exchange rate volatility and risk
Interest Rate Volatility and Risk in Indian Banking pptx
Ngày tải lên :
22/03/2014, 17:20
... advise banks to use forward rate agreements and interest rate swaps to hedge interest rate risks, these markets are quite shallow The market for exchange- traded interest rate derivatives has recently ... measurement and management of interest rate risk There is now a mandatory requirement that assets and liabilities should be classified by time-to-repricing, to create the ‘interest rate risk statement’ ... series of the long rate, which appears to exhibit high volatility Table shows that India has one of the highest levels of interest rate volatility in the world This interest rate volatility appears...
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Revision of Nominal Effective Exchange Rate (NEER) and Real Effective Exchange Rate (REER) Indices.doc
Ngày tải lên :
17/09/2012, 16:47
... 50 and 51 of the December issue of RBI Bulletin Table 4: Indices of Real Effective Exchange Rate (REER) and Nominal Effective Exchange Rate (NEER) of the Indian Rupee (36-Currency Export and ... source for data on monthly exchange rates and prices for 36 currencies is the IFS of the International Monetary Fund2 With the IFS providing data on exchange rate and prices with a lag of at ... rupee relative to the currency i and vice versa, where e represents exchange rate of Indian rupee against the numeraire, SDR in indexed form and ei represents exchange rate of foreign currency ‘i’...
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VIETNAM’S EXCHANGE RATE POLICY AND IMPLICATIONS FOR ITS FOREIGN EXCHANGE MARKET, 1986-2009 doc
Ngày tải lên :
07/03/2014, 18:20
... Mechanisms to support stability in the VND/USD rate The current exchange rate regime incorporates an announced official ER and a band of allowable exchange rate quotations These two devices have been ... senior officials; and (3) estimation of the volatility of exchange rates Trends in exchange rates Figure illustrates annual movements of the nominal VND/USD rate (of which a rise corresponds to a ... interbank rate should be somewhere between the bid rate and the ask rate quoted in the bank-client market Yet in practice, the official exchange rate has frequently been set below the bid rate quoted...
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the choice of exchange-rate regime and speculative attacks
Ngày tải lên :
28/11/2014, 17:18
... intervene and keep the exchange rate at one of the boundaries of the band.8 Thus, given e−1 , the exchange- rate band ¯ induces a permissible range of rates of change in the exchange rate, [π ... and exchange- rate bands The paper focuses on the trade-offs that determine the optimal band width by analyzing the strategic interaction between the ex ante choice of exchange- rate regime and ... Olivier and Andrew K Rose (2002) “Noise Trading and Exchange- Rate Regimes.” Quarterly Journal of Economics, 117, 537–569 Koren, Miklos (2000) “Implicit Band within the Announced Exchange- Rate Band.”...
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the choice of exchange-rate regime and speculative attacks
Ngày tải lên :
29/11/2014, 11:26
... intervene and keep the exchange rate at one of the boundaries of the band.8 Thus, given e−1 , the exchange- rate band ¯ induces a permissible range of rates of change in the exchange rate, [π ... and exchange- rate bands The paper focuses on the trade-offs that determine the optimal band width by analyzing the strategic interaction between the ex ante choice of exchange- rate regime and ... Olivier and Andrew K Rose (2002) “Noise Trading and Exchange- Rate Regimes.” Quarterly Journal of Economics, 117, 537–569 Koren, Miklos (2000) “Implicit Band within the Announced Exchange- Rate Band.”...
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Modelling long memory in exchange rate volatility
Ngày tải lên :
26/11/2015, 12:46
... the exchange rate return series; [3] exchange rate changes indicate volatility clustering and leptokurtosis; [4] asymmetric effects in exchange rate volatility may not be present; [5] exchange rate ... / 3; and (2.29) d [φi − (1 − d ) / 2] ≤ β i (φi − β i + d ) 22 CHAPTER MODELLING LONG MEMORY IN EXCHANGE RATE VOLATILITY 3.1 Stylised Facts of Exchange Rate Data Understanding exchange rate dynamics ... equities, interest rates and exchange rates See also Bollerslev (1990), and Kroner and Claessens (1991) The detection and modelling of ARCH effects are important from both theoretical and practical...
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EXCHANGE RATE POLICY AND TRADE BALANCE a CASE STUDY OF VIETNAM
Ngày tải lên :
02/06/2017, 11:32
... THEORY OF EXCHANGE RATE POLICY AND TRADE BALANCE 1.1 Exchange rate .9 1.1.1 Definition of exchange rate .9 1.1.2 Exchange rate policy and regime 14 1.2 ... Exchange Rate Policy and Trade Balance: A case study of Vietnam‖ has reiterated several theories about the exchange rate, exchange rate policy and trade balance, the factors affecting the exchange ... exchange rate (RBER): Real exchange rate consists of the rate of exchange rate adjusted for purchasing power RBER: real exchange rate NBER: The nominal bilateral exchange rate Pf: Foreign price level...
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Exchange Rate Changes and Trade Balance: An Empirical Study of the Case of Japan
Ngày tải lên :
13/06/2017, 08:46
... balance, and then illustrates historically the bilateral trade condition of Japan and the U.S and its interaction with the yen-dollar exchange rate Section develops an empirical model, and describes ... Balance($) Figure Real Exchange Rate( Yen/$) Japan-U.S Trade Balance and Yen-Dollar Exchange Rate Source: SourceOECD Database 13 1985 This trend ended in 1995; and the yen-dollar rates remained relatively ... Exchange rates and trade balance under the dollar standard,” Journal of Policy Modeling, 29, 765-782 Rahman, M., M Mustapa and D V Burckel (1997), “Dynamics of the yen-dollar real exchange rate...
