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Release : 1986
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Book Synopsis The Dollar as a Speculative Bubble by :
Download or read book The Dollar as a Speculative Bubble written by . This book was released on 1986. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kenneth A. Froot
Release : 1987
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Book Synopsis The Dollar as an Irrational Speculative Bubble by : Kenneth A. Froot
Download or read book The Dollar as an Irrational Speculative Bubble written by Kenneth A. Froot. This book was released on 1987. Available in PDF, EPUB and Kindle. Book excerpt: Several recent developments have inspired us to consider a non-standard model of the dollar as a speculative bubble without the constraint of fully rational expectations: (1) the dollar continued to rise in 1984 after real interest rate differentials and other fundamentals began moving the wrong way; (2) the results of market efficiency tests imply, that the rationally expected rate of dollar depreciation has been less than the forward discount; (3) Krugman-Marris current account calculations suggest that the rationally expected rate of depreciation is greater than the forward discount; (4) survey data show an expected rate of depreciation that is also greater than the forward discount; (5) the hypothesis of a "safe-haven" shift into U.S. assets and a decrease in the U.S. risk premium, which would explain some of the foregoing, is contradicted by a decline in the differential between off shore interest rates (covered) and U.S. interest rates. Our model features three classes of actors: fundamentalists, chartists and portfolio managers. Fundamentalists forecast a depreciation of the dollar based on an overshooting model that would be rational if there were no chartists. Chartists extrapolate recent trends based on an information set that includes no fundamentals. Portfolio managers take positions in the market, and thus determine the exchange rate, based on expectations that area weighted average of the fundamentalists and chartists. The first stage of the dollar appreciation after 1980 is explained by increases in real interest differentials. The second stage is explained by the endogenous takeoff of a speculative bubble when the fundamentalists have mis-forecast for so long that they have lost credibility. In 1985, the dollar may have entered a third stage in which an ever-worsening current account deficit begins a reversal of the bubble
Author : Robert P. Flood
Release : 1994
Genre : Business & Economics
Kind : eBook
Book Rating : 698/5 ( reviews)
Book Synopsis Speculative Bubbles, Speculative Attacks, and Policy Switching by : Robert P. Flood
Download or read book Speculative Bubbles, Speculative Attacks, and Policy Switching written by Robert P. Flood. This book was released on 1994. Available in PDF, EPUB and Kindle. Book excerpt: The papers in this book are grouped into three sections: the first on price bubbles is primarily financial; the second on speculative attacks (on exchange rate regimes) is international in scope; and the third, on policy switching, is concerned with monetary policy.
Author : Jeffrey A. Frankel
Release : 2010
Genre :
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Book Synopsis The Dollar as Speculative Bubble by : Jeffrey A. Frankel
Download or read book The Dollar as Speculative Bubble written by Jeffrey A. Frankel. This book was released on 2010. Available in PDF, EPUB and Kindle. Book excerpt: Several recent developments have inspired us to consider a non-standard model of the dollar as a speculative bubble without the constraint of fully rational expectations: (1) the dollar continued to rise in 1984 after real interest rate differentials and other fundamentals began moving the wrong way; (2) the results of market efficiency tests imply, that the rationally expected rate of dollar depreciation has been less than the forward discount; (3) Krugman-Marris current account calculations suggest that the rationally expected rate of depreciation is greater than the forward discount; (4) survey data show an expected rate of depreciation that is also greater than the forward discount; (5) the hypothesis of a quot;safe-havenquot; shift into U.S. assets and a decrease in the U.S. risk premium, which would explain some of the foregoing, is contradicted by a decline in the differential between off shore interest rates (covered) and U.S. interest rates. Our model features three classes of actors: fundamentalists, chartists and portfolio managers. Fundamentalists forecast a depreciation of the dollar based on an overshooting model that would be rational if there were no chartists. Chartists extrapolate recent trends based on an information set that includes no fundamentals. Portfolio managers take positions in the market, and thus determine the exchange rate, based on expectations that area weighted average of the fundamentalists and chartists. The first stage of the dollar appreciation after 1980 is explained by increases in real interest differentials. The second stage is explained by the endogenous takeoff of a speculative bubble when the fundamentalists have mis-forecast for so long that they have lost credibility. In 1985, the dollar may have entered a third stage in which an ever-worsening current account deficit begins a reversal of the bubble.
Author : Jeffrey A. FRANKEL
Release : 1986
Genre :
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis THE DOLLAR AS A SPECULATIVE BUBBLE: A TALE OF FUNDAMENTALISTS AND CHARTISTS. by : Jeffrey A. FRANKEL
Download or read book THE DOLLAR AS A SPECULATIVE BUBBLE: A TALE OF FUNDAMENTALISTS AND CHARTISTS. written by Jeffrey A. FRANKEL. This book was released on 1986. Available in PDF, EPUB and Kindle. Book excerpt:
