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We re-examine the monetary approach to the exchange rate from a number of perspectives, using monthly data on the deutschemark-dollar exchange rate. Using the Campbell-Shiller technique for testing present value models, we reject the restrictions imposed upon the data by the forward-looking...
Persistent link: https://www.econbiz.de/10005263652
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group appear...
Persistent link: https://www.econbiz.de/10005263769
We survey the literature on the two main views of exchange rate determination that have evolved since the early 1970s: the monetary approach to the exchange rate (in flex-price, sticky-price and real interest differential formulations) and the portfolio balance approach. We then go on to discuss...
Persistent link: https://www.econbiz.de/10005264146
This paper examines the hypothesis that the predictable components of U.K. shares and bonds are related to business conditions. Financial market variables, such as maturity and default premia, are constructed in an attempt to capture different components of business-conditions risk. The...
Persistent link: https://www.econbiz.de/10005266883
In this paper, the efficient markets view of the term structure of forward foreign exchange premia is tested for the interwar experience with floating exchange rates, using a vector autoregressive methodology. One novel feature of the paper is the use of data sampled more finely than the...
Persistent link: https://www.econbiz.de/10005266921
The speculative efficiency of the Sydney Futures Exchange's market in bank accepted bills is examined by considering if the futures price is an unbiased predictor of the subsequent spot price and if other publicly available information can improve on this predictor. Data spanning the period...
Persistent link: https://www.econbiz.de/10005267585
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This Handbook aims to give practical guidance on the essential questions which have to be addressed in the establishment of deposit insurance schemes. It examines the rationale for deposit insurance and the risk that insurance creates moral hazard. It then discusses the differences between...
Persistent link: https://www.econbiz.de/10005275252