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Sun, Wei. "THREE ESSAYS ON EXCHANG RATES AND EXCHANGE RATE POLICY." Lexington, Ky. : [University of Kentucky Libraries], 2006. http://lib.uky.edu/ETD/ukyecon2006d00396/dissertationWS.pdf.
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Thesis (Ph. D.)--University of Kentucky, 2006.Title from document title page (viewed on May 8, 2006). Document formatted into pages; contains vii, 143 p. : ill. Includes abstract and vita. Includes bibliographical references (p. 133-142).
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Almeida, Ramos Raquel. "Financialization and its Implications on the Determination of Exchange Rates of Emerging Market Economies." Thesis, Sorbonne Paris Cité, 2016. http://www.theses.fr/2016USPCD056/document.
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CCette thèse étudie les impacts de la financiarisation sur le taux de change des paysémergents. La financiarisation entraine la finance vers une logique patrimoniale et plusspéculative au niveau international comme l'indique l'utilisation de produits et pratiquesinnovantes par les gestionnaires de portefeuille internationaux. Parallèlement, on constateune volatilité élevée des taux de change dans certains pays émergents, notamment lors deturbulences sur les marchés financiers internationaux. La thèse analyse la relation entre la financiarisation et cette dynamique du taux de change et pourquoi le taux de change est plus volatile dans certains pays. La thèse émet l'hypothèse que l'inclusion d'actifs des pays émergents et de leur monnaie dans les stratégies innovantes de gestion de portefeuille soumet leurs taux de change aux décisions des money managers et les rend dépendant aux variations des marchés financiers mondiaux. Pour tester cette hypothèse, la thèse propose l'utilisation d'un indicateur d'intégration financiarisée et le compare aux caractéristiques de chaque taux de change. Les résultats démontrent une forte relation entre le niveau de financiarisation de l'intégration d'un pays et la volatilité de son taux de change, la fréquence des dépréciations extrêmes, la corrélation avec les conditions financières internationales ainsi qu'avec d'autres monnaies émergentes. La thèse propose une analyse dans une approche Minskyenne d'économie ouverte qui détaille les mécanismes sous-jacents à ces résultats et des modélisations des éléments importants pour la détermination du taux de change dans un cadre SFCThis thesis investigates the impacts of financialization on exchange rates of emerging marketeconomies (EMEs). With financialization, finance follows a patrimonial and increasinglyspeculative logic at the international level, reflecting innovations of products and practicessuch as FX derivatives and carry trading by money managers. Through their portfolioallocation decisions, these portfolio investors bridge markets and currencies across the globe, their decisions being key to exchange rate determination. Simultaneously, some EMEs have been facing high exchange rate volatility, especially in moments of turbulence in international financial markets. The thesis seeks to answer whether these dynamics are associated with financialization and why they are stronger in some EMEs. Specifically, it raises the hypothesis that the use of an EME's assets and currency in those innovative strategies increases emerging currencies' fragility to money managers' decisions, thus to conditions of financial markets worldwide. To test this hypothesis an indicator of financialized integration is suggested and compared to countries' exchange-rate features. Results demonstrate a strong association of financialization with higher exchange rate volatility, more frequent extreme depreciations, closer association with international financial conditions, and high correlation with other emerging currencies. Apart from scrutinizing emerging currencies' special dynamics and their reasons, the thesis suggests a Minskyan open-economy framework that details the underlying mechanisms and forms of modeling keyelements to explain exchange rate dynamics in the SFC framework
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Ziegler, Christina. "Exchange Rate Stability and Wage Determination in Central and Eastern Europe." Doctoral thesis, Universitätsbibliothek Leipzig, 2011. http://nbn-resolving.de/urn:nbn:de:bsz:15-qucosa-81237.
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In Folge der Osterweiterung der europäischen Union (EU) und der steigenden Arbeitsmarktintegration zwischen den EU15 und den neuen Mitgliedsstaaten ist die Lohnfindung in Mittel- und Osteuropa zu einem Schwerpunkt der europäischer Wirtschaftspolitik geworden. Zugleich wird das optimale Wechselkursregime für mittel- und osteuropäische Staaten kontrovers diskutiert. Die Dissertation befasst sich mit der Fragestellung, welche Wechselkursstrategie in Mittel- und Osteuropa vorzuziehen ist, um zum einen den Lohnfindungsprozess zu optimieren und zum anderen den Anpassungsprozess (Konvergenzprozess) an europäische Lohnstandards zu beschleunigen. Diese kumulierte Arbeit besteht aus vier unabhängigen Fachaufsätzen. Zuerst wird der Frage nachgegangen, welche Wechselkursstrategie einen optimalen Rahmen für die Lohnsetzung während des Aufholprozesses mittel- und osteuropäischer Staaten ermöglicht (Kapitel zwei). Im Kapitel drei wird die Rolle der Geldpolitik in Bezug auf die Lohnfindung in Staaten mit flexiblen Wechselkursen untersucht. Die Evaluierung der Prognosefähigkeit alternativer Konjunkturindikatoren für die Euro Zone sowie deren Implikationen für den Lohnverhandlungsprozess in Mittel-und Osteuropa ist Gegenstand der Analyse in Kapitel vier. Im fünften Kapitel wird der Rolle der Lohnpolitik auf Leistungsbilanz(un)gleichgewichte in Mittel- und Osteuropa nachgegangenAfter the Eastern enlargement of the European Union (EU) and increasing participation of labor between the EU15 and the new member states, wage determination in Central and Eastern Europe (CEE) has become a key issue in European economic policy making. At the same time there are controversial discussions regarding the appropriate exchange rate regime for the CEE countries. In this thesis it is examined which exchange rate strategy provides a more favorable framework for wage setting in CEE and leads to faster wage convergence in Europe. This thesis has four parts. First, it is analyzed which exchange rate strategy provides a more favorable framework for wage setting during the economic catch-up process of CEE (section two). Second, the role of monetary policy in wage determination in countries with flexible exchange rate regimes is examined in section three. Third, the predictive power of different euro area business cycle indicators is analyzed in section four. Fourth, the impact of wage determination on the balance of payments in CEE is scrutinized (section five)
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Ahmed, Najeer. "Addressing the Post-Keynesian Critique: Exchange Rate Determination with an Extended Mundell-Fleming Model." Scholarship @ Claremont, 2016. http://scholarship.claremont.edu/cmc_theses/1335.
