the response of real exchange rates to trade liberalization. Although theory suggests that a country's real exchange rate should depreciate after a trade liberalization, there is relatively little empirical evidence for this prediction. Existing studies either test the response indirectly or use imprecise and unreliable measures of trade openness.
(cont.) By carefully documenting trade liberalization experiences in 45 countries, I obtain the following major findings. The real exchange rates depreciate by 10.5 to 13.6 percent after a country opens to trade. As trade liberalization proceeds during a liberalization episode, real exchange rates depreciate by 4.8 to 5.5 percent annually. There appears to be a significant difference between early trade liberalization episodes and the last such episode for countries that underwent multiple episodes of trade liberalization. During early episodes, the real exchange rates appreciate by 9.5 to 12.1 percent. In contrast, during the last (or only) trade liberalization episode of a country, the real exchange rates depreciate by 0.6 to 3.4 percent at the beginning of the reform. Finally, in the process of trade liberalization and after a country opens to trade, its real exchange rate becomes more sensitive to capital inflows. A one percentage point increase in the net capital inflows will cause the real exchange rate to appreciate by 0.8 percent more during liberalization and 0.3 to 0.6 percent more after the opening than prior to the reform. In Chapter 4, I analyze the residential electricity demand in urban China, which has never been examined rigorously before. In a situation of serious data scarcity, I painstakingly collected data from various sources and made appropriate adjustments to ensure consistency.
(cont.) After conducting careful tests to determine the appropriate econometric specification, ...
Xiangming Li.
Currency board: its impact on an economy's response to external shocks -- Response of real exchange rate to trade liberalization -- Residential electricity demand in urban China.
Ph.D.
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Valdés, Rodrigo O. (Rodrigo Osvaldo). "Essays on capital flows and exchange rates." Thesis, Massachusetts Institute of Technology, 1996. http://hdl.handle.net/1721.1/10840.
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Wan, Yiding. "Can Taylor rule fundamentals predict exchange rates?" Thesis, University of East Anglia, 2012. https://ueaeprints.uea.ac.uk/42380/.
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Recent research suggests that there are many favourable features of the asset- pricing model of exchange rates incorporating Taylor rules. Against this back- ground, this thesis focuses on the relationship between the exchange rate and Taylor rule fundamentals. The introductory chapter provides a short summary of the most relevant literature, and explains the connections between the main chapters. In chapter 2, we mainly follow Engel and West's (2006) framework of the asset-pricing model of exchange rate incorporating Taylor rules to forecast the yen/dollar exchange rate. The central research question is whether this type of model has any predictive power with respect to the exchange rate. In chapter 3, a more detailed analysis of the properties of Taylor rules is un- dertaken. The main idea derives from one of the assumptions made in chapter 2, concerning the structural stability of the Taylor rules. If there are unknown struc- tural breaks, the estimation of the Taylor rule is likely to be biased. Furthermore, both theoretical and empirical studies suggest that the Taylor rule in advanced economies is asymmetric. If a central bank is minimizing an asymmetric loss function in which negative and positive in ation- and output-gap deviation are, respectively, assigned di�erent weights, then a nonlinear Taylor rule is optimal. Hence we set out to identify any structural breaks in the Taylor rule, and to uncover the extent to which nonlinearity plays a role in Taylor rule modelling. In our empirical study, a threshold model introduced by Caner and Hansen (2004) is used to measure whether the Taylor rules are nonlinear or not, in order to explain the existence of asymmetry of Taylor rules. Chapter 4 compares the performance of the traditional monetary model and the Taylor rule model in terms of out-of-sample forecasting performance. A key study is by Molodtsova and Papell (2009) who derive a simple version of the Taylor rule model and demonstrate that it can outperform a variety of monetary models as well as the naive random walk, on the basis of the state-of-the-art goodness-of-�t statistic developed by Clark and West (2006) (the CW statistic). It is of considerable interest to discover whether Molodtsova and Papell's (2009) results are driven by the superior predictability of the Taylor rule fundamentals, or by features of the CW statistic. To address this question, the sterling/dollar exchange rate for the period 1975-2010 is investigated. A detailed analysis of the CW statistic, including Monte-Carlo simulations, is conducted. In addition, a variety of estimators are used, including the Vector Error Correction Method (VECM) which is used to generate the out-of-sample forecast. Also, a number of goodness-of-�t measures (in addition to CW) are used for comparing the pre- dictability of the Taylor rule model with traditional monetary models. The overall �nding is that the out-of-sample forecasting predictability of the sterling/dollar exchange rate obtained by the Taylor rule model is not as signi�cant as we ex- pect by using a variety of goodness-of-�t measures, but the traditional monetary models have certain predictive power if VECM is applied.
