Efficient Arbitrage Under Financial Indexation
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Author | : Mr.Enrique G. Mendoza |
Publisher | : International Monetary Fund |
Total Pages | : 36 |
Release | : 1991-05-01 |
Genre | : Business & Economics |
ISBN | : 1451971664 |
Download Efficient Arbitrage Under Financial Indexation Book in PDF, Epub and Kindle
Legal restrictions governing financial transactions in Chile have produced a system in which most financial assets are either 30-day non-indexed assets or 90-day indexed assets. This paper analyzes data on the rates of return of these assets to determine the extent to which efficient arbitrage takes place under conditions of partial financial indexation. The data cannot reject the joint hypothesis that participants in financial markets formulate their expectations rationally and that these markets operate efficiently. The data also shows that the indexed/non-indexed interest spread is an accurate predictor of future changes in inflation. The significant implications of these findings for the conduct of monetary policy are also discussed in some detail.
Author | : Enrique G. MENDOZA |
Publisher | : |
Total Pages | : |
Release | : 1991 |
Genre | : |
ISBN | : |
Download EFFICIENT ARBITRAGE UNDER FINANCIAL INDEXATION: THE CASE FO CHILE Book in PDF, Epub and Kindle
Author | : Steven Li |
Publisher | : |
Total Pages | : 0 |
Release | : 2005 |
Genre | : Arbitrage |
ISBN | : |
Download Evidence on the Arbitrage Efficiency of SPI Index Futures and Option Markets Book in PDF, Epub and Kindle
Author | : Steven Li |
Publisher | : |
Total Pages | : 35 |
Release | : 2005 |
Genre | : Arbitrage |
ISBN | : |
Download Evidence on the Arbitrage Efficiency of SPI Index Futures and Options Markets Book in PDF, Epub and Kindle
Author | : Joel S. Sternberg |
Publisher | : |
Total Pages | : 172 |
Release | : 1986 |
Genre | : |
ISBN | : |
Download Arbitrage and Efficiency in the Stock Index Futures and Options Marktes Book in PDF, Epub and Kindle
Author | : |
Publisher | : |
Total Pages | : 170 |
Release | : 1994 |
Genre | : |
ISBN | : |
Download Arbitrage and Efficiency in the Stock Index Futures and Options Markets Book in PDF, Epub and Kindle
Author | : Je̜drzej Białkowski |
Publisher | : |
Total Pages | : 26 |
Release | : 2003 |
Genre | : |
ISBN | : |
Download The Test of Market Efficiency and Index Arbitrage Profitability on Emerging Polish Stock and Futures Index Markets Book in PDF, Epub and Kindle
Author | : Robert Dubil |
Publisher | : John Wiley & Sons |
Total Pages | : 379 |
Release | : 2011-10-13 |
Genre | : Business & Economics |
ISBN | : 1119950635 |
Download Financial Engineering and Arbitrage in the Financial Markets Book in PDF, Epub and Kindle
A whole is worth the sum of its parts. Even the most complex structured bond, credit arbitrage strategy or hedge trade can be broken down into its component parts, and if we understand the elemental components, we can then value the whole as the sum of its parts. We can quantify the risk that is hedged and the risk that is left as the residual exposure. If we learn to view all financial trades and securities as engineered packages of building blocks, then we can analyze in which structures some parts may be cheap and some may be rich. It is this relative value arbitrage principle that drives all modern trading and investment. This book is an easy-to-understand guide to the complex world of today’s financial markets teaching you what money and capital markets are about through a sequence of arbitrage-based numerical illustrations and exercises enriched with institutional detail. Filled with insights and real life examples from the trading floor, it is essential reading for anyone starting out in trading. Using a unique structural approach to teaching the mechanics of financial markets, the book dissects markets into their common building blocks: spot (cash), forward/futures, and contingent (options) transactions. After explaining how each of these is valued and settled, it exploits the structural uniformity across all markets to introduce the difficult subjects of financially engineered products and complex derivatives. The book avoids stochastic calculus in favour of numeric cash flow calculations, present value tables, and diagrams, explaining options, swaps and credit derivatives without any use of differential equations.
Author | : International Monetary Fund. Research Dept. |
Publisher | : International Monetary Fund |
Total Pages | : 220 |
Release | : 1992-01-01 |
Genre | : Business & Economics |
ISBN | : 1451956940 |
Download IMF Staff papers, Volume 39 No. 1 Book in PDF, Epub and Kindle
This paper focuses on exchange rate economics. Two main views of exchange rate determination have evolved since the early 1970s: the monetary approach to the exchange rate (in flexible-price, sticky-price, and real interest differential formulations); and the portfolio balance approach. In this paper, the literature on these views is surveyed, followed by a discussion of the empirical evidence and likely future developments in the area of exchange rate determination. The literature on foreign exchange market efficiency, exchange rates and “news,” and international parity conditions is also reviewed.
Author | : Mr.Robert T. Price |
Publisher | : International Monetary Fund |
Total Pages | : 70 |
Release | : 1997-01-01 |
Genre | : Business & Economics |
ISBN | : 1451842864 |
Download The Rationale and Design of Inflation-Indexed Bonds Book in PDF, Epub and Kindle
A number of industrialized countries have recently offered inflation-indexed bonds. Some members of another group of countries that had earlier adopted more comprehensive indexation in response to high inflation have taken steps to reduce the scope of indexation in their economies. This paper surveys debt management, monetary policy, and welfare arguments on the use of inflation-indexed bonds, and relates these to the experiences of various issuers. The paper also considers some important design features of indexed bonds.