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The assertion that financial flows are the primary drivers of exchange rates may be considered as financial markets become increasingly large and sophisticated. However, the Post-Keynesian critique leaves little room for the real economy to impact exchange rates. This paper aims to extend the Mundell-Fleming model to address the Post-Keynesian critique of mainstream models, by incorporating wealth effects, expectations, and Taylor-rule interest targeting. Discussion of significant financial events affecting the USDJPY exchange rate finds that wealth effects are significant considerations, and that the real economy cannot be discounted completely. Empirical results find that the real interest rate is a significant factor in exchange rate determination, tying into the discussion over the relationship between savings and consumption.
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Bukat, Michał Aleksander. "Purchasing Power Parity - Theory and Practice." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-206079.
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The thesis explains the theory of purchasing power parity and related concepts. It shows differences in prices and wages all around the globe and gives theoretical explanation of existing disparities. The goal is to find out how prices differ in reality, where costs of living are the highest or the lowest and what makes some products more or less expensive in different countries. In order to answer the questions the thesis deals with, the variety of sources was used, starting from economics textbooks, academic journals, literature reviews, the Economist website, a study of UBS 'Prices and Earnings', International Monetary Fund database and others.
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Lyons, Richard K. "Three essays on exchange rate determination." Thesis, Massachusetts Institute of Technology, 1988. http://hdl.handle.net/1721.1/14706.
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Chiang, Yao Chye. "Exchange rate determination : the case of Singapore /." Title page, contents and introduction only, 1988. http://web4.library.adelaide.edu.au/theses/09EC/09ecc5328.pdf.
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Zhuang, Yaqin. "Aspects of exchange rate determination : empirical evidence." Thesis, University of Hull, 1994. http://hydra.hull.ac.uk/resources/hull:8029.
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The presence of a risk premium in foreign exchange markets for the floating exchange rate period has been examined by some researchers and the results obtained were not successful. In this thesis, we analyse a number of exchange rate models and assess their empirical performance. Using the data from the Group-S members in the post Bretton Woods period, we investigate the presence of the risk premium among different models. Our results are remarkably satisfactory. A 'new' random walk model is tested. It has been found that the null hypothesis of a unit coefficient with or without a constant cannot be rejected for several pairs of the countries. The statistically non-zero constant indicates the existence of the risk premium and/or transaction costs in the foreign exchange markets. Results of testing long run Real Interest Parity (RIP) show that such a condition holds in several cases, and this is explained by the existence of capital and exchange rate controls, and thus by the risk premium, rather than PPP and UIP conditions. One way to detect the existence of the risk premium is to test the significance of the semi-elasticity of bond supplies in a portfolio balance model. It has been shown that such a premium does exist in many cases. Thus the results support the view that the exchange rate is mainly determinated by investors' portfolio behaviour. Finally, a synthesis of monetary and portfolio balance models is also studied. We have been able to uncover evidence in support of the long run model of exchange rate determination for the floating exchange rate period. The evidence supports the synthesis model and a policy reaction function that manages the exchange rate by fully or partially offsetting systematic fluctuations in interest rate differentials.
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Caldron-Morales, Camilo. "Microstructure markets, strategy and exchange rate determination." Thesis, Bournemouth University, 2016. http://eprints.bournemouth.ac.uk/25042/.
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The main contribution of this empirical research is to demonstrate that agents’ strategies are important in the exchange rate determination. This research shows that strategic objectives are heterogeneous particularly when they are related to the expectations with respect to volatility. Trading strategies contribute to solving the empirical problem of explaining exchange rates. In this connection, the main research question addresses how far strategies are important in the exchange rates determination. The concept of strategy includes a) the strategic objectives, b) the trading strategies and c) the strategic content (agents preferred variables). This research departs from the Microstructure Markets Models used by Evans (2002, 2010). Unlike the literature, this empirical research includes a survey approach, combined with recently developed techniques in panel time series estimation, such as the Pooled mean-group (Pesaran and Smith 1995, Pesaran and Shin 1999, and Pesaran 2004), and especially the panel second step least squares with time-invariant variables (Panel 2SLS) (Atkinson 2014). The strategic objectives are extracted from the economic literature. Trading strategy characteristics are taken from the strategic management literature, and the strategic content (variables) from the microstructure literature. Among the findings are that: (a) strategic objectives comprise more than the traditional objective ‘profiting from investments’; (b) the effect of planning and learning strategies on the exchange rates is both important and statistically significant; and (c) market homogeneity is related to the strategic information used by market agents.