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Canelas, José Pedro Lourenço Prates. "Determinants of exchange rates: an empirical analysis." Master's thesis, NSBE - UNL, 2014. http://hdl.handle.net/10362/11689.
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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsThis research focuses on the possible lag relationship among exchange rates. The period considered (2000-2013) comprises the Financial Crisis and therefore it was divided into two distinct periods: before and during the crisis. Before the crisis, the returns of Sweden and the Euro Zone seem to have impact on the British, Korean and Australian ones. During the crisis, there is evidence of the Euro and Sterling Pound influence on the Australian and New Zealand Dollar. Interestingly, the Swedish Krona is significant, in both periods, for the Korean Won, leading to deepen their common “technological profile” or the significance of major companies of both countries on Sweden’s returns. Carry trade is also presented as a possible justification for the Australian Dollar’s importance.
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Mongiardino, Alessandra. "Regime switches, exchange rates and European integration." Thesis, University of Warwick, 1995. http://wrap.warwick.ac.uk/108327/.
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The aim of the thesis is to contribute to the debate over the past experience of the ERM and the prospect of the creation of EMU, both by throwing new light on issues where no agreement has been reached in the literature and by investigating important areas so far overlooked Methodologically, we will consider existing theories and test for their empirical implications by applying time series econometric techniques; and for the ERM crisis of 1992 we develop our own theoretical model and provide preliminary empirical results on its implications In the first chapter we consider the process of disinflation which Europe and the US experienced in the 1980s and adopt the Hamilton filter for the analysis of inflation differentials for the ERM countries against Germany The results are supportive of the view that the ERM membership helped inflation-prone countries to reduce inflation in the first phase of their commitment to stable exchange rates, but they also show that a sizeable positive differential persisted for Italy In the second chapter we test for the validity of the empirical implication for expected realignments of the model of target zones, proposed by Bertola and Svensson, and show that these are not corroborated by our results. In the third chapter we propose a theoretical model of the ERM crisis of 1992, which focuses on how the attitude of the Bundesbank towards the defence of the weak currencies in the system feeds into market expectations of the sustainability of the System and of future exchange rates The empirical implication of our theoretical model, as for expected devaluations, is considered in details and tested in chapter four, the results seem to be consistent with the model. In chapter five we investigate whether the EU as a whole has the characteristics necessary for a successful currency union and in particular focus on how employment shocks spread in Europe, the results seem to support the call for a two-speed Europe.
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Ko, Hsiu-Hsin. "Three Essays on Exchange Rates and Fundamentals." The Ohio State University, 2009. http://rave.ohiolink.edu/etdc/view?acc_num=osu1245264972.
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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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Begum, Jahanara. "A theoretical and empirical study of real exchange rates and interest rates." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp02/NQ31916.pdf.
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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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Frey, Rainer [Verfasser]. "Flexible Exchange Rates, Fixed Exchange Rates, or a Currency Union? : A Welfare Analysis under Different Shock Scenarios / Rainer Frey." Aachen : Shaker, 2004. http://d-nb.info/1170530257/34.
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