Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 17 of 17 for “"Currency markets"”.
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Essays in Currency Markets
… chapters, all with the aim to better understand currency behavior. The first chapter brings well-known, profitable currency trading signals to bear on the Meese-Rogoff puzzle (Meese and Rogoff (1983)), a robust finding regarding the difficulty of outperforming the random walk in forecasting …
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Design of currency, markets, and economy for knowledge
Information markets benefit the communities they serve by facilitating electronic distributed exchange of information. Further benefits include enhancing knowledge sharing, innovation, and productivity. This research explores innovative market mechanisms to build longterm sustainable incentives …
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The Impact of the Carry Trade on Global Currency Markets
This work analyses the effect of the carry trade factor, statistically derived from a comprehensive basket of currencies, on currencies in various heuristically defined global risk appetite regimes. Findings of a heightened (lessened) impact of this factor for Emerging/Commodity …
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The predictability of exchange rates using oil price changes : a thesis presented in partial fulfilment of the requirements for the degree of Master of Management in Finance at Massey University
… changes in oil prices predict several major currency exchange rate returns. In the twenty-three year sample of daily data for currency markets, a statistically significant predictability is found for the Australian Dollar, the Canadian Dollar, the British Pound, the Norwegian Krone and the …
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Essays on international finance
… and momentum returns in the interwar period currency markets. We find that these active currency trading strategies earn an annualized average excess return of about 7%, consistent with estimates from modern samples. On the grounds that the interwar period represents rare events better than …
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Essays in International Macroeconomics
… joint with Victor Orestes, documents how currency markets and trade flows respond to tariffs imposed by and on the US as related to other countries' macrofinancial position. We show that countries which maintain higher interest rates than the US depreciate much more strongly -- to the …
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Essays on foreign currency risk management
… on-balance-sheet and off-balance-sheet foreign currency risk management of corporate firms and commercial banks. It is comprised of two essays. The first essay investigates what determines firms’ foreign currency spot net asset positions, derivatives hedging and synthetic hedging positions. We …
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The Japanese Financial Diplomacy in the Globalising International Financial Regime
… on China to increase flexibility of the Chinese currency. In the globalising financial regime, China has been increasingly placing their currency policy in the context of how they could make the most use of their influence when they liberalise their currency markets. The China’s approach to the …
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Essays in international corporate finance
… link between corporate exposure to international markets, liquidity management and hedging through debt in foreign currency. Chapter 1: Currency Exposure and Liquidity Management. Exchange rate movements present many risks for globalized companies, such as unexpected liquidity shortfalls that …
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Limiting exchange rate swings under a managed floating regime: Evidence from a panel of 24 currencies
… regularly intervene in foreign exchange markets with the aim of limiting swings in exchange rates. A survey of exchange rate models reveals, however, that the literature lacks a model that provides an explanation for exchange rate swings and at the same time offers a role for official …
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Essays on Factor Models
… pricing performance in both equity and currency markets. The second chapter identifies the origins of covariance in institutional trading. Conceptually, we introduce two perspectives: the asset perspective, which prioritizes assets as the key market fundamentals, and the manager …
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Three essays in financial economics
… asset pricing projects, in the equity and currency markets. In the first project, I examine whether aggregate cost stickiness predicts future macro-level unemployment rate. I find that a one-standard-deviation-higher cost stickiness in recent quarters is followed by a 0.23 to …
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The Dynamics of Currency Crashes and Fundamental Reversions
… In addition to demonstrating this in outright currency markets I provide evidence suggesting that this is also the case in options markets. A relationship between real exchange rates and the VIX volatility over long periods is also demonstrated. The distribution of returns depends on state …
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Essays on International Finance and Currency Economics
… address questions in international finance and currency economics. Chapter 1 studies the persistence of covered interest rate parity (CIP) deviations. Since global financial crisis (GFC), the CIP deviations have implied a persistent dollar financing premium for banks versus other major …
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Essays on the behaviour of political and financial markets
… relationships between financial and prediction markets around elections. We begin by reviewing the literature. There are many small studies of individual elections and events, particularly of the 2016 UK European Union referendum. However, no studies that consider multiple events, nor present …
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Essays in Financial Economics
… successfully explain these features of financial markets. I present robust empirical evidence which supports the main economic channels in the model. Finally, I develop econometric methods to estimate and test the model, and find that it delivers plausible preference and model parameters and …
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PPP, UIP and Fisher parity: speculation or rational expectations? Evidence for four Latin American countries
… presence of speculative behavior in financial markets helps explain the long swings often observed in the behavior of exchange rates. The results support the view that the predictions of the IKE model hold for Colombia, while those of the REH hold for both Brazil and Mexico. Mixed findings are …