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Lin, Jigeng. "Forward market efficiency and foreign exchange rate determination." Diss., The University of Arizona, 1994. http://hdl.handle.net/10150/186807.
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This dissertation studies the simple efficiency hypothesis, which states that the forward exchange rate is an unbiased and efficient predictor of the future spot exchange rate. This hypothesis has been extensively tested, and is overwhelmingly rejected. However, researchers are unable to determine the exact cause of rejections since it is the result of joint assumptions of risk neutrality and rational expectations. An interest rate differential model is developed assuming that the spot rate follows a random walk process and the covered interest rate parity condition holds. In this model, the spot rate is equal to the sum of the lagged forward rate and the interest rate differential, and a random error term. This model shows that the interest rate differential term belongs to the relationship between the spot and lagged forward rates, but it is not accounted for by the simple efficiency hypothesis. Therefore, the simple efficiency hypothesis is rejected because the interest rate differential term belongs to the spot and forward relationship rather than because of assumptions of risk neutrality or rational expectations. Empirical evidence supports this model using the exchange rates of the United Kingdom, Canada, Germany, Japan, and Switzerland versus the United States. Furthermore, the time series properties of interest rate differentials are sensitive to changes in monetary and fiscal policies. The interest rate differential is non-stationary, and the spot and forward rates are not cointegrated for samples between 1982 to 1993, which is a strong indication that the simple efficiency hypothesis is rejected because of interest rate differentials.
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Kim, Yŏng-yong. "Exchange rate determination under rational expectations : an empirical investigation /." Connect to resource, 1985. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1264773152.
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Bagdatoglou, George. "Exchange rate determination and cross-border financial market interdependence." Thesis, Brunel University, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.436537.
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Kim, Young Yong. "Exchange rate determination under rational expectations : an empirical investigation." The Ohio State University, 1985. http://rave.ohiolink.edu/etdc/view?acc_num=osu1264773152.
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Fedina, Ludmila. "The present value model of the exchange rate determination." The Ohio State University, 1999. http://rave.ohiolink.edu/etdc/view?acc_num=osu1272985454.
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Kim, YÅng-yong. "Exchange rate determination under rational expectations : an empirical investigation /." The Ohio State University, 1985. http://rave.ohiolink.edu/etdc/view?acc_num=osu1487261919112196.
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Doganlar, Murat. "Real exchange rate determination and inflation in Turkey 1957-1990." Thesis, University of Aberdeen, 1994. http://digitool.abdn.ac.uk/R?func=search-advanced-go&find_code1=WSN&request1=AAIU067638.
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This thesis analyses the determinants of the real exchange rate in Turkey. It is the first major study of the sources of real exchange rate variability in Turkey. This is an important topic because, if the real exchange rate is misaligned, there will be adverse effects upon economic welfare. The theoretical literature on the Marshall-Lerner condition for a successful devaluation is reviewed. The review and the empirical evidence for Turkey, and for other less developed countries, suggests that the Marshall-Lerner condition will not be satisfied. The theory of the determination of the real exchange rate in developing countries is discussed and this theoretical model is applied to the Turkish situation. The results suggest that real variables fail to ensure the competitiveness of the real exchange rate. This reflects the less competitive nature of Turkish tradable goods and causes structural disequilibrium in the foreign exchange market. A major innovation of this thesis is use of the Slutsky equation as an alternative framework to analyse the movements of the real exchange rate. The debate between monetarists and structuralists as to the causes of inflation in less developed countries is discussed and is followed by an empirical analysis of the causes of the Turkish inflation. The evidence reveals the existence of structural causes of inflation. The money supply is not wholly exogenous in Turkey. These findings support the view that restrictive monetary and fiscal policies are not sufficient to improve the competitiveness of the real exchange rate. Policies should also be aimed at increasing the supply capacity of tradable and nontradable products in Turkey.
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Biľo, Šimon. "Austrians and the Mainstream: The Stories of Exchange Rate Determination." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-3511.
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The scope of the present thesis is four-fold. First, to clarify and explain the means-ends framework and step-by-step analysis of the Austrian school. Second, to apply this framework to the Austrian theory of exchange rates. Third, to link the framework with most of the existing Austrian research related with the exchange rate theory and discuss this research. And fourth, to confront the Austrian economics with two mainstream approaches - Dornbusch?s overshooting model and short-run portfolio balance model. Message springing from this confrontation is twofold. First, the fundamental differences between present-day mainstream methods are envisaged. And second, the fact of possibility of mutual enrichment of both approaches from each other despite of completely different methodological backgrounds is suggested.
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Weichetová, Lenka. "Does 'News' Approach Outperform Monetary Model in Exchange Rate Determination?" Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-199745.
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This thesis aims to contribute in the field of exchange rate determination. Firstly, it sums results of previous studies (theoretical as well as empirical ones). Consequently, it investigates two approaches to exchange rate determination, and compares their theoretical and empirical performance. Firstly, monetary model is introduced, and secondly 'news' model is presented. Since 'news' model incorporates rational expectations and considers interest rate endogenous, it is expected to give better results in comparison with monetary model. Six exchange rates were chosen for the empirical analysis. They are analyzed in period July 2000 -- June 2012. As expected, 'news' model outperforms monetary model. However, since the volatility of exchange rate is much bigger in reality than both of the models are able to explain, neither of the models can be considered as satisfactory. It is the same result which has been presented in older studies that investigated these models.
