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Three essays on international finance.

Smith, Evan.

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Three essays on international finance.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Three essays on international finance./
作者:	Smith, Evan.
面頁冊數:	95 p.
附註:	Source: Dissertation Abstracts International, Volume: 77-03(E), Section: A.
Contained By:	Dissertation Abstracts International77-03A(E).
標題:	Economic theory. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3729998
ISBN:	9781339160542

Three essays on international finance.
Smith, Evan.

Three essays on international finance. - 95 p.

Source: Dissertation Abstracts International, Volume: 77-03(E), Section: A.

Thesis (Ph.D.)--University of California, Santa Cruz, 2015.

Chapter 1 of this dissertation uses a more flexible modeling methodology in order to test for time varying coefficients in the classic uncovered interest parity regression. By allowing the coefficients to vary over time, but also sharing information across currencies in a random effects type setup, we get clearer picture of the evolution of UIP in financial markets. We find that the once standard failure of the equilibrium condition is no longer as pronounced.

ISBN: 9781339160542Subjects--Topical Terms:

1556984
Economic theory.

Three essays on international finance.
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300 $a 95 p.
500 $a Source: Dissertation Abstracts International, Volume: 77-03(E), Section: A.
500 $a Advisers: Michael Dooley; David Draper.
502 $a Thesis (Ph.D.)--University of California, Santa Cruz, 2015.
520 $a Chapter 1 of this dissertation uses a more flexible modeling methodology in order to test for time varying coefficients in the classic uncovered interest parity regression. By allowing the coefficients to vary over time, but also sharing information across currencies in a random effects type setup, we get clearer picture of the evolution of UIP in financial markets. We find that the once standard failure of the equilibrium condition is no longer as pronounced.
520 $a Chapter 2 extends the work done in chapter 1 by forming currency portfolios that exploit the failure of UIP in order to be profitable. We show through the use of dynamic linear models as well as a non parametric random portfolios methodology that excess returns on these strategies are no longer quite so pervasive, adding evidence to the claim that UIP holds better now than in the past.
520 $a Chapter 3 switches gears and revisits a classic paper on long swings in the exchange rate. By testing the model on more currencies over a longer time period, and gauging predictive accuracy based on the signals it gives for portfolio formation, we find that the model does not give adequate predictive performance. We conclude that when trends are defined by a markov switching Gaussian model, it is highly unlikely that exchange rates still exihbit long swings.
590 $a School code: 0036.
650 4 $a Economic theory. $3 1556984
650 4 $a Finance. $3 542899
650 4 $a International relations. $3 531762
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690 $a 0601
710 2 $a University of California, Santa Cruz. $b Economics. $3 2100280
773 0 $t Dissertation Abstracts International $g 77-03A(E).
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791 $a Ph.D.
792 $a 2015
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3729998