Modelling the exchange rate of the Peseta: efficiency, volatility and indebtedness
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
1991
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Freiburg <Schweiz>, Univ., Diss. |
| Beschreibung: | 187 S. graph. Darst. |
Internformat
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Datensatz im Suchindex
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| adam_text | MODELLING THE EXCHANGE RATE
OF THE PESETA
Efficiency, Volatility and Indebtedness
Introduction 1
Chapter I: The exchange rate Pta/DM/$ 21
Chapter II: The forward exchange market 49
Chapter HI: The volatility of exchange rates 69
Chapter IV: Indebtedness and exchange rate regimes ... 107
Conclusions 145
Appendix 153
INTRODUCTION 1
I. Models of exchange rate determination 1
A. Monetary models 2
B. Portfolio models 2
C. Dynamics 2
D. Expectations 3
E. Analyzed models 3
F. Monetary versus portfolio approach 5
II. The Spanish economy and its exchange rate 6
A. The Spanish economy from 1972 1989 7
B. Data on the Peseta 10
C. Data on Spain, Germany and the USA 15
D. Four aspects of the Peseta 20
CHAPTER I: The Exchange Rate Pta/DM/$ 21
I. Preliminary remarks 22
A. Interdependence with the rest of the world 22
B. Determining factors 22
1. Inflation 23
2. Quantity of money 23
3. Capital movements and interest rates 24
4. Investment and savings rate 24
5. Productivity 25
6. Internal demand 25
7. Wages and prices 25
8. External debt 25
9. Government deficit 26
C. Central Bank intervention 26
II. Construction of an exchange rate model Pta/DM 11
A. The influencing factors 27
B. The model 28
1. a long run macroeconomic equilibrium model 28
2. Long run nominal exchange rate model 31
3. Short run dynamic version of the model 33
C. An exchange rate model with a third country 34
1. ine three country version of the model 35
2. A dynamic version of the three country model .... 38
D. Estimations of the models 39
1. Estimation of the basic version 39
a. Estimation of the original equation 40
b. Estimations of the modified equation 42
2. Estimations of the three country model 44
IH. Explanation of the results 47
CHAPTER It The forward exchange market 49
I. Efficiency in forward exchange markets 50
II. Modelling of the efficiency concept 51
A. Conditions for an efficient forward exchange market . . 51
1. Risk neutrality 51
2. Absence of transaction costs 52
3. Rational utilization of information 52
4. Competitive market 52
B. A model for the empirical demonstration of efficiency . 53
C. Equations used for the estimations 55
1. Weak efficiency 56
2. Semi strong efficiency 56
III. Illustration of the applied data 57
A. The SWAP rates 57
B. The gain of exchange 58
C. Example of speculation in the forward market 59
IV. Estimations of the model 59
A. Definition of the variables and methods 60
B. Weak efficiency 61
1. Variable error of prediction 61
2. Variable gain of return 62
C. Semi strong efficiency 63
1. Variable error of prediction 63
2. Variable gain of return 64
D. Correlation Matrix 65
V. Interpretation of the results 66
CHAPTER HI: The volatility of exchange rates 69
I. Methodology 7q
A. The perfect forecast exchange rate 71
B. The naive forecast exchange rate 72
C. The test inequalities 72
II. The flexible price monetary model 74
A. The perfect forecast exchange rate 75
B. The naive forecast exchange rate 76
in. The sticky price model 77
A. The perfect forecast exchange rate 77
B. The naive forecast exchange rate 80
IV. The portfolio balance model 80
A. The perfect forecast exchange rate 82
B. The naive forecast exchange rate 82
V. Empirical tests of the models 82
A. Money demand estimates for Germany 83
B. Tests of the flexible price model 88
1. Yearly data 88
2. Quarterly data 92
C. Tests of the sticky price model 93
1. Yearly data 94
2. Quarterly data 98
D. Test of the portfolio balance model 99
VI. Critical comments on the volatility tests 102
CHAPTER IV: Indebtedness and exchange rate regimes 107
I. The model 107
A. Instruments and targets 108
B. Solvency condition 108
C. Description of the equations 108
D. Solutions of the model 112
1. Version 1: Foreign currency borrowing 112
