Share

Intradaily Exchange Rate Movements

2012-12-06 Business & Economics
Download Intradaily Exchange Rate Movements PDF Online Free

Author :
Release : 2012-12-06
Genre : Business & Economics
Kind : eBook
Book Rating : 214/5 ( reviews)

GET EBOOK


Book Synopsis Intradaily Exchange Rate Movements by : Dominique M. Guillaume

Download or read book Intradaily Exchange Rate Movements written by Dominique M. Guillaume. This book was released on 2012-12-06. Available in PDF, EPUB and Kindle. Book excerpt: In the late 1980s, as the empirical appeal of macro-economic exchange rate models began to fade, a few people including Professor Charles Goodhart at the London School of Economics and researchers at Olsen & Associates in Zurich, started to collect intra-daily exchange rate data. The resulting database provides new insight into the foreign exchange markets and thereby opens up previously unexplored avenues of research. Intra-Daily Exchange Rate Movements presents an extensive study of the Olsen & Associates database and is one of the first monographs in this exciting new area. This book aims to provide a systematic study of the characteristics of intra-daily exchange rate data as well as an empirical investigation into different approaches of modelling the exchange rate movements. First, the author describes empirical insights, which range from the distributional issues of exchange rate data to the impact of macroeconomic fundamentals and institutional characteristics. This leads to a survey of the main stylized facts. Using the O&A database, Guillaume then presents a systematic investigation of the empirical performance of three broad categories of models: macro-economic models using an extension of chaos theory, stochastic models including the GARCH and time-deformation models, and technical analysis. The book shows how these approaches can be used to model intra-daily exchange rate movements and highlights some of the pitfalls inherent in such an exercise. In an area where literature remains controversial, this book hopes to trigger further inquiries into the suitability of these different approaches to modelling.

Explaining Forward Exchange Bias ... Intraday

1995 Foreign exchange futures
Download Explaining Forward Exchange Bias ... Intraday PDF Online Free

Author :
Release : 1995
Genre : Foreign exchange futures
Kind : eBook
Book Rating : /5 ( reviews)

GET EBOOK


Book Synopsis Explaining Forward Exchange Bias ... Intraday by : Richard K. Lyons

Download or read book Explaining Forward Exchange Bias ... Intraday written by Richard K. Lyons. This book was released on 1995. Available in PDF, EPUB and Kindle. Book excerpt: Intraday interest rates are zero. Consequently, a foreign exchange dealer can short a vulnerable currency in the morning, close this position in the afternoon, and never face an interest cost. This tactic might seem especially attractive in times of crisis, since it suggests an immunity to the central bank's interest rate defense. In equilibrium, however, buyers of the vulnerable currency must be compensated on average with an intraday capital gain as long as no devaluation occurs. That is, currencies under attack should typically appreciate intraday. Using data on intraday exchange rate changes within the EMS, we find this prediction is borne out.

An Intraday Pricing Model of Foreign Exchange Markets

2003-06-01 Business & Economics
Download An Intraday Pricing Model of Foreign Exchange Markets PDF Online Free

Author :
Release : 2003-06-01
Genre : Business & Economics
Kind : eBook
Book Rating : 882/5 ( reviews)

GET EBOOK


Book Synopsis An Intraday Pricing Model of Foreign Exchange Markets by : Rafael Romeu

Download or read book An Intraday Pricing Model of Foreign Exchange Markets written by Rafael Romeu. This book was released on 2003-06-01. Available in PDF, EPUB and Kindle. Book excerpt: Market makers learn about asset values as they set intraday prices and absorb portfolio flows. Absorbing these flows causes inventory imbalances. Previous work has argued that market makers change prices to manage incoming flows and offset inventory imbalances. This study argues that they have multiple instruments, or ways to manage inventory imbalances and learn about evolving asset values. Hence, they smooth inventory levels and update prior information about assets using multiple instruments. In ignoring other instruments, previous studies have ignored the information that these provide and overemphasize the role of price changes in inventory management. The model presented here provides new estimates of asymmetric information and inventory effects, the price impact of each instrument, the cost of liquidity, and the impact of an intervention on these costs.

The Intra-daily Exchange Rate Dynamics and Monetary Policies After the G5 Agreement

1986 Devaluation of currency
Download The Intra-daily Exchange Rate Dynamics and Monetary Policies After the G5 Agreement PDF Online Free

Author :
Release : 1986
Genre : Devaluation of currency
Kind : eBook
Book Rating : /5 ( reviews)

GET EBOOK


Book Synopsis The Intra-daily Exchange Rate Dynamics and Monetary Policies After the G5 Agreement by : Takatoshi Ito

Download or read book The Intra-daily Exchange Rate Dynamics and Monetary Policies After the G5 Agreement written by Takatoshi Ito. This book was released on 1986. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates determinants of yen appreciation from the G5 agreement of September 1985 to the end of May, 1986. During that period, four waves of appreciation separated by calm periods are identified. For each wave and calm period, the changes in the yen/dollar exchange rate are decomposed in those taken place in the Tokyo, Europe and New York markets. In addition, correlations among the yen, mark, and pound for each market for each wave are studied. The surprisingly strong effect of the G5 agreement on the exchange rate was due to the signaled U.S. policy change. The role of direct intervention by the Bank of Japan was rather limited at that point. The Bank of Japan, adopted the "high interest policy" in October 1985. By narrowing the interest rate gap between Japan and the United States, the Bank of Japan successfully led to another round of appreciation. A major cause of the third wave of yen appreciation starting January 24, 1986 was the decline in oil prices. After the third wave was over, the Bank of Japan started intervening the market in support of the dollar -- a reversal of direction. However, the effort was not successful to stop another round of yen appreciation. The fourth wave of appreciation in the middle of April was due to a mix of prospects of reducing the U.S. federal deficits and a further decline in oil prices. These findings are consistent with a view that the exchange rates respond mainly to news of fundamentals and that the exchange rates are not manageable by coordinated interventions alone.

Intraday Yen/dollar Exchange Rate Movements

1988 Foreign exchange
Download Intraday Yen/dollar Exchange Rate Movements PDF Online Free

Author :
Release : 1988
Genre : Foreign exchange
Kind : eBook
Book Rating : /5 ( reviews)

GET EBOOK


Book Synopsis Intraday Yen/dollar Exchange Rate Movements by : Takatoshi Itō

Download or read book Intraday Yen/dollar Exchange Rate Movements written by Takatoshi Itō. This book was released on 1988. Available in PDF, EPUB and Kindle. Book excerpt: Intraday movements in the yen/dollar rate are examined over the 1980-86 period using opening and closing quotes in the New York and Tokyo markets. The results indicate that random-walk behavior is violated about half of the time in various subsamples. However, the economic significance of departures from the random-walk model diminishes over time. Large jumps in the exchange rate also are examined, and some evidence on subsequent mean reversion is presented. Finally, the response of Japanese and U.S. stock prices suggests that intraday yen/dollar rate movements do contain at least some relevant information.

You may also like...