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Essays on financial economics.

Lai, Shu-Ching.

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Essays on financial economics.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on financial economics./
作者:	Lai, Shu-Ching.
面頁冊數:	96 p.
附註:	Source: Dissertation Abstracts International, Volume: 64-06, Section: A, page: 2158.
Contained By:	Dissertation Abstracts International64-06A.
標題:	Business Administration, Banking. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3095733

Essays on financial economics.
Lai, Shu-Ching.

Essays on financial economics. - 96 p.

Source: Dissertation Abstracts International, Volume: 64-06, Section: A, page: 2158.

Thesis (Ph.D.)--Georgia Institute of Technology, 2003.

<italic>Chapter 1</italic>. Considering the sheer size of the euro's transactions domain, the common European currency may eventually emerge as another global currency rivaling the U.S. dollar. In this paper, we (i) quantify the ‘power structure’ of foreign exchange market, (ii) show how it affects the behavior of exchange rates in general, and (iii) investigate what factors determine the currency power structure. Specifically, we estimate the ‘currency betas’ for a sample of floating-rate currencies to measure the relative power of the euro vs. the dollar during the period 1999–2001. The key findings are: First, the euro exerts a dominant influence over the currencies of several European countries. It also exerts a significant influence over such major currencies as the Australian dollar and the British pound. Second, the exchange rate volatility is linked across currencies via the currency betas. Third, the international trade intensity, financial integration, primary commodity export, and geographical location are crucial factors configuring the balance of power between the euro and the dollar. Fourth, compared with the pre-euro period, the euro's power in FX markets has increased substantially (relative to the synthetic euro), largely at the expense of the British pound and the Japanese yen, pointing to a consolidation of global monetary power toward the euro and the U.S. dollar.Subjects--Topical Terms:

1018458
Business Administration, Banking.

Essays on financial economics.
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520 $a <italic>Chapter 1</italic>. Considering the sheer size of the euro's transactions domain, the common European currency may eventually emerge as another global currency rivaling the U.S. dollar. In this paper, we (i) quantify the ‘power structure’ of foreign exchange market, (ii) show how it affects the behavior of exchange rates in general, and (iii) investigate what factors determine the currency power structure. Specifically, we estimate the ‘currency betas’ for a sample of floating-rate currencies to measure the relative power of the euro vs. the dollar during the period 1999–2001. The key findings are: First, the euro exerts a dominant influence over the currencies of several European countries. It also exerts a significant influence over such major currencies as the Australian dollar and the British pound. Second, the exchange rate volatility is linked across currencies via the currency betas. Third, the international trade intensity, financial integration, primary commodity export, and geographical location are crucial factors configuring the balance of power between the euro and the dollar. Fourth, compared with the pre-euro period, the euro's power in FX markets has increased substantially (relative to the synthetic euro), largely at the expense of the British pound and the Japanese yen, pointing to a consolidation of global monetary power toward the euro and the U.S. dollar.
520 $a <italic>Chapter 2</italic>. Whether or not exchange risk premiums exist is one of the most controversial issues in exchange rate economics. Existing literature tends to attribute the failure of uncovered interest parity (UIP) as evidence for the existence of the time varying risk premium. Using the data of the recently introduced single European currency, the euro, we present new evidence on this issue. We show that UIP doesn't hold for euro exchange rates in the short run; interestingly, however, the ‘unbiasedness’ hypothesis holds as a ‘long-run’ equilibrium relationship between the euro forward and future realized spot rates. We argue that recurring expectational errors observed ex post that get corrected over time may be responsible for the observed behavior of UIP deviations.
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