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Euro/US Dollar Exchange Rate (us + dollar_exchange_rate)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	100%

Selected Abstracts

Hedging and value at risk: A semi-parametric approach

THE JOURNAL OF FUTURES MARKETS, Issue 8 2010
Zhiguang Cao
The non-normality of financial asset returns has important implications for hedging. In particular, in contrast with the unambiguous effect that minimum-variance hedging has on the standard deviation, it can actually increase the negative skewness and kurtosis of hedge portfolio returns. Thus, the reduction in Value at Risk (VaR) and Conditional Value at Risk (CVaR) that minimum-variance hedging generates can be significantly lower than the reduction in standard deviation. In this study, we provide a new, semi-parametric method of estimating minimum-VaR and minimum-CVaR hedge ratios based on the Cornish-Fisher expansion of the quantile of the hedged portfolio return distribution. Using spot and futures returns for the FTSE 100, FTSE 250, and FTSE Small Cap equity indices, the Euro/US Dollar exchange rate, and Brent crude oil, we find that the semiparametric approach is superior to the standard minimum-variance approach, and to the nonparametric approach of Harris and Shen (2006). In particular, it provides a greater reduction in both negative skewness and excess kurtosis, and consequently generates hedge portfolios that in most cases have lower VaR and CVaR. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:780,794, 2010 [source]

US,Mexico fresh vegetable trade: the effects of trade liberalization and economic growth

AGRICULTURAL ECONOMICS, Issue 1 2001
Jaime E. Málaga
NAFTA; Vegetables; Trade liberalization; Mexico Abstract Studies of US-Mexico vegetable trade have generally emphasized the importance of US tariffs in determining the competitive advantage of US producers. Even so, research has identified at least four factors related primarily to the different levels of economic development in the US and Mexico that also have important effects on US-Mexico agricultural trade in general and fresh vegetable trade in particular. These include the differential growth rates of US and Mexican real wages, production technology (yields), and per capita income as well as cyclical movements in the real Mexican Peso/US Dollar exchange rate. This study examines the relative contribution of NAFTA and the development-related factors to likely future changes in US fresh vegetable imports from Mexico. The analysis employs an econometric simulation model of US and Mexican markets for five fresh vegetables (tomatoes, cucumbers, squash, bell peppers, and onions) accounting for 80% of US fresh vegetable imports. The results suggest that the 1994,1995 Peso devaluation rather than NAFTA was primarily responsible for the sharp increase in US imports of Mexican vegetables observed in the first years following the implementation of NAFTA. Over time, however, the results suggest that differences in the growth rates of US and Mexican production yields and, to a lesser extent, of US and Mexican real incomes and/or real wage rates could plausibly contribute more to the future growth of US tomato, squash, and onion imports from Mexico than the trade liberalizing effects of NAFTA. [source]

The economic value of technical trading rules: a nonparametric utility-based approach

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 1 2005
Hans Dewachter
Abstract We adapt Brandt's (1999) nonparametric approach to determine the optimal portfolio choice of a risk averse foreign exchange investor who uses moving average trading signals as the information instrument for investment opportunities. Additionally, we assess the economic value of the estimated optimal trading rules based on the investor's preferences. The approach consists of a conditional generalized method of moments (GMM) applied to the conditional Euler optimality conditions. The method presents two main advantages: (i) it avoids ad hoc specifications of statistical models used to explain return predictability; and (ii) it implicitly incorporates all return moments in the investor's expected utility maximization problem. We apply the procedure to different moving average trading rules for the German mark,US dollar exchange rate for the period 1973,2001. We find that technical trading rules are partially recovered and that the estimated optimal trading rules represent a significant economic value for the investor. Copyright © 2005 John Wiley & Sons, Ltd. [source]

Estimation of multivariate models for time series of possibly different lengths

JOURNAL OF APPLIED ECONOMETRICS, Issue 2 2006
Andrew J. Patton
We consider the problem of estimating parametric multivariate density models when unequal amounts of data are available on each variable. We focus in particular on the case that the unknown parameter vector may be partitioned into elements relating only to a marginal distribution and elements relating to the copula. In such a case we propose using a multi-stage maximum likelihood estimator (MSMLE) based on all available data rather than the usual one-stage maximum likelihood estimator (1SMLE) based only on the overlapping data. We provide conditions under which the MSMLE is not less asymptotically efficient than the 1SMLE, and we examine the small sample efficiency of the estimators via simulations. The analysis in this paper is motivated by a model of the joint distribution of daily Japanese yen,US dollar and euro,US dollar exchange rates. We find significant evidence of time variation in the conditional copula of these exchange rates, and evidence of greater dependence during extreme events than under the normal distribution. Copyright © 2006 John Wiley & Sons, Ltd. [source]

Tracking the Euro's Progress

INTERNATIONAL FINANCE, Issue 3 2000
Menzie D. Chinn
The evolution of the euro since its inception has appeared inexplicable. This paper develops a monetary model of the euro/US dollar exchange rate to track the progress of the currency, both before and after Stage 3 EMU. The relationship between the exchange rate, money stocks, GDP, interest and inflation rates, and prices is identified. The observed patterns of behaviour during the 1990s are used to predict the euro's value up to mid-2000; a consistent finding is that the euro is over-predicted by 23,30%. This finding is robust to the use of alternative sample periods and alternative estimation methodologies, as long as each of the variables is treated as endogenous. This monetary model does not give much weight to factors such as productivity. However, the past evolution of European exchange rates suggests that productivity trends are indeed important. Some estimates suggest that an annual one percentage point in the intercountry differential in tradable-nontradable productivity causes a 0.85'1.7% real appreciation of a currency. [source]