scholarly journals Foreign Exchange Expectation Errors and Filtration Enlargements

Stats ◽  
2019 ◽  
Vol 2 (2) ◽  
pp. 212-227
Author(s):  
Pedro Chaim ◽  
Márcio Laurini
Keyword(s):  
Exchange Rate ◽  
Local Martingale ◽  
Future Market ◽  
Forward Rates ◽  
Forecast Bias ◽  
Market Participants ◽  
Martingale Process ◽  
New Information ◽  
Information Set ◽  
Strict Local Martingale

Extrapolations of future market forward rates are a better predictor of the 30-days ahead BRL-USD exchange rate than forecasts from the Central Bank Focus survey of Brazilian market participants. This is puzzling because market participants observe forward rates as they submit predictions, and thus these agents perform biased forecasts even though they have access to a set of unbiased forecasts, consistent with a martingale process for the exchange rate. We argue that this rational conundrum can be explained by a mechanism through which new information enlarges the information set (a filtration), changing the underlying measure and inducing a drift into the martingale process, turning the process into a strict local martingale and generating a forecast bias. Empirical results suggest that Focus survey forecasts indeed display characteristics of a strict local martingale, while spot exchange rates and forward rates are consistent with a martingale process.

International Conference "Ecology. Human. Society"

2017 ◽  
Author(s):  
Daniel Benatov
Keyword(s):  
Educational Process ◽  
Direct Access ◽  
Human Society ◽  
Public Authorities ◽  
State Institutions ◽  
The Public ◽  
Market Participants ◽  
New Information ◽  
Training Courses ◽  
Process Element

Our conference is the first project of Student Science Association, which was restored in our University in 1998. The main peculiarity of the conference is the student organizing committee. The conference was attended by representatives of Russia, Belarus, Sweden, Poland, Bulgaria, Armenia, Azerbaijan, Czech Republic, Lithuania, Latvia, Georgia, Iran, not mentioning hundreds of Ukrainian participants. We’re happy with the fact that our conference allows students to discover new information, which they wouldn’t find in training courses manuals; contrariwise businesses and organizations can get direct access to young and qualified staff. We believe that events like our conference are useful for the young scientists and also for the public authorities and businesses. Conference "Ecology. Human. Society "is a part of feedback between universities and market participants. The conference has overgrown limits of being simple educational process element. Today, it is a serious recruiting resource for state institutions and businesses - an important part of a mutually beneficial dialogue.

scholarly journals Modeling and Forecasting Gold Prices

2020 ◽  
Author(s):  
Richmond Sam-Quarm ◽  
Mohamed Osman Elamin Busharads
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Price Volatility ◽  
Gold Price ◽  
Oil Price ◽  
Future Market ◽  
Open Interest ◽  
Long Run ◽  
Short Run ◽  
Japanese Yen

The aim of this paper is to explore the reasons of gold price volatility. It analyses the information function of the gold future market by open interest contracts as speculation effect, and further fundamental factors including inflation, Chinese yuan per dollar, Japanese yen per dollar, dollar per euro, interest rate, oil price, and stock price, in the short-run. The study proceeds to build a Dynamic OLS model for long-run equilibrium to produce reliable gold price forecasts using the following variables: gold demand, gold supply, inflation, USD/SDR exchange rate, speculation, interest rate, oil price, and stock prices. Findings prove that in the short-run, changes in gold price does granger cause changes in open interest, and changes in Japanese yen per dollar does granger cause changes in gold price. However, in the long-run, the results prove that gold demand, gold supply, USD/SDR exchange rate, inflation, speculation, interest rate, and oil price are associated in a long-run relationship.References

scholarly journals Macroeconomic News, Order Flows, and Exchange Rates

2008 ◽  
Vol 43 (2) ◽  
pp. 467-488 ◽  
Author(s):  
Ryan Love ◽  
Richard Payne
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Public Information ◽  
Relevant Information ◽  
Order Flow ◽  
Macroeconomic News ◽  
Market Participants ◽  
Macroeconomic Announcements ◽  
Information Assimilation ◽  
Micro Level

AbstractIn textbook models of exchange rate determination, the news contained in public information announcements is directly impounded into prices with there being no role for trading in this process of information assimilation. This paper directly tests this theoretical result using transaction level exchange rate return and trading data and a sample of scheduled macroeconomic announcements. The main result of the paper is that even information that is publicly and simultaneously released to all market participants is partially impounded into prices via the key micro level price determinant—order flow. We quantify the role that order flow plays and find that approximately one third of price-relevant information is incorporated via the trading process.

Single currency, multiple budgets?