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Tevie, Justin. "A long-run monetary model of exchange rate determination for Ghana." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp04/mq24991.pdf.
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Limas, Maldonado Erick José [Verfasser]. "A post Keynesian framework of exchange rate determination / Erick José Limas Maldonado." Berlin : Freie Universität Berlin, 2020. http://d-nb.info/1214241212/34.
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Costa, Alexis Petri Magalhães. "An assessment of exchange rate impact over Taylor rule determination in Brazil." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/17971.
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This work assesses the validity of applying the Taylor Rule to the Brazilian market. Several variables, tools and features were analyzed. Among its variables, inflation, inflation target and output gap were included to determine a basis scenario. On top of that, exchange rates and exchange rate related information was tested. Both the crude market input (spot rate) and a trade-weighted currency are included in this analysis. Also extracted from the market, the carry-trade premium was calculated from future exchange rate quotes. Among its tools, the smoothing factor was evaluated. The series were tested for regime breaks, unit root and cointegration, residual autocorrelation, normality, heteroskedasticity and coefficient linearity. Among its features, special attention was paid to the proper timing of each variable. The regressions being forward looking, it was important to line up the actual information available for the Brazilian Central Bank at the time of each decision. Timing was again a factor when considering different cutoff periods, and for synchronizing market data, especially for constructing the carry-trade payoff. This work concludes that evidence of a Taylor Rule being a response function for the Brazilian Central Bank is shaky, especially given the number of misspecification indicators found. Results also suggest that, assuming there is a need to protect the local economy from sharp capital flows consequent of interest rate changes, the implicit future exchange rate premia is not a good indicator of such risk.
Esse trabalho avalia a aderência da Regra de Taylor à política monetária brasileira. Diferentes variaveis, ferramentas e características foram avaliadas. Entre suas variáveis, essa dissertação avaliou inflação, gap de inflação, e hiato do produto, para determinar um cenario base. Sobre este, informações referentes a câmbio foram testadas. Fez-se regressões incluindo o spot de mercado e o câmbio ponderado pela balança comercial. Testou-se também o prêmio implícito em um carry-trade hipotético utilizando o primeiro futuro de dolar da BM&F. Entre as ferramentas estudadas, o 'smoothing factor' foi analisado e não foram encontradas melhorias significativas. As séries foram testadas para quebras de regime, raiz unitária, cointegração, autocorrelação dos resíduos, normalidade, heteroskedasticity e linearidade de coeficientes. Entre suas características, esta dissertação leva em consideração o 'timing' de cada variável. As regressões sendo 'forward looking', buscou-se exatamente o valor para cada variável disponível ao Banco Central do Brasil no momento de cada decisão do COPOM. Esse mesmo cuidado foi tomado para sincronizar os dados de mercado, especialmente para construir o 'payoff' do carry-trade. Esta dissertação conclui que há evidências apenas fracas de que a função resposta do Banco Central esteja em linha com a Regra de Taylor, especialmente dado o número de problemas de especificação encontrados. Os resultados também sugere que, supondo que haja a inteção de proteger a economia local de choques de fluxo de capital consequentes de mudança na taxa SELIC, o prêmio implícito no 'carry-trade' não é um bom indicador desse risco.
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Estrada, Fredy A. G. "Essays on exchange rate determination and international capital flows in emerging economies." Thesis, University of Warwick, 2015. http://wrap.warwick.ac.uk/70930/.
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This thesis consists of three self-contained chapters. The first two chapters are concerned with the same overall topic though, namely exchange rate determination in Emerging Economies (EMEs), while the third chapter is related to the dynamics of capital flows in EMEs. The first chapter studies the impact of monetary policy announcements on the exchange rate behaviour in EMEs under Inflation Targeting (IT), focusing on the case of Colombia, Chile and Brazil. I address two specific issues. First, I analyze if the pattern of exchange rate returns and its volatility behave differently on days when the Central Bank makes interest rate announcements. Second, I investigate whether the adoption of IT has produced a systematic change in the effect of these announcements on the exchange rate. Using daily data, the results provide evidence that there are significant differences in the conditional volatility of exchange rate returns on days when interest rate announcements surprise the market. The results indicate that the effects of surprise announcements on the exchange rate volatility have been diminished due to the adoption of IT and is related to the systematic change in market expectations. The second chapter studies the effectiveness of foreign exchange intervention in Brazil, Chile, Colombia, Mexico, and Peru. I use the coordination channel approach of exchange rate behaviour where exchange rates are determined in an environment of order flow from informed and uninformed traders. The empirical approach of this theoretical model is based on a Smooth Transition Regression GARCH-M (STRGARCH-M) model where the confidence of traders in the fundamentals depends on exchange rate misalignments and central bank intervention that increases traders’ confidence and strengthen the degree of exchange rate mean reversion. Unlike the existent literature on this channel of intervention, I include a measure of risk premium in the conditional mean equation of exchange rate returns that is consistent with the idea that the rejection of the risk-neutral efficient market hypothesis may be the result of a time-varying risk premia. Using daily data from 2000 to 2013, the results suggest that foreign exchange intervention has been effective via the coordination channel, and the risk premia decreases the pace of depreciation as risk averse investors demand a higher rate of return from holding the domestic currency. The recent literature on capital flows has tried to find evidence regarding the post-crisis increase of capital inflows in EMEs due to Fed Unconventional Monetary Policies (UMP). In the third chapter, I address this open question analyzing if the effect of these policies on capital flows in EMEs depends on the degree of financial exposure of each country to the US. This approach could be the smoking gun in this debate as I attempt to find evidence of a specific mechanism by which these policies could affect the pattern of capital flows. I estimate a dynamic panel data model with country fixed effects using quarterly data on gross private capital inflows for 46 EMEs from 2000:Q1 to 2013:Q2. The results suggest that UMP have a significant effect on capital flows that depends on the type of unconventional measure examined and it is bigger if countries have a higher financial exposure to the US.
