Equilibrium exchange rate theories (FEER, BEER and NATREX) make the assumption that the Real Equilibrium Exchange Rate (RER) is independent from internal equilibrium and economic policies. We develop a model in which economic policies depend on the minimisation of an intertemporal loss function...

In March 2021, the default of Archegos, a US family office, led to large losses for some global banks. Archegos was able to accumulate large exposures to and leverage on equities by entering into derivatives transactions with bank counterparties. When the price of the underlying stocks started...

The article aims at overcoming the internal contradictions of market efficiency as defined by Fama (1965) by providing three definitions of market efficiency: fundamental efficiency, macroeconomic efficiency and speculative efficiency. Applied to the foreign exchange market, these definitions...

Equilibrium exchange rate theories make the assumption that the Real Equilibrium Exchange Rate (RER) is independent from internal equilibrium and economic policies. We develop a model in which economic policies depend on the minimisation of an intertemporal loss function, and we show that in a...