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To improve short-horizon exchange rate forecasts, we employ foreign exchange market risk factors as fundamentals, and Bayesian treed Gaussian process (BTGP) models to handle non-linear, time-varying relationships between these fundamentals and exchange rates. Forecasts from the BTGP model...
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We use transaction-level data on foreign exchange (FX) forward contracts for the period 2014 through 2016 in conjunction with supervisory balance sheet information to study the drivers of banks' dollar hedging costs. Comparing contracts of the same maturity that are initiated during the same...
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oligopolistic banking systems. While economists have, for some time now, been working on developing models to explain the behaviour … of firms in such market structures, this book is unique as it applies these tools to monetary models of the banking … system. In doing so, the text highlights many of the important differences between banking systems in small states and those …
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Given the high fluctuations of the general price level, the importance of investment, and accessing sufficient financial resources, we examine the effects of monetary policy on the nominal (Inflation) and real (Investment) sectors of a developing economy, like Iran, through the channel of the...
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