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 ...

Abstract This paper empirically examines the likelihood of any long-run relationship between real exchange rate and real interest rate (RERI) differentials in China using vector autoregressive model (VAR) and hybrid cointegration methodology. The preliminary results based on some limited monthly data are indicative of a rather weak long run relationship. However, the empirical investigation als...

This paper estimates the foreign exchange rate exposure of 6,917 U.S. nonfinancial firms on the basis of stock prices and corporate cash flows. The results show that several firms are significantly exposed to at least one of the foreign exchange rates Canadian Dollar, Japanese Yen and Euro, and significant exposures are more frequent at longer horizons. The percentage of firms for which stock p...

This paper compares the effects of exchange rate movements on the risk/return characteristics of direct investment property assets for non-domestic investors with particular emphasis on economic and translation risk. The correspondence between four property markets (US, UK, Canada, and Australia) and the appropriate exchange rates are examined in order to analyse the pattern and temporal stabil...

The main objective of this paper is to propose an alternative valuation framework for pricing foreign currency and cross-currency options, which is capable of accommodating existing empirical regularities. The paper generalizes the GARCH option pricing methodology of Duan (1995) to a two-country setting. Specifically, we assume a bivariate nonlinear GARCH system for the exchange rate and the fo...

We consider two types of rms both operating in two countries. The demand side of the markets of the two countries are separated and each type of rm produces its good in one of these countries. We study the e ect of an exchange rate change on the competitive equilibrium prices in each country. When producing for the foreign market causes the same costs as producing for the home market then the `...

This note uses a nonlinear structural vector autoregression model to empirically investigate the effectiveness of official foreign exchange (FX) interventions in an economy when interest rates are constrained to the zero level, based on Japanese data in the 1990s. The model allows us to estimate the effects of FX interventions operating through different channels. We find that FX interventions ...

This paper addresses the question of how exchange rates affect consumer demand in markets where advertising plays an important role. We identify an effect that has not been emphasized in the existing literature: when foreign exchange rates appreciate, a foreign product becomes more expensive to domestic consumers, but at the same time, advertising becomes cheaper for the foreign advertiser. Thu...