Showing 1 - 10 of 165
and the macro factors satisfies the no-arbitrage assumption, and is a suitably restricted version of multivariate GARCH …
Persistent link: https://www.econbiz.de/10005661706
In this paper, we investigate the importance of different loss functions when estimating and evaluating option pricing models. Our analysis shows that it is important to take into account parameter uncertainty, since this leads to uncertainty in the predicted option price. We illustrate the...
Persistent link: https://www.econbiz.de/10005791774
case of the GARCH(1,1)-Student-t model the average VaR may be adjusted for parameter uncertainty to arrive at levels which …
Persistent link: https://www.econbiz.de/10005123557
This paper studies monetary policy games in a two-period Mundell-Fleming model, under a regime of managed exchange rates. A regime of managed exchange rates is defined as one where exchange rates are pegged but bilateral parities can be changed from time to time. The paper argues that such a...
Persistent link: https://www.econbiz.de/10005504262
Using annual data drawn from 1963-1983 we estimate an econometric model of the balance of payments of oil-importing LDCs. The model consists of equations for the quantities of exports and imports, unit value indices for exports and imports, capital flows, reserves and the exchange rate. An...
Persistent link: https://www.econbiz.de/10005504374
This paper addresses the question of whether the European Monetary System can be copied outside Europe. Our answer is negative. The presence of the EC and the dependence of EC institutions on exchange rate stability lend credibility to EMS exchange rate targets in a way that would not be...
Persistent link: https://www.econbiz.de/10005504409
The paper extends the recent literature on the collapse of managed exchange-rate regimes by allowing explicitly for the government budget constraint and the interest cost of servicing the public debt. The policy experiment analysed in this paper is the decision by a government to replenish its...
Persistent link: https://www.econbiz.de/10005504463
The paper investigates four challenges to exchange rate stability in the coming years and explores their implications for macroeconomic and exchange rate policy. The first section explores the importance of seigniorage in financing the government budget in Southern European countries. The second...
Persistent link: https://www.econbiz.de/10005504541
The international monetary system has passed through a succession of phases characterized alternatively by the dominance of fixed and flexible exchange rates. How are these repeated shifts between fixed and flexible rate regimes to be understood? The present paper specifies and tests six...
Persistent link: https://www.econbiz.de/10005504589
This paper is a selective survey of new or recent methods to extract information about market expectations from asset prices for monetary policy purposes. Traditionally, interest rates and forward exchange rates have been used to extract expected means of future interest rates, exchange rates...
Persistent link: https://www.econbiz.de/10005504605