This paper analyses predictions of a simple model of currency crises in which the peg will beabandoned when the currency overvaluation hits a certain threshold, unknown to the agents. Due tolearning about the threshold, some features usually observed in the data and identified with modelswith...

Empirical evidence from the UK market is brought to bear on recent theories of closed-endfund discounts. Market pricing of skill, relative to the fees charged for it, accounts for asignificant portion of discount variation, but cannot explain the rarity of index funds orwhy they trade at a...

A huge body of empirical and theoretical literature has emerged on the relationship between foreign exchange (FX) uncertainty and international trade. Empirical findings about the impact of FX uncertainty on trade figures are at best weak and often ambiguous with respect to its direction. Almost...

This paper demonstrates effects of economic convergence processes on the foreign exchange behaviour in a monetary modelling approach. Since the exchange rate represents the relative price of two currencies, commonness of stochastic trends between the fundamental determinants of supply and demand...

This paper presents a behavioral finance model of the exchange rate. Agents forecast theexchange rate by means of very simple rules. They can choose between three groups offorecasting rules: fundamentalist, extrapolative and momentum rules. Agents using afundamentalist rule are not able to...

Past empirical research on monetary policy in open economies has found evidence of the ’delayed overshooting’, the ’forward discount’ and the ’exchange rate’ puzzles. We revisit the effects of monetary policy on exchange rates by applying Uhlig’s (2005) identification procedure that...

Das letzte Projekt dieses Arbeitskreises "Geschäftspolitische und organisatorische Aspekte des Kreditmanagements" behandelte die mit der absatzbezogenen Kreditvergabe von Unternehmen zusammenhängenden Fragen. Bei diesen Untersuchungen stieß der Arbeitskreis auf den überraschenden Hinweis,...

Recent data show substantial increases in the size of gross external asset and liabilitypositions. The implications of these developments for optimal conduct of monetarypolicy are analyzed in a standard open economy model which is augmented to allowfor endogenous portfolio choice. The model...

How does international financial integration a

A core stylized fact of the empirical exchange rate literature is that half-life deviationsof equilibrium real exchange rates from levels implied by Purchasing Power Parity(PPP) are very persistent. Empirical efforts to explain this persistence typicallyproceed along two distinct paths,...