The principles of currency and exchange /

Goldsmiths'-Kress no. 19114.

Reporting foreign operations.

Mode of access: Internet.

The meaning of money.

Introductory.- Coined cash.- Paper cash.- The bill of exchange.- The manufacture of money.- London, the world's monetary clearing house.- The cheque-paying banks.- The bill-brokers and discount houses.- The accepting houses and foreign banks.- The foreign exchanges.- The bank of England.- Bank rate and market rate.- The bank return.- The gold reserve.- Other reserves.- Summary and conclusion.- Index.

Essays on Monetary Policy in Small Open Economies

Thesis (Ph.D.)--University of Washington, 2016-06

UMA ANÁLISE DA RELAÇÃO ENTRE VARIÁVEIS MACROECONÔMICAS E O COMPORTAMENTO DAS AÇÕES DE MAIOR LIQUIDEZ DO ÍNDICE IBOVESPA

As ações de maior liquidez do índice IBOVESPA, refletem o comportamento das ações de um modo geral, bem como a relação das variáveis macroeconômicas em seu comportamento e estão entre as mais negociadas no mercado de capitais brasileiro. Desta forma, pode-se entender que há reflexos de fatores que impactam as empresas de maior liquidez que definem o comportamento das variáveis macroeconômicas e que o inverso também é uma verdade, oscilações nos fatores macroeconômicos também afetam as ações de maior liquidez, como IPCA, PIB, SELIC e Taxa de Câmbio. O estudo propõe uma análise da relação existente entre variáveis macroeconômicas e o comportamento das ações de maior liquidez do índice IBOVESPA, corroborando com estudos que buscam entender a influência de fatores macroeconômicos sobre o preço de ações e contribuindo empiricamente com a formação de portfólios de investimento. O trabalho abrangeu o período de 2008 a 2014. Os resultados concluíram que a formação de carteiras, visando a proteção do capital investido, deve conter ativos com correlação negativa em relação às variáveis estudadas, o que torna possível a composição de uma carteira com risco reduzido.

The exchange rate exposure of UK non-financial companies

Purpose – The purpose of this paper is to investigate the exchange rate exposure of UK nonfinancial companies from January 1981 to December 2001. Design/methodology/approach – The study employs different exchange rate measures and adopts an equally weighted exchange rate. The analyses are conducted at the firm level. All analyses are conducted by regressing the firm’s exchange rate exposure coefficients on its size, foreign activity variables and financial hedging proxies over the whole sample period. Findings – The findings show that a higher percentage of UK non-financial companies are exposed to exchange rate changes than those reported in previous studies. Generally, the results provide a stronger support for the suggested equally weighted rate as an economic variable, which affects firms’ stock returns. The results also show a high proportion of positive exposure coefficients among firms with significant exchange rate exposure, indicating a higher proportion of firms benefiting from an appreciation of the pound. Finally, the results also indicate evidence that firms’ foreign operations and hedging variables affect their sensitivity to exchange rate exposure. Practical implications – This study provides important implications for public policymakers who wish to understand links between policies that affect exchange rates and relative wealth effects. Originality/value – The empirical results of this study should help investors to examine how common stock returns react to exchange rate fluctuations when making financial decisions, and prove useful for financial managers when measuring exposure to foreign exchange rate changes.

