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Foreign Exchange (foreign + exchange)
Terms modified by Foreign Exchange Selected AbstractsTRADING IN FOREIGN EXCHANGEECONOMIC PAPERS: A JOURNAL OF APPLIED ECONOMICS AND POLICY, Issue 2 2001TIFFANY HUTCHESON First page of article [source] Consistent High-precision Volatility from High-frequency DataECONOMIC NOTES, Issue 2 2001Fulvio Corsi Estimates of daily volatility are investigated. Realized volatility can be computed from returns observed over time intervals of different sizes. For simple statistical reasons, volatility estimators based on high-frequency returns have been proposed, but such estimators are found to be strongly biased as compared to volatilities of daily returns. This bias originates from microstructure effects in the price formation. For foreign exchange, the relevant microstructure effect is the incoherent price formation, which leads to a strong negative first-order autocorrelation ,(1),40 per cent for tick-by-tick returns and to the volatility bias. On the basis of a simple theoretical model for foreign exchange data, the incoherent term can be filtered away from the tick-by-tick price series. With filtered prices, the daily volatility can be estimated using the information contained in high-frequency data, providing a high-precision measure of volatility at any time interval. (J.E.L.: C13, C22, C81). [source] Reform Unleashed Korean GrowthGERMAN ECONOMIC REVIEW, Issue 1 2003Henry Y. Wan Jr. Rent-seeking; industrialization; Korea; regulatory reform Abstract. Before the reform in the 1960s, twin vicious circles perpetuated the shortages of foreign exchange and labor skill, and prevented the Korean economy from realizing its considerable growth potential. The breakthrough came when the Japanese labor shortage facilitated Korean exports, after economic normalization between the two countries. The reformed institutions reduced rent-seeking and refocused Korean managerial efforts to pioneering activities. The Korean takeoff scenario is a shared theme among all four Asian newly industrialized economies cited by Lucas (1988) as showcases. [source] Extended evidence on the use of technical analysis in foreign exchangeINTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 4 2006Thomas Gehrig Abstract This work extends earlier survey studies on the use of technical analysis by considering flow analysis as a third form of information production. Moreover, the survey covers FX dealers and also the rising fund managers. Technical analysis has gained importance over time and is now the most equally spread kind of analysis. It has by far the greatest importance in FX dealing and is second in fund management. Charts are used for shorter-term forecasting horizons while flows dominate at the shortest-term and fundamentals at longer horizons. Preferred users of each kind of analysis exhibit different views about market frictions. Copyright © 2006 John Wiley & Sons, Ltd. [source] Monetary policy's effects during the financial crises in Brazil and KoreaINTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 1 2003Charles Goodhart This paper looks at the effect of monetary policy changes on asset prices in the foreign exchange and equity markets of Brazil and Korea. We were searching for evidence whether monetary policy tightening may have had (adverse) counterproductive effects on such asset markets. In common with other authors we find only weak or sporadic evidence for this hypothesis. Using a theoretical model of financial market imperfections, we show that the failure to find monetary policy effectiveness during a crisis can come about not only because of the endogeneity caused by a ,leaning against the wind' policy reaction but also, independently, if there are large and correlated risk premia in the financial markets in which interest rates and determined. Copyright © 2003 John Wiley & Sons, Ltd. [source] Transitional economy tourism: German travel consumers' perceptions of LithuaniaINTERNATIONAL JOURNAL OF TOURISM RESEARCH, Issue 4 2003Birute Clottey Abstract This paper examines the current status of tourism in Lithuania as well as potential German tourists' perceptions of Lithuania as a tourist destination. As tourism is an important source of foreign exchange and provides jobs for a large number of people, the Lithuanian Government is quite interested in increasing the number of tourists visiting the country. Data gathered at the International Tourism Exchange in Berlin was analysed and recommendations made concerning marketing techniques that could be used to increase tourism from the European Union and other western countries. Copyright © 2003 John Wiley &Sons, Ltd. [source] Heritage attractions and tourism development in Asia: a comparative study of Hong Kong and SingaporeINTERNATIONAL JOURNAL OF TOURISM RESEARCH, Issue 5 2002Joan C. Henderson Abstract The paper compares the principal