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The Forward Exchange Market, Speculation, and Exchange Market Intervention
Eaton, Jonathan; Turnovsky, Stephen J. - 2021
This paper develops a stochastic equilibrium model of an open economy incorporating speculation in the forward exchange … and forward exchange marketbut exacerbates the effect of foreign disturbances. Speculation may dampen or augment the … interest elasticity of bond demand. The second issue that the model addresses is the role of the forward market in …
Persistent link: https://www.econbiz.de/10013247678
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The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates : Correcting the Errors
Clarida, Richard - 2010
We present theory and evidence that challenges the view that forward premia contain little information regarding … subsequent spot rate movements. Using weekly dollar-mark and dollar sterling data, we find that spot and forward exchange rates … relationships predicted by a simple theoretical framework and that a basis for this cointegrating space is the vector of forward …
Persistent link: https://www.econbiz.de/10012763403
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Trigger Strategies and Price Dynamics in Equity and Foreign Exchange Markets
Krugman, Paul R. - 2010
Trigger strategist-s may be defined as act-ors in asset markets who buy or sell when the price reaches a predetermined level ; t-hey include participants in portfolio insurance schemes in equity markets and central banks who intervene to defend an exchange rate target zone. This paper presents...
Persistent link: https://www.econbiz.de/10012763462
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The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market : a Bootstrap Approach
Levich, Richard M.; Thomas, Lee R. - 2021
In this paper, we present new evidence on the profitability and statistical significance of technical trading rules in the foreign exchange market. We utilize a new data base, currency futures contracts for the period 1976-1990, and we implement a new testing procedure based on bootstrap...
Persistent link: https://www.econbiz.de/10013224334
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Efficiency of Foreign Exchange Markets and Measures of Turbulence
Frenkel, Jacob A.; Mussa, Michael L. - 2021
, we provide a general explanation of this turbulence in terms of the modern "asset market theory" to exchange …-rate determination. This theory emphasizes that exchange rates, like the prices of other assets determined in organized markets, are …
Persistent link: https://www.econbiz.de/10013232171
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Target Zones with Limited Reserves
Krugman, Paul R. - 2008
Like a fixed exchange rate, a target zone system may be subject to speculative attacks when the reserves of the central bank are limited. Thispaper analyzes such speculative attacks and their implications; it shows that the recently developed quot;smooth pastingquot; model of target zones should...
Persistent link: https://www.econbiz.de/10012774869
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The Logic of Currency Crises
Obstfeld, Maurice - 2021
Once one recognizes that governments borrow international reserves and exercise other policy options to defend fixed exchange rates during currency crises, the question arises: What factors determine a government's decision to abandon a currency peg or hang on? In a setting of purposeful action...
Persistent link: https://www.econbiz.de/10013213429
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Contagious Currency Crises
Eichengreen, Barry; Rose, Andrew Kenan; Wyplosz, Charles - 2010
This paper is concerned with the fact that the incidence of speculative attacks tends to be temporally correlated; that is, currency crises appear to pass contagiously from one country to another. The paper provides a survey of the theoretical literature, and analyzes the contagious nature of...
Persistent link: https://www.econbiz.de/10014076135
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The Micro-Macro Disconnect of Purchasing Power Parity
Bergin, Paul R. - 2010
This paper reconciles the persistence of aggregate real exchange rates with the faster adjustment of international relative prices in microeconomic data. Panel estimation of an error correction model using a micro data set uncovers new stylized facts regarding this puzzle. First, adjustment to...
Persistent link: https://www.econbiz.de/10013149574
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An Empirical Analysis of the Swaption Cube
Trolle, Anders B. - 2010
-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop … and skewness of the risk-neutral and physical swap rate distributions. Finally, we investigate the fundamental drivers of …
Persistent link: https://www.econbiz.de/10013135764