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This paper presents a fully rational general equilibrium model that produces a time-varying exchange rate risk premium and solves the uncovered interest rate parity (U.I.P) puzzle. In this two-country model, agents are characterized by slow-moving external habit preferences similar to Campbell &...
Persistent link: https://www.econbiz.de/10005706175
Paper presents various dynamic FX rate simulation models based upon time-dependent market clearing conditions. Discussed nonlinear models follow classical concept of computer agent interactions between chartists and fundamentalists. Within each trading period agents select proper trading rules...
Persistent link: https://www.econbiz.de/10005537415
We present a multi-stage stochastic programming model for managing portfolios of stock and bond indices denominated in multiple currencies. The portfolios are exposed to market risks and currency risks. Uncertainty in asset returns and exchange rates is represented by means of discrete...
Persistent link: https://www.econbiz.de/10005537444
We propose a new semiparametric procedure for estimating multivariate models with conditioning variables. The semiparametric model is based on the parametric conditional copula and nonparametric conditional marginals. To avoid the curse of dimensionality in the estimation of the latter, we...
Persistent link: https://www.econbiz.de/10005706216
Emerging market financial crises are abrupt and dramatic, usually occurring after a period of high output growth, massive capital flows, and a boom in asset markets. This paper develops an equilibrium asset pricing model with informational frictions in which vulnerability and the crisis itself...
Persistent link: https://www.econbiz.de/10005706247
We present a quantitative analysis of the effects of population aging and pension reform on international capital markets. First, demographic change alters the time path of aggregate savings within each country. Second, this process may be amplified when a pension reform shifts old-age provision...
Persistent link: https://www.econbiz.de/10005706309
In this paper we test whether volatility in six emerging markets has changed significantly over the period 1976:01-2002:03. This period corresponds to the years of more profound development of both the financial and the productive sides in emerging countries. We use alternative methodologies of...
Persistent link: https://www.econbiz.de/10005706556
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