Affine Models of the Joint Dynamics of Exchange Rates and Interest Rates

2003 ◽  
Author(s):  
Bing NMI2 Han ◽  
Peter J. Hammond
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Affine Models ◽  
Joint Dynamics

Affine Models of the Joint Dynamics of Exchange Rates and Interest Rates

2010 ◽  
Vol 45 (5) ◽  
pp. 1341-1365 ◽  
Author(s):  
Bing Anderson ◽  
Peter J. Hammond ◽  
Cyrus A. Ramezani
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Term Structure ◽  
Exchange Rate Volatility ◽  
Factor Models ◽  
Joint Dynamics ◽  
High Volatility ◽  
Market Approach ◽  
Pricing Kernels

AbstractThis paper extends the affine class of term structure models to describe the joint dynamics of exchange rates and interest rates. In particular, the issue of how to reconcile the low volatility of interest rates with the high volatility of exchange rates is addressed. The incomplete market approach of introducing exchange rate volatility that is orthogonal to both interest rates and the pricing kernels is shown to be infeasible in the affine setting. Models in which excess exchange rate volatility is orthogonal to interest rates but not orthogonal to the pricing kernels are proposed and validated via Kalman filter estimation of maximal 5-factor models for 6 country pairs.

Conclusions

2018 ◽  
Author(s):  
Stephany Griffith-Jones ◽  
José Antonio Ocampo ◽  
Paola Arias
Keyword(s):  
Developing Countries ◽  
Renewable Energy ◽  
Exchange Rates ◽  
Interest Rates ◽  
Development Strategy ◽  
National Development ◽  
Financial Inclusion ◽  
Production Sector ◽  
New Instruments ◽  
Innovation And Entrepreneurship

Based on the seven case studies analysed in this volume, this chapter concludes that national development banks (NDBs) have been successful in many cases in supporting innovation and entrepreneurship, key new sectors like renewable energy, and financial inclusion. They have developed new instruments, such as far greater use of guarantees, equity (including venture capital) and debt funds, and new instruments for financial inclusion. The context in which they operate is key to their success. Active countercyclical policies, low inflation, fairly low real interest rates, a well-functioning financial sector, and competitive exchange rates are crucial. They are also more effective if the country has a clear development strategy, linked to production sector strategies that foster innovative sectors. Under these conditions, the chapter argues that there is great need for a larger scale of NDB activity in Latin America and in developing countries in general.

“Interest rates, exchange rates, and aggregate supply”: A comment

1990 ◽  
Vol 12 (3) ◽  
pp. 501-510 ◽  
Author(s):  
Wen-Ya Chang ◽  
Ching-Chong Lai ◽  
Yun-Peng Chu
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Aggregate Supply

scholarly journals An Interpretation of Recent Research on Exchange Rate Target Zones

1992 ◽  
Vol 6 (4) ◽  
pp. 119-144 ◽  
Author(s):  
Lars E. O Svensson
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Exchange Rates ◽  
Interest Rates ◽  
Empirical Research ◽  
Target Zones ◽  
The Difference ◽  
Exchange Rate Target Zones ◽  
Main Ideas ◽  
Central Bank Interventions

How do exchange rate bands work compared to completely fixed rates (between realignments); or, more precisely, what are the dynamics of exchange rates, interest rates, and central bank interventions within exchange rate bands? Does the difference between bands and completely fixed exchange rates matter, and if so, which of the two arrangements is best; or, more precisely, what are the tradeoffs that determine the optimal bandwidth? This article will present an interpretation of some selected recent theoretical and empirical research on exchange rate target zones, with emphasis on main ideas and results and without technical detail.

scholarly journals Pengaruh Tingkat Suku Bunga, Inflasi Dan Nilai Kurs Terhadap Harga Saham Perusahaan Perhotelan Yang Terdaftar Di Bursa Efek Indonesia Per Triwulannya Periode 2016-2018

2021 ◽  
Vol 4 (2) ◽  
pp. 871-877
Author(s):  
Rahmat Dewa Bagas Nugraha ◽  
H.M Nursito
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Quantitative Study ◽  
Stock Prices ◽  
Stock Exchange ◽  
Secondary Data ◽  
Ratio Analysis ◽  
The Interest Rate

This study aims to determine and analyze the factors that affect stock prices through appropriate ratio analysis. As for the ratio of interest rates, inflation and exchange rates. Researchers want to know and analyze the effect partially or simultaneously between interest rates, inflation, and exchange rates on stock prices. This research is a quantitative study using secondary data. The object of this research is hotel companies listed on the Indonesia Stock Exchange for the period 2016-2018. The sample used in this study were 3 hotel with certain characteristics. The results of research simultaneously using the F test show that there is no influence between interest rates, inflation and exchange rates on stock prices because the calculated value is smaller than the table. Partially with the t test it can be concluded that there is no influence between interest rates on stock prices because the tcount value in the interest rate variable is smaller than the t table. Likewise, the t calculation of inflation and the exchange rate is smaller than the t table, so that there is no partial effect of the two variables on stock prices. Keywords: Stock Prices, Interest Rates, Inflation and Exchange Rates

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