A conceptual framework of accounting policy choice under SSAP 20

Purpose - To provide a framework of accounting policy choice associated with the timing of adoption of the UK Statement of Standard Accounting Practice (SSAP) No. 20, "Foreign Currency Translation". The conceptual framework describes the accounting policy choices that firms face in a setting that is influenced by: their financial characteristics; the flexible foreign exchange rates; and the stock market response to accounting decisions. Design/methodology/approach - Following the positive accounting theory context, this paper puts into a framework the motives and choices of UK firms with regard to the adoption or deferment of the adoption of SSAP 20. The paper utilises the theoretical and empirical findings of previous studies to form and substantiate the conceptual framework. Given the UK foreign exchange setting, the framework identifies the initial stage: lack of regulation and flexibility in financial reporting; the intermediate stage: accounting policy choice; and the final stage: accounting choice and policy review. Findings - There are situations where accounting regulation contrasts with the needs and business objectives of firms and vice-versa. Thus, firms may delay the adoption up to the point where the increase in political costs can just be tolerated. Overall, the study infers that firms might have chosen to defer the adoption of SSAP 20 until they reach a certain corporate goal, or the adverse impact (if any) of the accounting change on firms' financial numbers is minimal. Thus, the determination of the timing of the adoption is a matter which is subject to the objectives of the managers in association with the market and economic conditions. The paper suggests that the flexibility in financial reporting, which may enhance the scope for income-smoothing, can be mitigated by the appropriate standardisation of accounting practice. Research limitations/implications - First, the study encompassed a period when firms and investors were less sophisticated users of financial information. Second, it is difficult to ascertain the decisions that firms would have taken, had the pound appreciated over the period of adoption and had the firms incurred translation losses rather than translation gains. Originality/value - This paper is useful to accounting standards setters, professional accountants, academics and investors. The study can give the accounting standard-setting bodies useful information when they prepare a change in the accounting regulation or set an appropriate date for the implementation of an accounting standard. The paper provides significant insight about the behaviour of firms and the associated impacts of financial markets and regulation on the decision-making process of firms. The framework aims to assist the market and other authorities to reduce information asymmetry and to reinforce the efficiency of the market. © Emerald Group Publishing Limited.

Predicting returns in U.S. financial sector indices

This study focuses on: (i) the responsiveness of the U.S. financial sector stock indices to foreign exchange (FX) and interest rate changes; and, (ii) the extent to which good model specification can enhance the forecasts from the associated models. Three models are considered. Only the error-correction model (ECM) generated efficient and consistent coefficient estimates. Furthermore, a simple zero lag model in differences which is clearly mis-specified, generated forecasts that are better than those of the ECM, even if the ECM depicts relationships that are more consistent with economic theory. In brief, FX and interest rate changes do not impact on the return-generating process of the stock indices in any substantial way. Most of the variation in the sector stock indices is associated with past variation in the indices themselves and variation in the market-wide stock index. These results have important implications for financial and economic policies.

Practical methods of tracking of nonstationary time series applied to real-world data

In this paper, we discuss some practical implications for implementing adaptable network algorithms applied to non-stationary time series problems. Two real world data sets, containing electricity load demands and foreign exchange market prices, are used to test several different methods, ranging from linear models with fixed parameters, to non-linear models which adapt both parameters and model order on-line. Training with the extended Kalman filter, we demonstrate that the dynamic model-order increment procedure of the resource allocating RBF network (RAN) is highly sensitive to the parameters of the novelty criterion. We investigate the use of system noise for increasing the plasticity of the Kalman filter training algorithm, and discuss the consequences for on-line model order selection. The results of our experiments show that there are advantages to be gained in tracking real world non-stationary data through the use of more complex adaptive models.

Financial liberalization and stock market volatility:the case of Indonesia

This article examines the relationship between financial liberalization and stock market volatility in Indonesia. By looking at the time series properties of the Jakarta Composite Index (JCI) we identify breaks in stock market volatility which coincide with the timing of major policy events. Our main findings are (i) a significant decrease in volatility after the 'official' opening of the stock market to foreign participation; (ii) a significant increase in volatility in the year before market opening following reforms that eased entry requirements and the issuance of brokerage licenses and (iii) a significant increase in volatility at the time of the Asian crisis followed by a significant decrease in the second and sixth years after the crisis.

