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Finance and Financial Management Commons™
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- Exchange rate (2)
- extreme sampling. (1)
- Australian banks (1)
- Book values (1)
- Capital Flows and Financial Integration (1)
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- Capital management (1)
- Conditional covariance; risk aversion (1)
- Current account (1)
- Earnings (1)
- Earnings management (1)
- Equity values (1)
- Exchange rates (1)
- Expectation hypothesis (1)
- Forecasting (1)
- Institutions (1)
- International capital asset pricing (1)
- Istanbul Stock Exchange (1)
- Meese and Rogoff (1)
- Microstructure (1)
- Order flow (1)
- Peso problem (1)
- Real exchange rate (1)
- Regime changes (1)
- Signalling (1)
- Small sample problem (1)
- Sticky price setting (1)
- Turkish firms (1)
- Uncovered interest-rate parity (1)
- Publication
Articles 1 - 10 of 10
Full-Text Articles in Finance and Financial Management
Accounting For Us Regional Real Exchange Rates, Lein Lein Chen, Seungmook Choi, John Devereux
Accounting For Us Regional Real Exchange Rates, Lein Lein Chen, Seungmook Choi, John Devereux
CRIF Seminar series
We examine the relationship between the relative price of nontradables and real exchange rate movements for fixed exchange rate regimes. We have two findings. First we show that purchasing power parity holds strongly for tradables across US regions. As a result, nontradables play a central role in regional real exchange rate movements. Using BLS regional data, we find that changes in the relative price of nontradables explain up to eighty percent of regional real exchange changes over medium and long run horizons. Second, we show that nontradables can account for a large portion of real exchange rates changes internationally with …
Real Exchange Rate And Current Account Dynamics With Sticky Prices And Distortionary Taxes, Guay C. Lim, Paul D. Mcnelis
Real Exchange Rate And Current Account Dynamics With Sticky Prices And Distortionary Taxes, Guay C. Lim, Paul D. Mcnelis
CRIF Seminar series
This paper examines the interaction of real exchange rates and currenct account movmements in open economices subject to monopolistic competition with sticky price-setting behavior and distoriontary taxes. We find that the correlations between fiscal balances and the current account depend on the elasticity of net exports with respect to the real exchange rate. Under highly elastic export demand, the welfare e¤ects may be greater or lower than under export demand with a low elasticity.
The Use Of Loan Loss Provisions For Earnings, Capital Management And Signalling By Australian Banks, Asokan Anandarajan, Iftekhar Hasan, Cornelia Mccarthy
The Use Of Loan Loss Provisions For Earnings, Capital Management And Signalling By Australian Banks, Asokan Anandarajan, Iftekhar Hasan, Cornelia Mccarthy
CRIF Working Paper series
This research is motivated by the fact that there is a paucity of research on the earnings management practices of banks in Australia. Research on the practices of North American, European and Asian banks provided conflicting evidence. In this study, we examine whether Australian banks engage in earnings, capital management and signalling, and, if so, the extent to which loan loss provisions (LLPs) are used for this purpose. Our results indicate that banks in Australia use loan loss provisions to manage earnings. Further, listed commercial banks engage more aggressively in earnings management using LLPs than other banks. We also find …
Uncovered Interest-Rate Parity Over The Past Two Centuries, James R. Lothian, Liuren Wu
Uncovered Interest-Rate Parity Over The Past Two Centuries, James R. Lothian, Liuren Wu
CRIF Working Paper series
We study the validity of uncovered interest-rate parity (UIP) by constructing ultra long time series that span two centuries. The forward-premium regressions yield positive slope estimates over the whole sample period and become negative only when the sample is dominated by the period of 1980s. We also find that large interest-rate differentials have significantly stronger forecasting powers for currency movements than small interest-rate differentials. Furthermore, when we regress domestic currency returns on foreign bonds against returns on domestic bonds as an alternative test for UIP, the null hypotheses of zero intercept and unit slope cannot be rejected in most cases. …
Institutions, Capital Flows And Financial Integration, James R. Lothian
Institutions, Capital Flows And Financial Integration, James R. Lothian
CRIF Working Paper series