1998 ◽  
Vol 4 (1) ◽  
pp. 11-20
Author(s):  
Jacques Le Cacheux
Keyword(s):  
Exchange Rate ◽  
Fiscal Federalism ◽  
Fiscal Policies ◽  
The European Union ◽  
Single Currency ◽  
Market Participants ◽  
Monetary Unification ◽  
Initial Stage ◽  
One Step ◽  
National Governments

The painful process of convergence of national macroeconomic performances in order to comply with the Maastricht treaty criteria is coming to an end and the creation in time of the European single currency, probably with eleven members in the initial stage, is now taken for granted by most analysts and financial market participants. It is thus high time to think about how best to organise economic policy-making within the new euro zone. Although monetary unification will bring benefits for European consumers, there will also be costs, in particular due to increased competition within the single European monetary area. The combination of a single central bank and tax and fiscal competences retained, for the most part, by national governments necessitates an explicit coordination of fiscal policies for at least three reasons: macroeconomic stabilisation in Europe, especially in cases of asymmetric shocks; the "policy mix", i.e. the combination of monetary and fiscal policies at the European, aggregate level, and its influence on the external exchange rate of the euro; and the potential dangers of tax competition and "social dumping" , as national governments, deprived of their power over the exchange rate, may be tempted to gain a competitive advantage by other means. In the wake of monetary unification, the European Union will thus have to invent its own brand of "economic and fiscal federalism" , the recent creation of a "Council of the euro" being but one step in this direction.

scholarly journals Uniform convergence of conditional distributions for absorbed one-dimensional diffusions

2018 ◽  
Vol 50 (01) ◽  
pp. 178-203 ◽  
Author(s):  
Nicolas Champagnat ◽  
Denis Villemonais
Keyword(s):  
Sufficient Conditions ◽  
Initial Distribution ◽  
Initial Position ◽  
Local Martingale ◽  
One Dimensional ◽  
Positive Time ◽  
Strict Local Martingale ◽  
Necessary And Sufficient ◽  
Stationary Behavior ◽  
Uniformly Bounded

Abstract In this paper we study the quasi-stationary behavior of absorbed one-dimensional diffusions. We obtain necessary and sufficient conditions for the exponential convergence to a unique quasi-stationary distribution in total variation, uniformly with respect to the initial distribution. An important tool is provided by one-dimensional strict local martingale diffusions coming down from infinity. We prove, under mild assumptions, that their expectation at any positive time is uniformly bounded with respect to the initial position. We provide several examples and extensions, including the sticky Brownian motion and some one-dimensional processes with jumps.

Modeling Global Wine Markets to 2018: Exchange Rates, Taste Changes, and China's Import Growth

2013 ◽  
Vol 8 (2) ◽  
pp. 131-158 ◽  
Author(s):  
Kym Anderson ◽  
Glyn Wittwer
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Import Demand ◽  
The Other ◽  
Market Participants ◽  
Taste Changes ◽  
Major Development ◽  
Jel Classifications ◽  
Wine Markets

AbstractIn this paper, we use a revised, expanded, and updated version of a global model first developed by Wittwer et al. (2003) to project the wine markets of its 44 countries plus seven residual country groups to 2018. Because real exchange rate (RER) changes have played a key role in the fortunes of wine market participants in some countries in recent years, we use the model to analyze their impact, first retrospectively during 2007–11 and then prospectively during the period to 2018 under two alternative sets of RERs: no change, and a halfway return to 2009 rates. In both scenarios, we assume a return to the gradual trend toward premium wines and away from nonpremium wines. The other major development expected to affect the world's wine trade is growth in China's import demand. Alternative simulations provide a range of possibilities, but even the low-growth scenario suggests that China's place in global wine markets is likely to become increasingly prominent. (JEL Classifications: C53, F11, F17, Q13).

scholarly journals Möglichkeiten und Grenzen der Analyse von Holzmärkten

2012 ◽  
Vol 163 (10) ◽  
pp. 396-400 ◽  
Author(s):  
Roland Olschewski ◽  
Oliver Thees
Keyword(s):  
State Of The Art ◽  
Agent Based Modeling ◽  
Behavioural Economics ◽  
Future Market ◽  
Individual Behaviour ◽  
Agent Based ◽  
Market Participants ◽  
Real Market ◽  
The Individual ◽  
Forest Economic

Chances and limits of the analysis of wood markets Recent approaches of behavioural economics and agent-based modeling can enhance knowledge about market processes and results and widen the focus for the assessment of future market developments by emphasising the individual behaviour of market participants and scenario techniques. In this article we resume possible contributions of the particular approaches to better describe, explain and forecast real market developments. The exposition is based on state-of-the-art knowledge and reflects insights gained during the 8th Forest Economic Seminar in autumn 2011, where researchers and practitioners presented their findings.

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