상대적 Nelson-Siegel 요인을 이용한 환율 및 자본이동 예측 Prediction of Exchange Rates and Capital Flows via the Relative Nelson-Siegel Factors

2020 ◽  
Author(s):  
Jaeho Yun
Keyword(s):  
Exchange Rates ◽  
Capital Flows

scholarly journals International Liquidity and Exchange Rate Dynamics *

2015 ◽  
Vol 130 (3) ◽  
pp. 1369-1420 ◽  
Author(s):  
Xavier Gabaix ◽  
Matteo Maggiori
Keyword(s):  
Exchange Rate ◽  
Financial Markets ◽  
Exchange Rates ◽  
Capital Flows ◽  
Risk Sharing ◽  
Market Model ◽  
International Liquidity ◽  
Balance Sheets ◽  
Macroeconomic Analysis ◽  
International Pricing

Abstract We provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets. Capital flows drive exchange rates by altering the balance sheets of financiers that bear the risks resulting from international imbalances in the demand for financial assets. Such alterations to their balance sheets cause financiers to change their required compensation for holding currency risk, thus affecting both the level and volatility of exchange rates. Our theory of exchange rate determination in imperfect financial markets not only helps rationalize the empirical disconnect between exchange rates and traditional macroeconomic fundamentals, it also has real consequences for output and risk sharing. Exchange rates are sensitive to imbalances in financial markets and seldom perform the shock absorption role that is central to traditional theoretical macroeconomic analysis. Our framework is flexible; it accommodates a number of important modeling features within an imperfect financial market model, such as nontradables, production, money, sticky prices or wages, various forms of international pricing-to-market, and unemployment.

scholarly journals Capital flows, investment, and exchange rates

1987 ◽  
Vol 19 (2) ◽  
pp. 171-201 ◽  
Author(s):  
Alan C. Stockman ◽  
Lars E.O. Svensson
Keyword(s):  
Exchange Rates ◽  
Capital Flows

scholarly journals EQUILIBRIUM REAL EXCHANGE RATES AND CAPITAL FLOWS IN TUNISIA

2019 ◽  
Vol 9 (6) ◽  
pp. 232-240
Author(s):  
Hadhek Zouhaier ◽  
Sakli Hniya ◽  
Mosbah Lafi
Keyword(s):  
Exchange Rates ◽  
Capital Flows ◽  
Real Exchange Rates
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