Testing For Rational Speculative Bubbles In Foreign Exchange Rates
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Author | : Laura Tao |
Publisher | : |
Total Pages | : 98 |
Release | : 2010 |
Genre | : Foreign exchange rates |
ISBN | : |
Download Testing for Rational Speculative Bubbles in Foreign Exchange Rates Book in PDF, Epub and Kindle
Author | : Benjamas Jirasakuldech |
Publisher | : |
Total Pages | : 0 |
Release | : 2009 |
Genre | : |
ISBN | : |
Download Rational Speculative Bubbles and Duration Dependence in Exchange Rates Book in PDF, Epub and Kindle
We investigate the presence of rational speculative bubbles in the exchange rates of the British pound, the Canadian dollar, the Danish krone, the Japanese yen and the South African rand against the US dollar. The unit root test shows that the exchange rates and fundamental variables - money supply, income and interest rates - are integrated of order one, indicating no rational speculative bubbles. Further, the cointegration test indicates evidence of a long-run relationship between the exchange rate series and the fundamental variables, corroborating that no speculative bubble is present. The results of the non-parametric duration dependence test suggest that rational expectations bubbles do not affect these exchange rates.
Author | : Robert P. Flood |
Publisher | : MIT Press |
Total Pages | : 528 |
Release | : 1994 |
Genre | : Business & Economics |
ISBN | : 9780262061698 |
Download Speculative Bubbles, Speculative Attacks, and Policy Switching Book in PDF, Epub and Kindle
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 | : Willem H. Buiter |
Publisher | : |
Total Pages | : 68 |
Release | : 1990 |
Genre | : Commerce |
ISBN | : |
Download Rational Speculative Bubbles in an Exchange Rate Target Zone Book in PDF, Epub and Kindle
The recent theory of exchange rate dynamics within a target zone holds that exchange rates under a currency bard are less responsive to fundamental shocks than exchange rates under a free float, provided that the intervention rules of the Central Bank(s) are common knowledge. These results are derived after having assumed a priori that excess volatility due to rational bubbles does not occur in the foreign exchange market. In this paper we consider instead a setup in which the existence of speculative behavior is a datum the Central Bank has to deal with. We show that the defense of the target zone in the presence of bubbles is viable if the Central Bank accommodates speculative attacks when the latter are consistent with the survival of the target zone itself and expectations are self-fulfilling. These results hold for a large class of exogenous and fundamental-dependent bubble processes. We show that the instantaneous volatility of exchange rates within a bard is not necessarily less than the volatility under free float and analyze the implications for interest rate differential dynamics.
Author | : Akila Weerapana |
Publisher | : |
Total Pages | : 126 |
Release | : 1993 |
Genre | : Foreign exchange market |
ISBN | : |
Download Testing for Speculative Bubbles in Foreign Exchange Markets Book in PDF, Epub and Kindle
Foreign currency speculation has always been a well publicized topic that has captured the attention of people who have not formally studied economics. It is also a topic that has captured the attention of researchers in International Finance because speculative bubbles have often been considered as a possible explanation for the excess volatility of exchange rates. An examination of past studies reveals that different methods have been used by researchers to test for the existence of speculative bubbles in major currencies over the period from 1970-1984. In this paper, I will apply three methods which have been used in the past to reach conclusions about the existence of speculative bubbles in the U.S Dollar/German Mark and the U.S Dollar/Japanese Yen exchange rate over the period from 1982-1992 and the U.S Dollar/British Pound exchange rate from 1987-1992. One objective of this paper is to update previous studies by expanding their scope into the most recent decade. The other objective is to use several testing methods for each currency in order to gain an insight into both the robustness of the conclusions and the dependency of the conclusions on a particular method of testing.
Author | : Mr.Lorenzo Giorgianni |
Publisher | : International Monetary Fund |
Total Pages | : 21 |
Release | : 1999-05-01 |
Genre | : Business & Economics |
ISBN | : 1451849222 |
Download Excess Volatility and the Asset-Pricing Exchange Rate Model with Unobservable Fundamentals Book in PDF, Epub and Kindle
This paper presents a method to test the volatility predictions of the textbook asset-pricing exchange rate model, which imposes minimal structure on the data and does not commit to a choice of exchange rate “fundamentals.” Our method builds on existing tests of excess volatility in asset prices, combining them with a procedure that extracts unobservable fundamentals from survey-based exchange rate expectations. We apply our method to data for the three major exchange rates since 1984 and find broad evidence of excess exchange rate volatility with respect to the predictions of the canonical asset-pricing model in an efficient market.
Author | : Peter N. Smith |
Publisher | : |
Total Pages | : 32 |
Release | : 1989 |
Genre | : |
ISBN | : |
Download Testing for Speculative Bubbles in Exchange Rates Book in PDF, Epub and Kindle
Author | : P. N. Smith |
Publisher | : |
Total Pages | : 32 |
Release | : 1989 |
Genre | : Economics |
ISBN | : |
Download Testing for Speculative Bubbles in Exchange Rates Book in PDF, Epub and Kindle
Author | : Yangru Wu |
Publisher | : |
Total Pages | : 41 |
Release | : 1993 |
Genre | : Foreign exchange |
ISBN | : |
Download Are There Rational Bubbles in Foreign Exchange Markets? Book in PDF, Epub and Kindle
Author | : C. Davis |
Publisher | : |
Total Pages | : 39 |
Release | : 1987 |
Genre | : Economics |
ISBN | : |
Download Exchange rate fundamentals and tests for speculative bubbles Book in PDF, Epub and Kindle