This paper shows that even adjusted for the time-varying risk premiums implied by the yield curves across countries, uncovered interest parity is still strongly rejected by the data. Moreover, factors that predict the excess bond returns are found not significant at all in predicting the foreign exchange returns. These results reject the joint restrictions on the exchange rate and interest rate...

There has been considerable growth in the derivatives holdings of Taiwanese insurance companies in recent years and this study examines the determinants of derivative use for both life and non-life companies. The determinants are different in the two insurance sectors. For the life sector, we find that large firms and firms exposed to either foreign exchange risk or interest rate risk (due to t...

Iran is one of the oil exporting countries, so the oil price plays a remarkable role in the government budget and is a major source of foreign exchange. On the other hand, the reliance of the government budget to oil income as well as its fluctuations is a fact referred to as the most important cause of inflation by many researchers. This paper explores the effect of shocks in the exchange rate...

â â â â â â â â â â â  the recent global crisis, as a big crash ( baldwin and simon , 2009), has reduced foreign demand growth affecting total countries’ exports. given the importance of foreign trade to nations and the reality that recent crisis has affected international trade we study the effects of the global financial crisis on trade relations between countries by using ma and cheng (200...

Using a State-space model, this paper investigates the contribution of both observed and unobserved fundamentals to nominal exchange rate movement in Iran for the period 1991:2-2011:4. To this end, we follow Engel and West (2005) and Balke et al. (2013) and use an asset-pricing approach to develop a rational expectations present value exchange rate model. In order to examine the role of fun...

The aim of this annual workshop is to offer a forum for young researchers from the field of International Economics to present and to discuss their current topics of research with other experts. The workshop also provides the opportunity to gain an overview of recent developments, problems and methodological approaches in this field. The aim of this paper is to investigate the market efficiency...

In this paper, based on error correction model by using panel data, an empirical analysis of demand for international reserves for 16 Islamic countries is investigated. Besides addressing conventional issues, the model explicitly incorporates the impact of expected export revenues and the impact of the exchange rate system on reserve demand. The results reveal that, short run money market diseq...

Abstract-Foreign exchange market is the largest and the most important one in the world. Foreign exchange transaction is the simultaneous selling of one currency and buying of another currency. It is essential for currency trading in the international market. In this paper, we have investigated Artificial Neural Networks based prediction modelling of foreign exchange rates using five different ...