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Ferreira, Jose Eduardo de Andrade. "Essays on exchange rate determination : an analysis of industrialised and emerging markets." Thesis, University of Kent, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.420823.
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Ziegler, Christina [Verfasser], Gunther [Gutachter] Schnabl, and Bernd [Gutachter] Süßmuth. "Exchange Rate Stability and Wage Determination in Central and Eastern Europe : Exchange Rate Stability and Wage Determination in Central and Eastern Europe / Christina Ziegler ; Gutachter: Gunther Schnabl, Bernd Süßmuth." Leipzig : Universitätsbibliothek Leipzig, 2011. http://d-nb.info/1238020526/34.
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Chen, Mei-Ling. "Essays on the Determination of Equilibrium Real Exchange Rate for Taiwan, 1981-1993." DigitalCommons@USU, 1998. https://digitalcommons.usu.edu/etd/3986.
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Taiwan is one of the four smaller Asian economies. Before 1960, Taiwan pursued industrialization policies by limiting imports of manufactured goods, gradually adopting an open and outward-oriented economic policy, believing it would expend exports and yield gained ground.
With this increasingly open and outward-oriented economic policy as the background, we will study the real exchange rate (RER) misalignment in Taiwan over the period 1981-93. The RER plays a critical role in maintaining external competitiveness. Hence, from the policy point of view, this rate should not be allowed to deviate much from its equilibrium level. Since the equilibrium real exchange rate (ERER) is unobservable, it is very important that the concept be based on sound economic reasoning and its measurement should be done as correctly as possible.
It is generally agreed that misalignment in the RER has a negative effect on the economic performance of a country. This dissertation is divided into two essays. The first essay deals with the estimation of ERER by using the Edwards and the Elbadawi approaches and the measurement of the RER misalignment from two different approaches. The second essay investigates the empirical importance of the distinction between the permanent and temporary components of the determinants of the ERER. By using the same reduced form equation from the first essay and reestimating the ERER by employing the techniques of a modern time-series analysis, which is introduced by Steven Beveridge and Charles Nelson, an empirical analysis is presented of the RER behavior.
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Eng, Yong Heng. "Exchange market efficiency, currency substitution and exchange rate determination : issues, implications and evidence for the Asian currency market." Thesis, McGill University, 1987. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=72094.
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This thesis examines the empirical validity of the efficient market hypothesis, currency substitution, purchasing power parity theory, interest rate parity theory and the monetary approach to exchange rate for the foreign exchange markets of Japan, Singapore and Hong Kong. The empirical results give support to the efficient market hypothesis, mixed evidence for the existence of currency substitution, a strong indication for the long run purchasing power parity theory, support for the inclusion of expectations variable in the interest parity theory, and rejection of the monetary approach to the exchange rate.
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Massone, Francesca. "Measurement of persistence of shocks in a multivariate model of exchange rate determination for the G7 countries." Thesis, University of Cambridge, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.627111.
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Asal, Maher. "Real exchange rate determination and the adjustment process : an empirical study in the cases of Sweden and Egypt /." Göteborg : Nationalekonomiska institutionen, Handelshögsk, 1994. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=006628327&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Odifa, Fakunle Taiwo. "Monetary aspects of exchange rate determination, macroeconomic issues of a resource price increase in LDCs : a case study." Thesis, University of Leicester, 1988. http://hdl.handle.net/2381/9109.
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The impact of the world oil price increases of the early 1970s and those that occured in the 1980s, and the corresponding growth in revenue for the Nigerian economy had two major effects. First, it affected the official exchange rates and its determination, hence fiscal developments for the country. At the same time, the windfall also led to an unbalanced sectoral change within the economy. Both the internal and external economic situation since the oil shock had shown persistent imbalances requiring adjustments. In analysing the oil shock effect, a comprehensive assessment of the influences of exchange rates and structural adjustment problems employs the valuable strengths of the monetary approach aspects of exchange rates determination; particularly on the question of external payments adjustment and of inflation of domestic price levels. The function of exchange rate as an instrument of stabilization policy in an economy such as Nigeria is imperative. A relatively stable exchange rate standard in a world of significant variability is important in evaluating the impact of exchange rate changes on the economy; precisely because the financial infrastructures are at the developing state. When tight controls on the foreign trade sector also lead to the establishment of an unofficial market in foreign exchange, the question of stability would depend on which of the two markets adjust quicker. The market with the more rapid rate of adjustment can therefore provide a guide to exchange rate policy performance. In analysing the stuctural adjustments impact of the oil revenues, features of both national and global economic environment that are significant for macroeconomic performance, which are also proximately related to exchange rates determination are considered by using the dutch-disease framework. By laying emphasis on the fuction of exchange rates mechanism and the impact of the oil revenue increases at macroeconomic level, the large and persistent misalignment of real exchange rates and the general economic policies of the oil boom era are thus analysed in-depth.
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Litsios, Ioannis. "Exchange rate determination and equity prices: Evidence from the UK." 2013. http://hdl.handle.net/10454/10494.