Asian city destinations of Hong Kong and Singapore with specific reference to heritage attractions and their contribution to tourism development, revealing contrasts and similarities that offer an insight into more general practices and processes. Authorities are actively pursuing tourism marketing and development initiatives incorporating the promotion of selected forms of heritage in order to stimulate visitor arrivals, but also employing heritage to define and articulate national and cultural identity. Heritage is thus shown to have a political and socio-cultural significance in addition to its economic value as a generator of revenue, foreign exchange and employment. These functions help to explain the higher priority allocated to it in strategic planning and its increasing use to attract visitors throughout much of Asia. Contexts may be very different, yet approaches correspond, as demonstrated by the circumstances of Hong Kong and Singapore. Copyright © 2002 John Wiley & Sons, Ltd. [source] The Role of Migrant Remittances in Development: Evidence from Mediterranean CountriesINTERNATIONAL MIGRATION, Issue 1 2002Nicholas P. Glytsos Given the persistent problems in the balance of trade in LDCs, the limited effect of foreign aid, and the difficulties of borrowing, the often huge amounts of migrant remittances can substitute for the inadequacies of these forms of foreign exchange. As market flows of foreign exchange, remittances have complex positive and negative effects on development. In this paper, I deal with this role of migrant remittances in the theoretical framework of development economics, as related to the importance of foreign exchange as an indispensable factor of growth and structural change in LDCs. Various channels transmitting the impact of remittances on development are investigated based on the experience of countries from both sides of the Mediterranean basin. [source] Modelling Transparency in Disclosure: The Case of Foreign Exchange Risk ManagementJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 5-6 2007Andrew Marshall Abstract:, When managers choose not to disclose all the relevant information in their possession in their financial statements, there is an information gap between the managers and users and consequently a lack of transparency. We model the degree of transparency observed when disclosures of foreign exchange (FX) risk management in financial statements are compared to managerial information on FX risk management policy, as evidenced in questionnaire responses. In this comparative study of US and UK firms we find incomplete disclosure in both samples but with differing aspects. In the US case, the information gap is lower where the information has higher relevance or firms with higher financial risk (greater leverage) are signalling the extent of risk, but the gap is greater where firms are in competitive product markets. For the UK sample, the information gap is significantly lower where firms have higher financial risk or higher liquidity but the gap is greater where the shares are more closely held. We conclude that modelling and explaining this aspect of incomplete accounting disclosure in an international setting must be sufficiently flexible to accommodate national differences in managerial behaviour. [source] Protecting your firm from FX riskJOURNAL OF CORPORATE ACCOUNTING & FINANCE, Issue 6 2008Michael Ehrlich Recent oil-price hikes are hurting U.S. businesses. But Europe seems protected,perhaps by the rising value of the euro against the U.S. dollar. So U.S.-based managers need to compensate for the falling value of the dollar when planning their business strategies. How can U.S. managers protect their companies from rising foreign exchange (FX) risks? The authors offer some vital tools and strategies,and discuss what perils the future may hold. © 2008 Wiley Periodicals, Inc. [source] Expectations Formation and Risk in Three Financial Markets: Surveying What the Surveys SayJOURNAL OF ECONOMIC SURVEYS, Issue 1 2000Ronald MacDonald This paper attempts to provide a logical overview of the literature which exploits survey data to examine issues of expectations formation and risk aversion in financial markets. Our survey suggests that: short term expectations are excessively volatile and exhibit bandwagon effects, while longer term expectations appear to be regressive and therefore stabilising; in bond and foreign exchange markets the standard result of forward rate biasedness is due in part to time-varying premia; recent research using disaggregate foreign exchange survey data demonstrates the importance of heterogeneous expectations. [source] Putting aid in its place: Insights from early structuralists on aid and balance of payments and lessons for contemporary aid debates,JOURNAL OF INTERNATIONAL DEVELOPMENT, Issue 6 2009Andrew M. Fischer Abstract Recent debates on aid and development are waged on