The exchange rate exposure of UK non-financial companies

Purpose – The purpose of this paper is to investigate the exchange rate exposure of UK nonfinancial companies from January 1981 to December 2001. Design/methodology/approach – The study employs different exchange rate measures and adopts an equally weighted exchange rate. The analyses are conducted at the firm level. All analyses are conducted by regressing the firm’s exchange rate exposure coefficients on its size, foreign activity variables and financial hedging proxies over the whole sample period. Findings – The findings show that a higher percentage of UK non-financial companies are exposed to exchange rate changes than those reported in previous studies. Generally, the results provide a stronger support for the suggested equally weighted rate as an economic variable, which affects firms’ stock returns. The results also show a high proportion of positive exposure coefficients among firms with significant exchange rate exposure, indicating a higher proportion of firms benefiting from an appreciation of the pound. Finally, the results also indicate evidence that firms’ foreign operations and hedging variables affect their sensitivity to exchange rate exposure. Practical implications – This study provides important implications for public policymakers who wish to understand links between policies that affect exchange rates and relative wealth effects. Originality/value – The empirical results of this study should help investors to examine how common stock returns react to exchange rate fluctuations when making financial decisions, and prove useful for financial managers when measuring exposure to foreign exchange rate changes.

Short-horizon excess returns and exchange rate and interest rate effects

stocks. We examine the effects of foreign exchange (FX) and interest rate changes on the excess returns of U.S. stocks, for short-horizons of 1-40 days. Our new evidence shows a tendency for the volatility of both excess returns and FX rate changes to be negatively related with FX rate and interest rate effects. Both the number of firms with significant FX rate and interest rate effects and the magnitude of their exposures increase with the length of the return horizon. Our finding seems inconsistent with the view that firms hedge effectively at short-return horizons.

Kelet-közép-európai devizaárfolyamok előrejelzése határidős árfolyamok segítségével (Forecasting the exchange rates of three Central-Eastern European currencies with forward exchange rates)

Írásunkban azt vizsgáljuk, hogy a hosszú lejáratú határidős árfolyamok stacionaritását feltételező hibakorrekciós modellek, amelyeknek korábbi számítások szerint - a világ devizapiaci forgalmának mintegy 75 százalékát kitevő fejlett ipari országokra alkalmazva - kitűnő a mintán kívüli előrejelző erejük, hogyan képesek három keletközép- európai ország devizaárfolyamát előrejelezni. A három vizsgálat alá vont deviza (cseh, magyar, lengyel) esetében az eredmények relációnként nagyon eltérnek, és összességében kedvezőtlenebbek, mint a fejlett ipari országokra kapott eredmények, amit a nem teljesen rugalmas árfolyamrezsim, a rendelkezésre álló adatsor rövidsége, az eurózóna-csatlakozáshoz kapcsolódó bizonytalanságok, a devizakockázati és a határidős kamatprémium létezése, továbbá a Balassa-Samuelson-hatás együttes befolyásaként tudunk értelmezni. JEL kód: E43, F31, F47. /===/ This paper studies whether models that assume long-maturity forward exchange rates are stationary (which proved in earlier studies to provide superior forecasting ability when applied to exchange rates of major currencies) are capable of forecasting the Euro exchange rates of three Central-East European currencies (the Czech koruna, Hungarian forint and Polish zloty). The results for the three currencies differ from each other and are generally much worse than those obtained earlier for major currencies. These unfavourable results are attributed to the consequences of managed exchange-rate systems, to the short time series available, to uncertainties related to future Euro-zone entry, to the existence of a foreign exchange and term premium, and to the Balassa–Samuelson effect.

The Reverse Balassa–Samuelson Effect in the Euro Zone

The debt crisis of the eurozone revealed a structural problem of the single market. The single currency created a pegged foreign exchange system among the euro member states. Thus, the less competitive countries can not improve their wage competitiveness through devaluation, but are motivated to extend the current consumption as the single central bank rate and the zone stability created cheap debt financing. The paper overviews the process of Reverse Balassa-Samuelson effect to explain the importance of external imbalance in the debt crisis.

Banking Contagion under Different Exchange Rate Regimes in CEE

The global crisis of 2008 caused both liquidity shortage and increasing insolvency in the banking system. The study focuses on credit default contagion in the Central and Eastern European (CEE) region, which originated in bank runs generated by non-performing loans granted to non-financial clients. In terms of methodology, the paper relies on one hand on review of the literature, and on the other hand on a data survey with comparative and regression analysis. To uncover credit default contagion, the research focuses on the combined impact of foreign exchange rates and foreign private indebtedness.