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YesThis paper develops a model of optimal choice over an array of different assets, including domestic and foreign bonds, domestic and foreign equities, and domestic and foreign real money balances, with a view to examine whether stock markets have an effect on the exchange rate in the long-run. The model is tested using data from the UK and the USA. Evidence suggests that the UK stock market has a significant effect on the value of the pound's sterling nominal effective exchange rate in the long-run over the period 1982 to 2011.
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Varadan, Rangan. "Essays on exchange rate determination : an empirical investigation of the efficiency hypothesis and the rationality of expectations /." Diss., 1998. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:9914438.
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Pilbeam, K., and Ioannis Litsios. "The long-run determination of the real exchange rate. Evidence from an intertemporal modelling framework using the dollar-pound exchange rate." 2015. http://hdl.handle.net/10454/10492.
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YesThis paper develops a model of optimal choice over an array of different assets, including domestic and foreign bonds, domestic and foreign equities and domestic and foreign real money balances in order to examine the determination of the real exchange rate in the long-run. The model is tested empirically using data from the UK and the USA. The results show that all the coefficients of the model are right signed and significant and consequently financial assets may play a significant role in the determination of the real exchange rate.
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YANG, PING-CHANG, and 楊秉彰. "THE DETERMINATION AND BUBBLES OF THE EXCHANGE RATES BETWEEN NT DOLLAR AND THREE CURRENCIES." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/18918473374800917165.
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碩士國立臺北大學
經濟學系
95
A study of bubbles in exchange rates is the main idea of this paper. Exchange rates and the fundamental variables being conitegrated of the same order imply a long run ralationship and infer nonexistence of bubble. Applying the “Flexible Price Monetary Model” and the assumption for two-country model by Frankel (1979) and Meese (1986) ,I set up a “Vector Erroor Correction Model” (VECM) by “Granger Representation Theorem”. The sample period is between 1989:10 to 2006:10. The break point lie in 1997:8. As to the exchange rate of USD/TWD, the unrestricted models are suitable for sample periods of the full range and the before-break period. Turning to the after-break sample period, the restricted models explain the exchange rates of JPY/TWD or KRW/TWD well. Futher study for exchange rate of USD/TWD in the after-break sample period, I utilize “Duration Dependence Test” discovered by McQueen &Thorley (1994) and “Risk Adjusted Excess Return” defined by Evans (1986). The conclusion is that there is no bubble in the exchange rates, which is consistent with the results of the unit root tests and the Johansen tests.
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Subhaswadikul, Mathinee. "Financial liberalization and its impact on interest rate determination a case study of Thailand /." Thesis, 1995. http://catalog.hathitrust.org/api/volumes/oclc/37964808.html.
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Sitole, Risenga Wiseman. "Determination of the real exchange rate in commodity exporting countries: do commodity prices matter?" Thesis, 2017. http://hdl.handle.net/10539/23215.
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Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2017.This study examines the relationship between major commodity exports and the real exchange rate of commodity exporting countries. We make use of monthly commodity price time series data to determine the causality relationship between exchange rates and the top three commodity exports from 5 commodity exporting countries (Brazil, Chile, Mexico, Norway and South Africa). Due to the phenomenon called “Dutch Disease” commodity exporting countries’ economies are found not to experience large economic success during periods of booming export commodity prices. Using data from the IMF IFS database, only one country out of the five included in this study shows evidence of conitegration relationship between commodity prices and exchange rates, although there is some evidence of commodity prices explaining the movement of exchange rates in all five countries. We find that commodity prices do play a role in the exchange rates movement in commodity exporting countries.
MT2017
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Ling-Mei, Liu, and 劉苓媺. "An Empirical Study to the Determination of the N.T./U.S. Exchange Rates : An Application of cointegration Analysis." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/71304257574525333571.
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Liu, Hong Jei, and 劉鴻杰. "Bubble and Exchange Rate Determination." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/37802142499387236759.
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Ghalbouni, Joseph P. "Essays in option pricing and foreign exchange rate determination." Thesis, 1989. http://spectrum.library.concordia.ca/3178/1/NL51326.pdf.
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Jen, Lin Lih, and 林麗貞. "Testing the Structure of Taiwan''s Exchange Rate Determination." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/13900601172254606231.
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Jen-Nan, Chien, and 錢俊男. "The Theory and Empirical Study of Exchange Rate Determination." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/66113968726152199677.
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Yang, Hsiao-li, and 楊曉麗. "An simulative study of exchange rate determination model for mergers." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/74828592326491752418.
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Yen, Tzung-Ta. "Studies in currency substitution and exchange rate determination the case of South Korea and Taiwan /." 1989. http://catalog.hathitrust.org/api/volumes/oclc/22938578.html.
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Wang, Huang-Chin, and 王鴻晉. "Portfolio balance approach of exchange rate determination for new Taiwan dollars." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/19254966366043077433.
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碩士國立中興大學
應用經濟學系所
97
The exchange rate of New Taiwan Dollars may determine the Balance of Payment (BOP) results of Taiwan in terms of Current account and Capital account balance. Assessing the situation of asset stock holding among Money, Bonds and Securities will help in understanding the expectation of exchange rate as well as risk aversion reservation of asset value form asset holding. This paper is to establish four portfolio balance models which includes currency, bonds, foreign exchange and stock market assets. It utilizes the Johansen Cointegration Model and Vector Error Correction Model (VECM) to estimate a long-run and short-run interpretation of the exchange rate through basic regression analysis and the use of Granger causality test to clarify the relationship among variables. We discovered an existing stable relationship between exchange rate and assets holding in the long-run. The negative adjustments in the short-run were obtained and the responses of foreign variables were very fast than the responses of domestic variables. It responded on causality results that U.S. variables affect easily Taiwan of variables. Moreover, policy maker must be careful in dealing with these small changes among factors engulfing BOP.
