Released on 2001-12-06Categories Business & Economics

Noise Trading, Central Bank Interventions, and the Informational Content of Foreign Currency Options

Noise Trading, Central Bank Interventions, and the Informational Content of Foreign Currency Options

Author: Christian Pierdzioch

Publisher: Springer Science & Business Media

ISBN: 3540427457

Category: Business & Economics

Page: 232

View: 854

A flexible instrument to insure against adverse exchange rate movements are options on foreign currency. Often a relatively simple foreign currency option valuation model is used to address issues related to the pricing and hedging of such options. The results of many empirical studies document that real-world foreign currency option premia deviate from those predicted by the baseline model. In the first part of the book, it is shown that a noise trader model can help to explain the observed mispricing of the baseline foreign currency option pricing model. In the second part of the book, it is studied how policymakers can exploit the pricing errors of the baseline model. In particular, it is examined how option pricing theory can be applied to assess the effectiveness of central bank interventions in the foreign exchange market. To this end, a model is constructed to analyze the effectiveness of the interventions conducted by the Deutsche Bundesbank during the Louvre period.
Released on 2003-06-24Categories Business & Economics

Global Governance: An Architecture for the World Economy

Global Governance: An Architecture for the World Economy

Author: Horst Siebert

Publisher: Springer Science & Business Media

ISBN: 9783540004394

Category: Business & Economics

Page: 296

View: 876

Globalization deeply affects economic structures and raises the issue of how governments should respond to new challenges. In this book, various ways of improving the institutional setup for global governance are discussed by renowned experts. The discussion focuses on further liberalizing international trade, preventing international financial crises, and protecting global environmental systems. The advantages of free international trade as well as the fears of those who are against globalization are considered in the contributions.
Released on 2002-10-16Categories Business & Economics

Schooling and the Quality of Human Capital

Schooling and the Quality of Human Capital

Author: Ludger Wößmann

Publisher: Springer

ISBN: STANFORD:36105026176847

Category: Business & Economics

Page: 256

View: 616

This book presents a thorough economic analysis of both the determinants and the consequences of international differences in schooling quality. It is shown that cross-country differences in quality-adjusted human capital can account for a substantial part of the international variation in economic development. However, large increases in per-student spending over recent decades were not matched by increases in student achievement in most countries. In a simple principal-agent model, the book stresses the importance of institutional features of the schooling system such as central examinations, school autonomy, and private-sector competition. Microeconometric estimations based on data for more than a quarter of a million students reveal that international differences in these institutions, rather than differences in resources, can explain the large international differences in schooling quality.
Released on 2009-05-15Categories Business & Economics

The Microstructure of Foreign Exchange Markets

The Microstructure of Foreign Exchange Markets

Author: Jeffrey A. Frankel

Publisher: University of Chicago Press

ISBN: 9780226260235

Category: Business & Economics

Page: 356

View: 673

The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.