Similar Search Results

Engel, Charles - 2004

We show analytically that in a rational expectations present value model, an asset price manifests near random walk behavior if fundamentals are I(1) and the factor for discounting future fundamentals is near one. We argue that this result helps explain the well known puzzle that fundamental...

Persistent link: https://www.econbiz.de/10012467971

Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders

Cheung, Yin-Wong - 1999

We report findings from a survey of United States foreign exchange traders. Our results indicate that (i) technical trading best characterizes about 30% of traders, with this proportion rising from five years ago; (ii) news about macroeconomic variables is rapidly incorporated into exchange...

Persistent link: https://www.econbiz.de/10012471364

Order Flow and Exchange Rate Dynamics

Evans, Martin D.D. - 1999

Macroeconomic models of nominal exchange rates perform poorly. In sample, R2 statistics as high as 10 percent are rare. Out of sample, these models are typically out-forecast by a na‹ve random walk. This paper presents a model of a new kind. Instead of relying exclusively on macroeconomic...

Persistent link: https://www.econbiz.de/10012471467

Asset Markets, Exchange Rates and the Balance of Payments

Frenkel, Jacob A. - 1984

This paper, written as a chapter for a Handbook of International Economics, reviews developments in the theory of … of exchange rate theory, starting with the monetary approach to exchange rate determination. Issues discussed in this … framework that views the question of exchange rate determination as part of the general theory of the determination of asset …

Persistent link: https://www.econbiz.de/10012477808

Rational Expectations and the Foreign Exchange Market

Hartley, Peter R. - 1982

Many models of exchange rate determination imply that movements in money supplies and demands should result in movements in exchange rates. Hence, if rational agents are attempting to forecast exchange rate movements, they should in the first instance forecast movements in the supplies of and...

Persistent link: https://www.econbiz.de/10012478248

Explanations of Exchange Rate Volatility and Other Empirical Regularities in Some Popular Models of the Foreign Exchange Market

Flood, Robert P. - 1981

The present paper is intended to accomplish two tasks. First, models predicting overshooting and magnification, respectively, will be checked for their consistency with two key empirical regularities: A. The observed pattern of price level vs. exchange-rate volatility. B. The observed pattern of...

Persistent link: https://www.econbiz.de/10012478498

Vehicle Currencies And the Structure Of International Exchange

Krugman, Paul R. - 1979

This paper is concerned with the reasons why some currencies, such as the pound sterling and the U.S. dollar, have come to serve as "vehicles" for exchanges of other currencies. It develops a three-country model of payments equilibrium with transaction costs, and shows how one currency can...

Persistent link: https://www.econbiz.de/10012478814

The Carry Trade and Fundamentals : Nothing to Fear But FEER Itself

Jordà, Òscar - 2009

The carry trade is the investment strategy of going long in high-yield target currencies and short in low-yield funding currencies. Recently, this naive trade has seen very high returns for long periods, followed by large crash losses after large depreciations of the target currencies. Based on...

Persistent link: https://www.econbiz.de/10012463131

Fixed versus Flexible : Lessons from EMS Order Flow

Killeen, William P. - 2001

This paper addresses the puzzle of regime-dependent volatility in foreign exchange. We extend the literature in two ways. First, our microstructural model provides a qualitatively new explanation for the puzzle. Second, we test implications of our model using Europe's recent shift to rigidly...

Persistent link: https://www.econbiz.de/10012470227

The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates : Correcting the Errors

Clarida, Richard H. - 1993

We present theory and evidence that challenges the view that forward premia contain little information regarding …

Persistent link: https://www.econbiz.de/10012474508

1
2
3
4
5
6
7
8
9
10
Next
Last