Explaining Foreign Exchange Market Puzzles

Released on by Mr.Norman C. Miller
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  • Explaining Foreign Exchange Market Puzzles Book Detail

  • Author : Mr.Norman C. Miller
  • Release Date : 1999-03-01
  • Publisher : International Monetary Fund
  • Genre : Business & Economics
  • Pages : 30
  • ISBN 13 : 1451844506
  • File Size : 21,21 MB
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Explaining Foreign Exchange Market Puzzles by Mr.Norman C. Miller PDF Summary

Book Description: The paper develops a flow model of the exchange rate with speculative capital flows integrated in a rigorous manner. The model is consistent with five foreign exchange market puzzles: (1) occasional discontinuous jumps in the exchange rate; (2) periodic short-term regimes of persistent appreciation/depreciation that can develop into a long swing; (3) the forward discount bias; (4) volatility clusters in the foreign exchange market that create conditional heteroskedasticity; and (5) the dual profitability of betting in the short run against any official foreign exchange intervention, and betting with the intervention in the long run.

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