We discuss the effectiveness of pegged exchange rate regimes from an historical perspective, drawing conclusions for their effectiveness today. Starting with the classical gold standard period, we point out that a succession of pegged regimes have ended in failure; except for the first, which was...

This study investigates exchange rate movements in the Exchange Rate Mechanism (ERM) of the European Monetary System (EMS) and in the Exchange Rate Mechanism II (ERM-II). On the basis of Bessec (2003), we set up a three-regime self-exciting threshold autoregressive model (SETAR) with a...

Three years after the seminal work of Black and Scholes on the pricing of European options, Scholes presented a paper in which the impact of taxation on the value of an option is analyzed. We restart this discussion in a simple binomial setting emphasizing the economic principles of replicating...

Exchange rate movements affect exports in two ways -- its depreciation and its variability (risk). A depreciation raises exports, but the associated exchange rate risk could offset that positive effect. The present paper investigates the net effect for eight Asian countries using a dynamic...

An f-percent filter rule in a foreign exchange market calls for buying a foreign currency when its price has risen by f percent above a trough and holding until its price has fallen f percent from a peak. If the foreign exchange rate following a random walk, this is an unprofitable strategy....

This paper investigates the role of currency denomination in the the intertemporal risk-return relation among G7 countries. Similar to the findings of previous studies, our estimation also shows that the financial markets of the G7 countries are integrated. We obtain significant pricing...

Monetary policy's weight in macroeconomic policy has increased over the past years, especially with the liberalization of financial markets and development of new financial instruments. With this new global economy, the gap between countries has become wider, and the less developed are...

The main purpose of this research is to analyze the affecting factors of the demand of private bonds in Indonesia. And to calculate the contribution of each variable to the demand of private bonds in Indonesia. The variables that considered affect the demand of private bonds are Gross Domestic...

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...

Commodity price uncertainty imposes large costs on society. On the macro level, it results in sudden and unexpected shifts in current account imbalances and real GDP volatility, while on the micro level, it leads to allocation inefficiencies. Accurate price forecasts have the potential to remove...