narrow terms in comparison to earlier debates in the 1950s and 1960s. The principal concern of the ,structuralist' pioneers of development economics, and the key absence in the current debates, was an understanding of the structural impediments faced by countries going through late industrialisation and rapid urban growth. These result in chronic trade deficits, shortages of foreign exchange and persistent balance of payments disequilibria. The positive potential of aid was understood to lie in its ability to mediate these imbalances in the context of national industrialisation strategies. By the same logic, this potential is lost if countries run trade surpluses. Current debates on aid mostly overlook this dual logic, despite the fact that both positive and negative experiences of post-war development largely vindicate these structuralist insights, particularly in light of current global financial imbalances. Copyright © 2009 John Wiley & Sons, Ltd. [source] The net contribution of the Mauritian export processing zone using benefit,cost analysisJOURNAL OF INTERNATIONAL DEVELOPMENT, Issue 3 2009Rojid Sawkut Abstract An EPZ is basically no more than a device whereby imports, to be used in the production of exports, can be acquired by manufacturers on a bonded duty-free basis. They are literally industrial zones with special incentives to attract foreign investors in which imported materials undergo some degree of processing before being exported again. The logic behind these zones was the creation of an area in which domestic policies do not hold and in which, therefore, a government could implement policies designed to enable individual firms to invest profitably on the basis of a country's comparative advantage. However, although there is significant literature on the impact of EPZs on host countries, nevertheless, the evidence has mainly been concerned with their benefits and costs and has stopped short of formal benefit-cost analysis. In essence, what the empirical studies have lacked, including those done on the Mauritius Export Processing Zone (MEPZ), has been an analytical framework within which the benefits and costs of EPZs can be identified conceptually and quantified empirically. In this respect, the objective of the current paper is to formally attempt to calculate the net contribution of the MEPZ using a modified version of the enclave model put forward by Warr (1988). The results show that although Mauritius has been able to attain its objective of reducing employment and raising foreign exchange through the creation of the EPZ, yet overall the EPZ has cost more to the economy than the benefits it has conferred to the economy. This is principally because of the incentives that were given to the producers working in the EPZ sector. The costs of these incentives were higher than the overall returns obtained from the sector. The two variables that negatively contributed to the sector were domestic borrowings and electricity usage. Copyright © 2008 John Wiley & Sons, Ltd. [source] Poverty reduction strategy papers and the fisheries sector: an opportunity forgone?JOURNAL OF INTERNATIONAL DEVELOPMENT, Issue 4 2006Andy Thorpe This article examines the extent to which the fisheries sector has been mainstreamed into the Poverty Reduction Strategy Papers (PRSPs) published by fifty nations by the end of 2003. Applying content analysis techniques we find that there is little overt relationship between the extent of such mainstreaming and the significance of the sector (as either a contributor to food security, a generator of foreign exchange, a provider of employment or as a refuge of the poor). Copyright © 2005 John Wiley & Sons, Ltd. [source] The pricing of foreign currency options under jump-diffusion processesTHE JOURNAL OF FUTURES MARKETS, Issue 7 2007Chang Mo Ahn In this article, the authors derive explicit formulas for European foreign exchange (FX) call and put option values when the exchange rate dynamics are governed by jump-diffusion processes. The authors use a simple general equilibrium international asset pricing model with continuous trading and frictionless international capital markets. The domestic and foreign price level are introduced as state variables that contain jumps caused by monetary shocks and catastrophic events such as 9/11 or Hurricane Katrina. The domestic and foreign interest rates are stochastic and endogenously determined in the model and are shown to be critically affected by the jump risk of the foreign exchange. The model shows that the behavior of FX options is affected through the impact of state variables and parameters on the nominal interest rates. The model contrasts with those of M. Garman and S. Kohlhagen (1983) and O. Grabbe (1983), whose models have exogenously determined interest rates. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:669,695, 2007 [source] Asymmetric hedging of the corporate terms of tradeTHE JOURNAL OF FUTURES MARKETS, Issue 11 2006Roger Bowden Risk management techniques such as value at risk and conditional value at risk focus attention on protecting the downside exposures without penalizing the upside exposures. The implied welfare functions are equivalent to an otherwise risk neutral agent with a put option exposure on the downside. The correspondence can be exploited to design smoother loss measures and numerically based solutions for optimal hedge ratios. A statistically well-adapted hedge object for the firm is the corporate terms of trade, which balances up output and expense prices as a single index related to the net profit margin. The methods are applied to the NZ dairy industry to derive optimal foreign exchange forwards based hedges. It is not always optimal to rely solely on forward discounts or premiums. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1059,1088, 2006 [source] Time variation in the tail behavior of Bund future returnsTHE JOURNAL OF FUTURES MARKETS, Issue 4 2004Thomas Werner The literature on the tail behavior of asset prices focuses mainly on the foreign exchange and stock markets, with only a few articles dealing with bonds or bond futures. The present article addresses this omission. It focuses on three questions using extreme value analysis: (a) Does the distribution of Bund future returns have heavy tails? (b) Do the tails change over time? (c) Does the tail index provide information that is not captured by a standard VaR approach? The results are as follows: (a) The distribution of high-frequency returns of the Bund future is indeed characterized by heavy tails. The tails are thinner for lower frequencies, but remain significantly heavy even for daily data. (b) There are statistically significant breaks in the tails of the return distribution. (c) The likelihood of extreme price movements suggested by extreme value theory differs from that obtained by standard risk measures. This suggests that the tail index does indeed provide information not contained in volatility measures. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:387,398, 2004 [source] Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implicationsAPPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, Issue 1 2002Helmut Herwartz Abstract We analyse daily changes of two log foreign exchange (FX) rates involving the Deutsche Mark (DEM) for the period 1975,1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). To account for volatility clustering we fit a GARCH(1,1)-model with leptokurtic innovations. Its parameters are not stable over the sample period and two separate variance regimes are selected for both exchange rate series. The identified points of structural change are close to a change of the monetary policies in the US and Japan, the latter of which is followed by a long period of decreasing asset prices. Having identified subperiods of homogeneous volatility dynamics we concentrate on stylized facts to distinguish these volatility regimes. The bottom level of estimated volatility turns out be considerably higher during the second part of the sample period for both exchange rates. A similar result holds for the average level of volatility and for implied volatility of heavily traded at the money options. Copyright © 2002 John Wiley & Sons, Ltd. [source] NEW ESTIMATES OF AUSTRALIAN PUBLIC BORROWING AND CAPITAL RAISED IN LONDON, 1849,1914AUSTRALIAN ECONOMIC HISTORY REVIEW, Issue 2 2007Article first published online: 7 JUN 200, Bernard Attard Australia; capital market; debt; foreign exchange; statistics Current statistics of Australian public borrowing to 1914 suffer from several limits. On the basis of a comprehensive revision, an upward bias is shown in all the alternative time series of London borrowing, while statistics of local bond issues are derived for the first time. The new time series show the importance of the initial borrowing cycle during the 1850s and 1860s; the scale of debt repatriation from the mid-1890s; the interaction between domestic and overseas borrowing before the 1880s; and the potential significance of remittance as an ,invisible stabiliser' of the exchanges and alternative indirect source of capital imports. [source] Effectiveness of China's Monetary Policy and Reform of Its Foreign Exchange SystemCHINA AND WORLD ECONOMY, Issue 5 2006Xinhua Gu E58; F31; F41 Abstract This paper examines the effectiveness of China's monetary policy in curbing the overheating and speculation problems under the current foreign exchange system. The paper stresses the necessity of capital controls in China's gradual foreign exchange reform and the importance of credible government policy in guiding market expectations. Also, the paper discusses the persistence of China's external imbalance, and provides policy recommendations for its reduction. (Edited by Zhinan Zhang) [source] | ||||||||||||||||||||||||||||