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The thesis consists of two essays: "The CAPM -- A General Equilibrium Foundation" and "The Foreign Exchange Rate in Financial Markets".The Capital Asset Pricing Model (CAPM) is one of the most successful models for portfolio selection. The utility functions are assumed to depend positively on...
Persistent link: https://www.econbiz.de/10009452580
deal with the usefulness of such simple trend heuristics in real world. Only if simple trend heuristics lead to profits in …/USD Wechselkurs mit experimentellen Prognosen von Studenten für eine simulierte Zeitreihe verglichen. Die Ergebnisse zeigen, dass sich …
Persistent link: https://www.econbiz.de/10009433679
Japan. We also test for the presence of causality-in-mean and volatility spillovers. The econometric framework is a four … found to play a role in a minority of cases, with mixed signs. Finally, most cases of volatility spillovers occur from …
Persistent link: https://www.econbiz.de/10009481428
countries. Similar to the findings of previous studies, our estimation also shows that the financial markets of the G7 countries … are denominated in Japanese yen, smallest at around three to four when the returns are denominated in pound or euro and …
Persistent link: https://www.econbiz.de/10009440704
depreciation against yen will promote export growth while appreciation hinder export, and exchange rate volatility positively …This paper attempts to examine the relationship between changes and volatility of China's RMB exchange rates and its … empirical examination. A GARCH (1, 1) model is specified to measure the exchange rate volatility and ADL regression with …
Persistent link: https://www.econbiz.de/10009444761
quantifying the effects of NAFTA, the Mexico-US exchange rate changes and its volatility on the fresh tomato imports into the … show that while changes in exchange rate have a positive effect on trade flows, volatility of the exchange rate has a …
Persistent link: https://www.econbiz.de/10009444825
The purpose of this study is to determine the impact the exchange rate has on local pricesand import demand.
Persistent link: https://www.econbiz.de/10009446525
Economic of a nation depends on another country’s economic. This one is proved with the globalitation causes international trade like export-import. North Sumatra has taken participation in the activity of international trade, it’s to improve economic growth. One of the part that’s...
Persistent link: https://www.econbiz.de/10009464537
The purpose of this work is to investigate the efficiency of the current Euro spot and current forwardexchange rates. Within the past three decades there have been large movements in the exchange ratemarkets and often these movements were not related with the changes in the “fundamentals” of...
Persistent link: https://www.econbiz.de/10009465472
Após a abertura comercial em 1998, grandes mudanças ocorreram no comércio exteriornacional devido sucessivos choques cambiais aos quais a economia foi exposta. A literaturade referência sugere que grandes choques na taxa de câmbio induzem mudanças persistentesna relação entre a taxa de...
Persistent link: https://www.econbiz.de/10009479515