a. Dynamics 114
(1) Debt stability condition achieved 114
(2) Debt stability condition not achieved 115
b. Long term economic policy 117
(1) Case of stable debt dynamics 117
(2) Case of unstable debt dynamics 119
(3) No use of the exchange rate 120
(4) Solvency constraint and absence of exchange
rate management 120
2. Version 2: Domestic currency borrowing with flexible
exchange rates 121
a. Dynamics 122
b. Long term economic policy 125
(1) Case of stable debt dynamics 125
(2) Case of unstable debt dynamics 128
3. Version 3: Domestic currency borrowing with fixed
exchange rates 130
a. Dynamics 131
b. Long term situation 132
II. Indebtedness policy in Spain 134
A. Indebtedness policy until 1984 134
B. Indebtedness policy 1984 1989 135
C. Indebtedness policy within the EMS (after 1989) 135
in. Critical remarks 135
A. Critics on the assumptions 136
1. Debt/GDP ratio versus external position/GDP ... 136
2. Investment=Imports 137
B. Critics on the equations 139
1. Equation (2): Consumption 139
2. Equations (6A) and (6B): Debt dynamics 140
a. The ratios eg and ej 140
b. Incoherence of the investment variable i 142
3. Equation (5): Capital dynamics 143
C. Critics on the results 144
Conclusions 145
I. Conclusions on the empirical part 145
II. Conclusions on the models in general 148
Appendix 153
Appendix I: Tables 153
Appendix II: Figures 154
Appendix El: Definitions and Abbreviations 155
Appendix IV: Data 158
Appendix V: Bibliography 165
Appendix VI: Index 185
|
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| genre_facet | Hochschulschrift |
| id | DE-604.BV008231514 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T17:16:44Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-005433048 |
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| physical | 187 S. graph. Darst. |
| publishDate | 1991 |
| publishDateSearch | 1991 |
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| spelling | Göltner, Ulrich Verfasser aut Modelling the exchange rate of the Peseta efficiency, volatility and indebtedness vorgelegt von Ulrich Göltner 1991 187 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Freiburg <Schweiz>, Univ., Diss. Peseta (DE-588)4350344-5 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Wechselkurs (DE-588)4064921-0 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Peseta (DE-588)4350344-5 s Wechselkurs (DE-588)4064921-0 s Mathematisches Modell (DE-588)4114528-8 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=005433048&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Göltner, Ulrich Modelling the exchange rate of the Peseta efficiency, volatility and indebtedness Peseta (DE-588)4350344-5 gnd Mathematisches Modell (DE-588)4114528-8 gnd Wechselkurs (DE-588)4064921-0 gnd |
| subject_GND | (DE-588)4350344-5 (DE-588)4114528-8 (DE-588)4064921-0 (DE-588)4113937-9 |
| title | Modelling the exchange rate of the Peseta efficiency, volatility and indebtedness |
| title_auth | Modelling the exchange rate of the Peseta efficiency, volatility and indebtedness |
| title_exact_search | Modelling the exchange rate of the Peseta efficiency, volatility and indebtedness |
| title_full | Modelling the exchange rate of the Peseta efficiency, volatility and indebtedness vorgelegt von Ulrich Göltner |
| title_fullStr | Modelling the exchange rate of the Peseta efficiency, volatility and indebtedness vorgelegt von Ulrich Göltner |
| title_full_unstemmed | Modelling the exchange rate of the Peseta efficiency, volatility and indebtedness vorgelegt von Ulrich Göltner |
| title_short | Modelling the exchange rate of the Peseta |
| title_sort | modelling the exchange rate of the peseta efficiency volatility and indebtedness |
| title_sub | efficiency, volatility and indebtedness |
| topic | Peseta (DE-588)4350344-5 gnd Mathematisches Modell (DE-588)4114528-8 gnd Wechselkurs (DE-588)4064921-0 gnd |
| topic_facet | Peseta Mathematisches Modell Wechselkurs Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=005433048&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT goltnerulrich modellingtheexchangerateofthepesetaefficiencyvolatilityandindebtedness |