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Affine modeling of the joint dynamic...

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Affine modeling of the joint dynamics of exchange rates and interest rates.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Affine modeling of the joint dynamics of exchange rates and interest rates./
Author:	Han, Bing.
Description:	90 p.
Notes:	Adviser: Peter Hammond.
Contained By:	Dissertation Abstracts International63-04A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3048537
ISBN:	0493628681

Affine modeling of the joint dynamics of exchange rates and interest rates.
Han, Bing.

Affine modeling of the joint dynamics of exchange rates and interest rates. - 90 p.

Adviser: Peter Hammond.

Thesis (Ph.D.)--Stanford University, 2002.

This work addresses both theoretical and empirical issues on affine modeling of the joint dynamics of exchange rates and interest rates.

ISBN: 0493628681Subjects--Topical Terms:

626650
Economics, Finance.

Affine modeling of the joint dynamics of exchange rates and interest rates.
LDR:02649nam 2200301 a 45 001 932856
005 20110505
008 110505s2002 eng d
020 $a 0493628681
035 $a (UnM)AAI3048537
035 $a AAI3048537
040 $a UnM $c UnM
100 1 $a Han, Bing. $3 1023822
245 1 0 $a Affine modeling of the joint dynamics of exchange rates and interest rates.
300 $a 90 p.
500 $a Adviser: Peter Hammond.
500 $a Source: Dissertation Abstracts International, Volume: 63-04, Section: A, page: 1472.
502 $a Thesis (Ph.D.)--Stanford University, 2002.
520 $a This work addresses both theoretical and empirical issues on affine modeling of the joint dynamics of exchange rates and interest rates.
520 $a On the theoretical side, it is shown, counterintuitively, that the incomplete market approach in the affine context actually brings very limited freedom in modeling exchange rate dynamics. This conclusion is reached from two results derived here: in the affine setting, observationally equivalent pricing kernels in incomplete markets have to satisfy stringent conditions, hence they are sparse, if they exist at all; as a closely related fact, with incomplete markets, once domestic and foreign pricing kernels are given, exchange rate movements are rather specifically constrained.
520 $a Next, the work focuses on establishing a canonical affine model for the joint dynamics, building upon the extensive literature on modeling interest rates alone. The relationship between the actual and equivalent martingale measures dictates that the pricing kernels are defined only by the interest rates and the market prices of risk. As a result, in the affine setting, exchange rate volatility originates from the differing market prices of risk associated with the same state variables in different countries. This necessitates extra state variables that directly affect exchange rates but not interest rates, as well as country-specific equivalent martingale measures.
520 $a The Kalman filter technique is used in the empirical part of this work to estimate multi-country versions of the above canonical model. Each of these estimated models includes the exchange rates between the U.S. dollar, British pound, Deutschmark, and Japanese yen, and interest rates from the LIBOR-swap term structures in the corresponding four currencies.
590 $a School code: 0212.
650 4 $a Economics, Finance. $3 626650
690 $a 0508
710 2 0 $a Stanford University. $3 754827
773 0 $t Dissertation Abstracts International $g 63-04A.
790 $a 0212
790 1 0 $a Hammond, Peter, $e advisor
791 $a Ph.D.
792 $a 2002
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3048537