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The sensitivity of bank stock returns to market, interest and exchange rate risks docx
Ngày tải lên :
22/03/2014, 17:20
... joint sensitivity of the rates of return of common stocks of large US banking institutions to interest rate, exchange rate and market risk factors Consideration of exchange rates as a factor affecting ... foreign exchange rate risk. ’ Our results indicate that in fact exchange rates exert an important influence on bank stock returns independent of the other market and interest rate factors The sign and ... outputs and inputs Adler and Dumas (1983) suggest that the firm’s exchange rate risk exposure can be measured by a coefficient in a regression of the firm’s stock returns on exchange rate changes,...
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Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks ppt
Ngày tải lên :
29/03/2014, 13:20
... Foundation Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S Banks November 1996 Abstract: This paper estimates the interest rate and exchange rate risk betas of fifty-nine large ... bank's interest rate and currency derivative contracts and the bank's interest rate and exchange rate risks Particularly noteworthy is the influence of currency derivatives on exchange rate betas ... interest rate and exchange rate exposures they entail As evidenced by their popularity as a risk management and trading tool, derivatives directly affect a bank’s interest rate and exchange risk...
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Thuyết trình môn thanh toán quốc tế HEDGING THE EXCHANGE RATE RISK IN EXPORT AND IMPORT
Ngày tải lên :
09/05/2015, 21:15
... soát) Customized and unique (Cá nhân) Public Less liquid (Ít linh động) Liquid (Linh động) Default risk (Rủi ro hủy hợp đồng) No default risk Legal risk (Rủi ro pháp lý) No legal risk No margin ... đó, cho dù giá gạo thị trường sau ba tháng Forward contracts Forward rate & Interest rate parity – IRP Tỷ giá kỳ hạn (forward rate) tỷ giá áp dụng tương lai xác định Tỷ giá áp dụng cho giao dịch...
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Tài liệu The Benefits of Bank Deposit Rate Ceilings: New Evidence on Bank Rates and Risk in the 1920s (p. 2) docx
Ngày tải lên :
15/02/2014, 05:20
... cash on hand, funds due from the Federal Reserve Bank, exchanges and demand cash items, and other items in cash.) • Deposit Rates and Risk The critical variables for this study are deposit rates ... failed before 1930, the rates they paid are likely the rates they promised Arthur J Rolnick Bank Rates and Risk Table Evidence of a Correlation Between Bank Deposit Rates and Risk in - t Independent ... averaging deposit rates over time and maturities, a procedure that can easily bias an estimate of the true deposit rate and any correlation that might exist between bank rates and risk Cox used a...
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Bank of England Interest Rate Announcements and the Foreign Exchange Market ∗ doc
Ngày tải lên :
06/03/2014, 14:20
... made and announced We use high-frequency, intraday data and a Markov-switching econometric model where exchange rate returns switch between a high -volatility, informed trading state and a lowvolatility, ... foreign exchange rate data considerably advanced research in this area High-frequency, intraday exchange rate volatility effects of news announcements were first documented by Ederington and Lee ... intraday exchange and interest rate volatility upon publication of various series, including the monthly employment report, producer price inflation, and trade data They find that the standard deviation...
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WORKING PAPER NO. 218 THE ZERO-INTEREST-RATE BOUND AND THE ROLE OF THE EXCHANGE RATE FOR MONETARY POLICY IN JAPAN potx
Ngày tải lên :
22/03/2014, 23:20
... real exchange rate between countries i and j, e(i,k) the bilateral real exchange rate between countries i and k, and consequently equation (M-7) defines the trade-weighted real exchange rate for ... a strategy By standing ready to sell Yen and buy foreign exchange at the pegged exchange rate, the central bank will be able to enforce the devaluation Once the peg is credible, exchange rate ... bilateral exchange rate between countries i and j in real terms It implies that the difference between today’s real exchange rate and the expectation of next quarter’s real exchange rate is set...
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Báo cáo khoa học: "Efficient Minimum Error Rate Training and Minimum Bayes-Risk Decoding for Translation Hypergraphs and Lattices" pptx
Ngày tải lên :
23/03/2014, 16:21
... and candidate length If E and E are the reference and the candidate translations respectively, this linear function is given by: Figure 2: Transformation of a hypergraph into a factor graph and ... rule re : X → aX1 bX2 c and T (e) = {v1 , v2 } Then we substitute X1 and X2 in the rule with candidate translations associated with line segments in envelopes Env(v1 ) and Env(v2 ) respectively ... moderately large lattice, there can be several thousands of n-grams and the procedure becomes expensive We now present an alternate approximate procedure which can avoid this Minimum Bayes-Risk...
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The Exchange Rate Exposure of U.S. and Japanese Banking Institutions potx
Ngày tải lên :
29/03/2014, 13:20
... and Rogoff (1983) that the current exchange rate outperforms standard exchange rate models in predicting the future exchange rate That is, actual exchange rate changes are largely unpredictable ... “Evidence on Exchange Rates and Valuation of Equity Shares,” in Y Amihud and R Levich, Eds.: Exchange Rates and Corporate Performance, Busines One Irwin, Homewood, Ill Ammer, John and Allan D ... prices, such as interest rates, securities prices, and exchange rates such studies including Flannery and James (1984), Chen and Chan (1989), Mitchell (1989), and Collins and Venkatachalam (1996)...
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