The central focus of this paper is on capital flows from developed to less developed countries and in particular on the question of why such flows are not much larger. I first outline the theoretical arguments with regard to such flows and then go on to review the historical evidence on international financial integration more generally. I then turn to the related literature on economic development, which over the past decade has shifted its emphasis from technology and capital accumulation per se to the underlying institutional factors that affect investment. I present evidence that such factors also affect to rich-to-poor …
Institutions, Capital Flows And Financial Integration, James R. Lothian
Institutions, Capital Flows And Financial Integration, James R. Lothian
CRIF Seminar series
The central focus of this paper is on capital flows from developed to less developed countries and in particular on the question of why such flows are not much larger. I first outline the theoretical arguments with regard to such flows and then go on to review the historical evidence on international financial integration more generally. I then turn to the related literature on economic development, which over the past decade has shifted its emphasis from technology and capital accumulation per se to the underlying institutional factors that affect investment. I present evidence that such factors also affect to rich-to-poor …
The Role Of Exchange Rates In The Intertemporal Risk-Return Relation In International Economies, Turan G. Bali, Liuren Wu
The Role Of Exchange Rates In The Intertemporal Risk-Return Relation In International Economies, Turan G. Bali, Liuren Wu
CRIF Seminar series
This paper investigates the role of currency denomination in the the intertemporal risk-return relation among G7 countries. Similar to the findings of previous studies, our estimation also shows that the financial markets of the G7 countries are integrated. We obtain significant pricing coefficient estimates on the global index, but insignificant estimates on country-specific risks. Different from the literature, however, we find that the intertemporal risk-return relation differ significantly under different currency denominations. The slope coefficient estimate is the largest at around seven when the returns are denominated in Japanese yen, smallest at around three to four when the returns are …
The Role Of Earnings And Book Values In Pricing Stocks: Evidence From Turkey, Asokan Anandarajan, Iftekhar Hasan, Ihsan Isik, Cornelia Mccarthy
The Role Of Earnings And Book Values In Pricing Stocks: Evidence From Turkey, Asokan Anandarajan, Iftekhar Hasan, Ihsan Isik, Cornelia Mccarthy
CRIF Working Paper series
In this study, we examine factors associated with equity valuation in a newly emerging market, Turkey. In the United States and other developed countries, research indicates that both earnings and book value are important predictors of equity valuation. In Turkey, earnings appears to have information content but earnings, by itself, appears to be declining in importance over time. Book value adjusted for inflation has a stronger association with equity values. In the inflationary and risky environment of Turkey, where future value of earnings is quite uncertain, investors may be paying less attention to earnings and more attention to book values. …
On The Observational Equivalence Of Devaluation And Monetary Policy, Russell S. Boyer
On The Observational Equivalence Of Devaluation And Monetary Policy, Russell S. Boyer
CRIF Seminar series
Devaluation has been viewed as being quite different from monetary policy (Caves, Cooper, Ethier, Frankel, Frenkel, Harberger, Johnson, Jones, Kenen, McCallum, Mussa, Salvatore, Tsiang) or even just the opposite of it in terms of its effects on real variables (Berglas, Dornbusch, Mundell). This paper yields to the temptation that Allen and Kenen set out: to follow one’s intuition and come to the clear conclusion that these two policy initiatives are very similar. It does this by specifying the conditions under which the two are identical in the small-country setting with a general degree of management of the exchange rate. The …
Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting, Martin D. Evans, Richard K. Lyons
Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting, Martin D. Evans, Richard K. Lyons
CRIF Seminar series
This paper compares the true, ex-ante forecasting performance of a micro-based model against both a standard macro model and a random walk. In contrast to existing literature, which is focused on longer horizon forecasting, we examine forecasting over horizons from one day to one month (the one-month horizon being where micro and macro analysis begin to overlap). Over our 3-year forecasting sample, we find that the micro-based model consistently out-performs both the random walk and the macro model. Micro-based forecasts account for almost 16 per cent of the sample variance in monthly spot rate changes. These results provide a level …