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Currency Crises and Exchange Rate Expectations

open access: yesCurrency Crises and Exchange Rate Expectations
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CURRENCY CRISES AND EXCHANGE RATE INSTABILITY

IFAC Proceedings Volumes, 1983
Abstract Currency crises are usually modelled as an outgrowth of government policy imposed on an otherwise stable environment. This paper presents an alternative view in which government policy holds an economy in an unstable environment through controls on portfolio choice.
G. Nickelsburg, V. Canto
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Currency Derivatives and Exchange Rate Forecastability

SSRN Electronic Journal, 2007
By incorporating new information generated by currency derivatives trading, underlying exchange rates should be less forecastable than previously and the underlying currency markets should, therefore, be more efficient. This hypothesis was tested, for the first time, for the period 1982 through 1997 on a clean sample of three major types of currency ...
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Currency exchange rate bias.

Journal of Experimental Psychology: Applied
This research examines biases in judgments about currency exchange rates and presents two types of biases that are caused by ignorance of the nonlinearity between the exchange rate and the amount of base currency. First, the average exchange rate of multiple exchange transactions is overestimated.
Kwanho Suk, Jieun Koo
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Modeling currency exchange rate time series

Computers & Industrial Engineering, 1986
Abstract Previous studies have shown that a random walk model is an appropriate time series model for explaining exchange rate time series. This analysis is based on the assumption that the variance of an exchange rate time series is homogeneous with respect to time. This paper shows that this assumption may be violated for exchange rate time series.
Promod K. Chandhok, W.Robert Terry
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Bicluster Analysis of Currency Exchange Rates

2008
In many business applications, it is important to analyze correlations between currency exchange rates. In this Chapter, we develop a technique for bicluster analysis of the rates. Our method is able to extract coherent cluster patterns from a subset of time points and a subset of currencies. Experimental results show that our method is very effective.
Haizhou Li, Hong Yan
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