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The Forward Exchange Market, Speculation, and Exchange Market Intervention

Eaton, Jonathan - 1983

This paper develops a stochastic equilibrium model of an open economy incorporating speculation in the forward exchange … market. The model is used to examine two issues. The first is the role of speculation in stabilizing the economy against … stochastic disturbances. Much risk averse speculation stabilizes domestic income against disturbances in the domestic bond market …

Persistent link: https://www.econbiz.de/10012477963

Models of Currency Crises with Self-Fulfilling Features

Obstfeld, Maurice - 1995

The discomfort a government suffers from speculation against its currency determines the strategic incentives of …

Persistent link: https://www.econbiz.de/10012473585

Speculative Attacks on Pegged Exchange Rates : An Empirical Exploration with Special Reference to the European Monetary System

Eichengreen, Barry - 1994

This paper presents an empirical analysis of speculative attacks on pegged exchange rates in 22 countries between 1967 and 1992. We define speculative attacks or crises as large movements in exchange rates, interest rates, and international reserves. We develop stylized facts concerning the...

Persistent link: https://www.econbiz.de/10012474009

The Profitability of Currency Speculation

Bilson, John F. - 1983

This paper presents the results of a post-sample simulation of a speculative strategy using a portfolio of foreign currency forward contracts.The main new features of the speculative strategy are (a)the use of Kalman filters to update the forecasting equation, (b) the allowance for...

Persistent link: https://www.econbiz.de/10012477902

Rational Speculative Bubbles in an Exchange Rate Target Zone

Buiter, Willem H. - 1990

The recent theory of exchange rate dynamics within a target zone holds that exchange rates under a currency bard are …

Persistent link: https://www.econbiz.de/10012475560

Self-fulfillment Expectations, Speculation Attacks, and Capitol Controls

Dellas, Harris - 1988

This paper examines the endogenous implementation of capital controls in the context of a fixed exchange rate regime. It is shown that if there exists a non-zero probability that the policymaker's response to a speculative attack on official foreign reserves will be the introduction of controls,...

Persistent link: https://www.econbiz.de/10012476447

The Micro-Macro Disconnect of Purchasing Power Parity

Bergin, Paul R. - 2009

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/10012463026

Explaining Forward Exchange Bias..Intraday

Lyons, Richard K. - 1995

Intraday interest rates are zero. Consequently, a foreign exchange dealer can short a vulnerable currency in the morning, close this position in the afternoon, and never face an interest cost. This tactic might seem especially attractive in times of crisis, since it suggests an immunity to the...

Persistent link: https://www.econbiz.de/10012473916

International Capital Flow Pressures

Goldberg, Linda S. - 2018

rate adjustments. The formulation is theory-based, relying on balance of payments equilibrium conditions and international …

Persistent link: https://www.econbiz.de/10012453428

Carry

Koijen, Ralph S.J. - 2013

A security's expected return can be decomposed into its "carry" and its expected price appreciation, where carry can be measured in advance without an asset pricing model. We find that carry predicts returns both in the cross section and time series for a variety of different asset classes that...

Persistent link: https://www.econbiz.de/10012459336