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Segmentation analysis on a multivariate time series of the foreign exchange rates
finite multivariate Gaussian mixture Jensen-Shannon divergence variance-covariance matrix cross-sectional analysis
2012/6/2
This study considers the multivariate segmentation procedure under the assumption of the multivariate Gaussian mixture. Jensen-Shannon divergence between two multivariate Gaussian distributions is emp...
Interdependencies between Monetary Policy and Foreign Exchange Interventions under Inflation Targeting: The Case of Brazil and the Czech Republic
central banks foreign exchange markets emerging markets nominal exchange rate changes
2011/8/21
Inflation-targeting central banks often explicitly reserve the right to intervene in foreign exchange markets when the exchange rate ‘deviates from fundamentals’ and/or ‘displays excessive volatility’...
Monetary Policy, Foreign Exchange Policy, and Delayed Overshooting
foreign exchange intervention monetary policy structural VAR exchange rate delayed overshooting.
2011/8/21
This paper provides an explanation for "delayed overshooting" puzzle based on foreign exchange policy's reaction to monetary policy, for Canada in which ample interactions between monetary and foreign...
Foreign Exchange Market and Monetary Management in Nigeria
price exchange rate monetary policy instruments money supply monetary management
2011/6/1
The main objective of this paper is to provoke some thoughts on the foreign exchange market and monetary management in Nigeria.
Teaching foreign exchange market issues in business education
experimental learning equal of your equilibrium business strategy
2010/10/18
This paper presents a classroom experiment that places students directly into the learning
environment and allows them to make foreign exchange decisions in simulated market arena.
The experiment of...
Optimal intervention in the foreign exchange market when interventions affect market dynamics
exchange rate optimal impulse control quasi-variational inequalities stopping times
2010/11/2
We address the problem of optimal Central Bank intervention in the exchange rate market when interventions create feedback in the rate dynamics. In particular, we extend the work done on optimal impul...
Model-Free Evaluation of Directional Predictability in Foreign Exchange
Characteristic function Directional predictability Generalized cross-spectrum Uncovered Interest Parity Market Intervention Currency Crisis Market Contagion
2011/4/6
We examine directional predictability in foreign exchange markets using a model-free statistical evaluation procedure. Based on a sample of foreign exchange spot rates and futures prices in six major ...
Model-Free Evaluation of Directional Predictability in Foreign Exchange Markets
foreign exchange markets
2011/4/2
We examine directional predictability in foreign exchange markets using a model-free statistical evaluation procedure. Based on a sample of foreign exchange spot rates and futures prices in six major ...