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Lin, Meel-Horng, and 林美紅. "The Impacts of Quantitative Easing Policy on the Determination of Exchange Rate." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/f9x8kd.
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碩士國立高雄應用科技大學
金融系金融資訊碩士在職專班
104
The main purpose of the study is to explore how QE policy affects the relationship between exchange rate and macroeconomic variables by applying the data of Euro Area and Japan. The study applies several time series tests, such as cointegration and causality, to examine the model of exchange rate determination being based on monetary approach. The empirical results can be summarized as the followings： First, according to the results of cointegration, Euro will appreciate if the U.S. increases M2 for the ex-QE period, which confirms the model of monetary approach, but there is a converse result for the post-QE period. The changes of Japanese yen will consist with the expected results of monetary approach for both of periods. Second, most of the causalities between Euro and other variables are bi-directional for the ex-QE period, but Euro will lead other variables, except for the output in Euro area, for the post-QE period. As to the the causalities between Japan yen and other variables, most of them are no causalities for the ex-QE period, but Japanese yen and other variables, except for the output in Japan, will exist unidirectional or bi-directional causalities for the post-QE period. Finally, the results of forecast error variance analysis show that the change of the U.S. output can significantly influence Euro and Japanese Yen for the ex-QE period, but it is insignificant for the post-QE period.
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Ming-Hung, Chen, and 陳明宏. "Testing the Monetary Model of Exchange Rate Determination－Panel Threshold Effect for the Non-linear Relationship between the Exchange Rate and the Interest Rate Differential." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/40952672163399139304.
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碩士淡江大學
財務金融學系碩士在職專班
93
Since the era of floating exchange rate in 1970s, there’re so much researches about international finance. According to the different macro-economic setting and based on the different assumption about sticky and flexible price in the short and long term, scholars research exchange rate determination models and develop various monetary models. There are two different conclusions between the flexible-price monetary model (Chicago school) and the sticky-price monetary model (Keynesian school) about the relationship between interest rate differential and exchange rate. In generally, there is no strong evident to totally support any one theory about this relationship.Existing structural models have little in their favor beyond theoretical coherence. Positive results, when they are found, are often either fragile, or unconvincing in that they rely on implausible theoretical or empirical models”. The Panel threshold model is different from other traditional linear econometric mode. This research is the first one to use Panel threshold model as the econometric model to fit and estimate the non-linear relationship in the generalized-sticky price model, modified model by scholars. This research tests the asymmetry adjustment between interest rate differential and exchange rate, if there exists any non-linear relation panel threshold effect between interest rate differential and exchange rate. It tries to resolve the puzzle of traditional linear model to enhance the predictability of monetary model.Using the data of 13 countries in OECD vs. U.S. as sample, this research tests the panel threshold effect between interest rate differential and exchange rate. This research tries to explain the movement of exchange rate affected by the change of interest rate differential between countries and U.S. According to the result of the single panel threshold model, in the period of investigation, the threshold split interest rate differential into two parts, and the connection between exchange rate and interest rate differential are positive and negative correlation, respectively. The empirical evidence shows that there may not exist threshold effect between interest rate differential and exchange rate. The result of the panel threshold effect is not significant.
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Lin, Yung-Ju, and 林咏儒. "Chaotic Dynamics of a Real Exchange Rate Determination Model and an OLG Model." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/11294635170028422446.
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碩士國立彰化師範大學
數學系所
93
In the first part of the thesis, we study some dynamics of the map $$F_{\lambda}(q_{t})=q_{t}+\frac{1}{\lambda}(sq^3_{t}-rq^2_{t}+mq_{t}-n),$$ where $\lambda>0$ is a parameter and $s,r,m,n>0$. It is induced from a model of real exchange rate determination with linear demand functions for imports and exports. If $F_{\lambda}$ has only one fixed point, we prove that the fixed point is globally repelling. If $F_{\lambda}$ has exactly two fixed points, we prove that there exist no periodic point. If $F_{\lambda}$ has three distinct fixed points, we prove that $F_{\lambda}$ is chaotic in sense of Li and Yorke for all sufficiently small $\lambda$. In the second part, we study some dynamics of the map $m_{\alpha,\beta,\sigma,n,A}:\mathbb{R}^{+}\rightarrow\mathbb{R}^{+}$ defined by $$m_{\alpha,\beta,\sigma,n,A}(k)= \frac{A(1-\alpha)k^\alpha}{(1+n)\left[1+\beta^{-\sigma}(\alpha A)^{1-\sigma}k^{(\alpha-1)(1-\sigma)}\right]},$$ where $\alpha\in(0,1)$, $\beta>0$, $\sigma>0$, $n\in(-1,\infty)$ and $A>0$ are parameters. It is induced from an OLG model with a Cobb-Douglas production function and a CIES utility function under myopic foresight. For $\beta>\frac{1-\alpha}{\alpha(1+n)}$, we prove that all orbits of $m_{\alpha,\beta,\sigma,n,A}$ are asymptotic to the positive fixed point for all sufficiently large $\sigma$. For $\beta<\frac{1-\alpha}{\alpha(1+n)}$, if $\frac{1-\alpha}{\alpha(1+n)(1+\beta)}<1$ and $(\frac{1-\alpha}{\alpha(1+n)(1+\beta)})^{1+\alpha}<\frac{\beta}{1+\beta}$ we prove that $m_{\alpha,\beta,\sigma,n,A}$ is chaotic in sense of Li and Yorke for all sufficiently large $\sigma$.
