The goal of this study is to measure market prices of risk and the associated foreign exchange risk premia extending the approach proposed by Balduzzi and Robotti (2001) to an international framework. Estimations of minimum variance stochastic discount factors permits the determination of market prices of risk, which, in turn, in an international framework, allow to compute foreign exchange ris...

There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The profitability of these trading rules will then be analyzed in connection with central bank activity using intervention data from the Federal Reserve...

Recently, a dramatic accumulation of foreign exchange reserves has been widely observed among developing countries. The purpose of this paper is to explore what macroeconomic impacts accumulated foreign reserves have in developing countries. In the first part, we analyze a simple open economy model where increased foreign reserves reduce costs of liquidity risk. Given the amount of foreign rese...

‎The main purpose of this paper is to analyze the exchange rate volatility in Iran in the time period between 2011/11/27 and 2017/02/25 on a daily basis. As a tradable asset and as an important and effective economic  variable, exchange rate plays a decisive role in the economy of a country. In a successful economic management, the modeling and prediction of the exchange rate volatility is esse...

The paper employs Artificial Neural Network (ANN) to forecast foreign exchange rate in India during 1992-2009. We used two types of data set (daily and monthly) for US dollar, British pound, euro and Japanese yen. The performance of forecasting is quantified by using various loss functions namely root mean square error (RMSE), mean absolute error (MAE), mean absolute deviation (MAD) and mean ab...

The welfare aspects of dual exchange rate systems are analyzed in this paper. The requirement that domestic linancial transactions with the rest of the world be undertaken at a special foreign exchange rate is found to be equivalent to levying a tariff on this class of international transactions. Hence, a dual exchange rate system and capital controls are shown to be essentially identical. In l...

A concern about large, export-orientated projects relates to the flows of foreign exchange into the domestic economy that they produce. These flows occur both during the investment phase of the project and subsequently during its operational phase, through export earnings. Foreign exchange inflows produce direct benefits for some groups, but may also indirectly harm others, through an appreciat...