منابع مشابه
Market Microstructure and the Profitability of Currency Trading
Currency trading is a vast and highly profitable business. This review examines the profitability of two popular currency trading strategies in light of currency-market microstructure research. The carry-trade strategy involves borrowing a low-interest currency and investing the proceeds in a high-interest currency. Technical trading strategies are determined exclusively on the basis of past as...
متن کاملFeedback analysis of speculation in a foreign currency market
This paper investigates the impact of speculative trading on foreign currency markets. A review of economic literature reveals that there is still no agreement to whether speculators amplify or tame fluctuations of exchange rates. Relevant system dynamics literature suggests that trading by speculators contributes to the formation of price bubbles. However, very few system dynamics papers exist...
متن کاملCurrency Speculation in a Game-theoretic Model of International Reserves
This paper is concerned with the ability of speculation to generate a currency crisis. We consider a game-theoretic setting between a unit mass of speculators and a government that holds foreign currency reserves. We analyze conditions under which the speculators may be able to force the government to devaluate the currency. Among these conditions, we analyze the role of heterogeneous beliefs, ...
متن کاملHedging , speculation , and investment in balance - sheet triggered currency crises
This paper explores the linkage between corporate risk management strategies, investment, and economic stability in an open economy with a flexible exchange rate regime. Firms use currency futures contracts to manage their exchange rate exposure – caused by balance sheet effects as in Krugman (2000) – and therefore their investments’ sensitivity to currency risk. We find that, depending on whet...
متن کاملThe Business Cycles of Currency Speculation: a Revision of the Mundellian Framework
In his seminal 1960 study on the dynamics of alternative exchange rate regimes, Robert Mundell proposed a theory of balance-of-payments crises in which speculators base their actions on the observed holdings of central bank foreign reserves. We examine the quantitative implications of this view from the perspective of an equilibrium business cycle model in which rational expectations of a deval...
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ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 1987
ISSN: 0169-2070
DOI: 10.1016/0169-2070(87)90082-3