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Hsiao-Kang, Wang, and 王曉康. "The Study of Russian Economic Policy and the Determination of Exchange Rate (1992~1994)." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/23806199709440448718.
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碩士淡江大學
俄羅斯研究所
87
This study mainly research Russian economic policy and the determination of ruble exchange rate. At first, the study structured the basic premises from the theories of exchange rate determination. Second, it got the measures of Russian economic policy from relative articales. Then it used the variation of the factors to argue the determination of ruble exchange rate with the basic premises. The research of this study is "secondary data analysis method" and "content analysis method". This study found out after Russian taking floating exchange rate regime, government had intervened foreign exchange market several times. Because its ability was limit, the determination of ruble exchange rate was from other factors. International organizations and some countries through the loan nigotiation affected indirectly ruble exchange rate. At the same time, the growth rate of money supply was quick than other countries. It made CPI and PPI grew higher. Both made ruble depreciate. In Russian, because " Ricardian equivlence conditions" was invalid under government deficits grew higher that made ruble depreciate. Thre real interest rate was lower than other countries which made money flow out. And it made ruble depreciate, too. Russian GDP grew lower and lower under "the relative price effect" and "the money demand effect", both effects made ruble depreciate. Though Russian trade surplus grew higher, the real value of Russian goods was still lower, but the real value of other countries' goods was higher which made ruble depreciate.
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Hun, Lin Gen, and 林建宏. "The Research of the measure of foreign exchange rate risk and the determinations in Taiwan." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/74831230554912421863.
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碩士國立中興大學
企業管理研究所
86
With the liberalization and internationalization of the financial market, the exchange rate of the Taiwan dollar has become unstable, thus increasing the risk that entrepreneurs have to bear. Moreover, this trend has generated more significant effects on the business sector.This study uses the stocks on the market as samples to probe into the currency risks that are faced by entrepreneurs and the factors that affect these risks.1. The methodology of Chow, Lee, and Solt (1997) is applied to weigh the risks of the stocks on the market, and to discuss the influences of the undulation of the exchange rate upon the value of the stocks. Horizon lengths are also utilized to understand the existence of currency risk, its influence upon the stocks, and the degree and direction of its effects.2. Factors affecting risk are discussed further to understand the degree of influence "export proportion" and "size of company" exert on risk, to determine if the effects, if any, are significant, and to ascertain the causes to provide information for managers and investors.Through single and multiple regression analysis and t-testing the samples are analyzed, and the following conclusions are reached:1. The longer the horizon length, the more significant the currency risk coefficient accelerates. This shows that exchange rate changes do affect stock returns, i.e., value of stocks. However, the effects show a lag effect, the cause of which may be the lack of effective information in the market. Thus it takes time for stocks to reflect the effects of rate changes. Moreover, it is difficult for investors to take hold of or understand such information.On the coefficient symbol, the rise (fall) of the NT dollar exerts a positive (negative) effect on the price of stocks. The probable causes might be (1) cost to import raw materials drop due to appreciation. (2) Appreciation due to increase in exports. (3) More supply of currency leads to depreciation. (4) Expectant mentality generates arbitrage behavior.2. This research assumes that different "export proportion" and "size of company" are factors that affect currency risk. Results show that the relation between export proportion and size of company with the currency risk coefficient is negative. This shows that (1) the bigger (smaller) the export proportion, the smaller (higher) the currency risk. (2) the bigger (smaller) the size of the company, the smaller (higher) the currency risk. Since companies with higher export proportion is more greatly affected by the currency risk brought about by currency changes, they have to take advantage of hedging to lower the impact of currency risk. At the same time, since the size of the company is bigger, and thus has more financial ability to cover cost of hedge, and has more ability and resources to hedge, thus is less exposed to currency risks.
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CHEN, XIN-HONG, and 陳信宏. "The determination and forecasting of NT/U.S. dollar exchange rate-an empirical study of the monetary approach." Thesis, 1992. http://ndltd.ncl.edu.tw/handle/77302171441554739652.
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Chang, Yuan-Ru, and 張媛茹. "Testing for Monetary Model of the Exchange Rate Determination: The Application of Nonlinear Covariate Unit Root Test." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/7nn5w7.
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碩士國立暨南國際大學
經濟學系
102
This study serves one of the first paper adopting the nonlinear covariate unit root test to examine the performance of monetary models of the exchange rate determination. We reexamine empirical performance of monetary exchange rate with nonlinear dynamics of nominal exchange rate deviation from the monetary fundamentals. We employ CKSS unit root test proposed by Tsong (2011), and test the long-run monetary models of the exchange rate determination for 16 countries using data during the post-Bretton Woods. Our empirical evidence which applies CKSS unit root test shows that owing to capturing of nonlinear adjustment and adding stationary covariates in the regression equation improve the power of unit root tests. In all countries, except Norway, Swizerland and Italy, the nominal exchange rate is cointegrated with the monetary fundamentals. We find support for a simple form of the long-run monetary model in over half of the countries we consider.