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Valiutinių pozicijų portfelio rinkos rizikos vertinimo metodų lyginamoji analizė

Dzikevičius, Audriustestas - 2005

Domėtis rinkos rizikos valdymu verčia didėjanti finansinių rinkų globalizacija bei atskirų šalių ekonomikų internalizacija. Šiame kontekste finansines institucijas, ypač jų veiklą prižiūrinčias organizacijas, vis labiau neramina finansinių krizių arba sisteminės rizikos...

Persistent link: https://www.econbiz.de/10009478724

International asset pricing and exchange rate risk: theoretical exposition, numerical analysis, and empirical investigation under integrated and frictional capital markets

Bayraktar, Sema - 2002

This thesis examines the impact of exchange rate risk on asset pricing under varying market structures. To understand … this effect, in the first part of the thesis the analytical derivation of an international asset-pricing model within a … exchange rate risk in asset pricing. This is because exchange rate through terms of trade would affect the real purchasing …

Persistent link: https://www.econbiz.de/10009451016

Essays on the optimal choice of exchange rate regimes

Zhang, Hongfang - 2007

The way a country manages its currency can affect its volume of trade, capital flows and income. A country, especially one with high degree of trade openness, needs to find the most suitable exchange rate arrangement to reduce the volatility of its currency value and output. This thesis examines...

Persistent link: https://www.econbiz.de/10009451028

Exchange rate policy and poverty reduction

Chowdhury, Anis - University of Western Sydney; University of Western Sydney; … - 2005

The objective of this chapter is to evaluate the theoretical debate on the choice of an exchange rate regime in light of the empirical evidence with a view to suggesting appropriate exchange rate regimes that are conducive for poverty reduction. Due to its obvious implications for poverty, the...

Persistent link: https://www.econbiz.de/10009481912

An examination of some statistical and economic models involving exchange rates.

Buncic, Daniel, Economics, Australian School of … - 2007

This dissertation is concerned with the examination of some widely employed nonlinear exchange rate models. In particular, its aim is to assess how well non-linear statistical models accommodate the theoretical implications contained in economic models and how well they are able to capture the...

Persistent link: https://www.econbiz.de/10009484219

Financialisation in currency, energy and residential property markets

Evans, Trevor; Herr, Hansjörg - 2016

The markets for foreign exchange, energy and residential housing have all been strongly affected by the deregulation and expansion of the financial sector. As a result, they have begun to follow the logic of asset markets. This was especially marked in the case of the foreign exchange market...

Persistent link: https://www.econbiz.de/10011431824

Forex exchange rate forecasting using deep recurrent neural networks

Dautel, Alexander Jakob; Härdle, Wolfgang Karl; … - In: Digital Finance 2 (2020) 1-2, pp. 69-96

Deep learning has substantially advanced the state of the art in computer vision, natural language processing, and other fields. The paper examines the potential of deep learning for exchange rate forecasting. We systematically compare long short-term memory networks and gated recurrent units to...

Persistent link: https://www.econbiz.de/10014504558

Exchange rate pass-through and the role of international distribution channels

Desiraju, Ramarao; Shrikhande, Milind - 1996

Manufacturers selling in foreign markets often do not completely pass on the effects of fluctuations in exchange rates to the prices of their products. Our paper addresses this puzzle and studies the effects of the international distribution channel on exchange rate pass-through. We develop an...

Persistent link: https://www.econbiz.de/10010397451

MLE is alive and well in the financial markets

Ramamurtie, B. Sailesh; Ulman, Scott - 1996

In this paper we specify the basic set of economic criteria that any diffusion-driven interest rate or FX rate process must satisfy. We also develop the methodology that is implementable to test the validity of a proposed process insofar as it satisfies the basic criteria as well as the actual...

Persistent link: https://www.econbiz.de/10010397478

Identifying monetary policy in a small open economy under flexible exchange rates

Cushman, David O.; Zha, Tao - 1995

Previous empirical study on the effects of monetary policy shocks in small open economies has produced exchange rate responses that are inconsistent with existing open economy macroeconomic theory. We argue that a careful identification of monetary policy in an explicit open economy setting is...

Persistent link: https://www.econbiz.de/10010397485