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Forecasting Exchange Rates: An Investor Perspective
Melvin, Michael; Prins, John; Shand, Duncan - CESifo - 2013
rates approach forecasting from a different perspective. Rather than focus on forecast errors for bilateral exchange rates … perspective, a particular approach to quantitative modeling is presented that incorporates return forecasts, a risk model, and a …
Persistent link: https://www.econbiz.de/10010659187
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How National and International Financial Development Affect Industrial R&D
Maskus, Keith E.; Neumann, Rebecca; Seidel, Tobias - CESifo - 2011
We examine the impacts of both domestic and international financial market development on R&D intensities in 22 manufacturing industries in 18 OECD countries for the period 1990-2003. We take account of such industry characteristics as the need for external financing and the amount of tangible...
Persistent link: https://www.econbiz.de/10009150632
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Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
Caporale, Guglielmo Maria; Girardi, Alessandro; … - CESifo - 2010
(fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory …-depletion risk being their main concern, tend to quote wider (narrower) spreads when they think bond appreciation is more (less …
Persistent link: https://www.econbiz.de/10008833903
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A Critique of the Literature on the US Financial Debt Crisis
Stein, Jerome L. - CESifo - 2010
A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price … stochastic optimal control (SOC)/dynamic risk management is a much more effective approach to determine the optimal degree of … leverage, the optimum and excessive risk and the probability of a debt crisis. The theoretically founded early warning signals …
Persistent link: https://www.econbiz.de/10008534053
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Application of Stochastic Optimal Control to Financial Market Debt Crises
Stein, Jerome L. - CESifo - 2009
This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...
Persistent link: https://www.econbiz.de/10005094473
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Dynamic Trading and Asset Prices: Keynes vs. Hayek
Cespa, Giovanni; Vives, Xavier - CESifo - 2009
We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model with long-term investors. We argue that the fact that prices can score worse or better than consensus opinion in predicting the fundamentals is a product of...
Persistent link: https://www.econbiz.de/10008583648
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Expectations, Liquidity, and Short-term Trading
Cespa, Giovanni; Vives, Xavier - CESifo - 2011
We consider a two-period market with persistent liquidity trading and risk averse privately informed investors who have …
Persistent link: https://www.econbiz.de/10008872222
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High-Frequency Analysis of Foreign Exchange Interventions: What do we learn?
Menkhoff, Lukas - CESifo - 2008
The high-frequency analysis of foreign exchange dynamics is helpful in order to better identify the impact of central bank interventions. Evidence robustly shows that interventions do indeed move the exchange rate level in the desired direction. Interventions increase volatility in the short run...
Persistent link: https://www.econbiz.de/10005765791
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The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market
Cheung, Yin-Wong; Rime, Dagfinn - CESifo - 2014
The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized microstructure dataset, we find that CNH is significantly affected by its order...
Persistent link: https://www.econbiz.de/10010786745
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Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach
Menkhoff, Lukas; Rebitzky, Rafael R.; Schröder, Michael - CESifo - 2008
heterogeneity. The risk premium influences heterogeneity as well, but possible impacts from macroeconomic variables and exchange …
Persistent link: https://www.econbiz.de/10005765679