The microstructure of foreign exchange rate and foreign exchange rate formation
نویسندگان
چکیده
منابع مشابه
The Foreign Exchange Rate Exposure of Nations ∗
Following the well-known approach by Adler and Dumas (1984) we evaluate the foreign exchange rate exposure of nations. Results based on data from 27 countries show that national foreign exchange rate exposures are significantly related to the current balance variables of corresponding economies. JEL Classification: G15, F31
متن کاملExchange Rate Volatility in the Artiicial Foreign Exchange Market
This paper studies co-evolution of di erent decision rules in an arti cial foreign exchange market. The behavior of the exchange rate depends on the type of decision rules that agents use. Evolution of the moving average and least squares forecasting techniques results in a speculative attack on one of the currencies and that currency's eventual collapse. Addition of the rules that evolve the p...
متن کاملA hybrid computational intelligence model for foreign exchange rate forecasting
Computational intelligence approaches have gradually established themselves as a popular tool for forecasting the complicated financial markets. Forecasting accuracy is one of the most important features of forecasting models; hence, never has research directed at improving upon the effectiveness of time series models stopped. Nowadays, despite the numerous time series forecasting models propos...
متن کاملForeign exchange rate exposure: Evidence from Canada
a r t i c l e i n f o JEL classification: G32 G12 G01 F31 D53 D82 Keywords: Financial risk Foreign exchange rate Nonlinear exposure Asymmetric exposure Nonparametric methods Using weekly data from 2003 to 2011, this paper examines the presence of exchange rate exposure in thirteen Canadian industry sectors. This study contributes to the literature in a number of ways: (i) it considers the prese...
متن کاملValuing Foreign Exchange Rate Derivatives with a Bounded Exchange Process†
Foreign exchange rates have been subjected to periods of tighter or looser controls as various political and economic forces have waxed and waned. When currencies were backed by gold there were fixed exchange rates. In 1973 floating exchange rates were adopted though many countries did try to keep their currency values within certain ranges. More recently the European Economic Community formali...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Economic Annals
سال: 2005
ISSN: 0013-3264,1820-7375
DOI: 10.2298/eka0564063v