دانلود کتاب International Currency Exposure (CESifo Seminar Series)

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Contents
Series Foreword
Introduction
Note
1 Toward a Behavioral Theory of the Exchange Rate
1.1 Introduction
1.2 A Behavioral Model
1.3 Stochastic Simulation of the Model
1.4 Sensitivity Analysis
1.5 Numerical Analysis of Deterministic Dynamics
1.6 Sensitivity Analysis of the Deterministic Model
1.7 Why Crashes Occur
1.8 Conclusions
Appendix: Numerical Values of the Parameters Used in the Base Simulation
Notes
References
2 Cross-Country Exposures to the Swiss Franc
2.1 Introduction
2.2 International Currency Exposures
2.3 Swiss Currency Exposures and Valuation Effects
2.4 Cross-Country Exposures to the Swiss Franc: Stylized Facts
2.5 Conclusions
Appendix: Country List
Data and Sources
Notes
References
3 On the Roles of Different Foreign Currencies in European Bank Lending
3.1 Introduction
3.2 Related Literature
3.3 Data and Stylized Facts
3.4 Econometric Analysis of Foreign Currency Lending
3.5 Conclusions
Appendix: Data sources and definitions
Notes
References
4 Understanding Exchange Rate Exposure through Net Foreign Exchange Position Channel
4.1 Introduction
4.2 Literature Review
4.3 Data and Methodology
4.4 Results
4.5 Robustness
4.6 Conclusions
Notes
References
5 Strategic Currency Choice in International Trade
5.1 Introduction
5.2 Conceptual Framework and the Literature
5.3 Data
5.4 Methodology
5.5 Results
5.6 Conclusions
Notes
References
6 Probability of a Currency Crash and Postcrash Output Performance: Do Exchange Rate Regimes Matter?
6.1 Introduction
6.2 Methods of Identifying Currency Crashes and Measuring Output Performance
6.3 Causes and Effects of Currency Crises: A Synthesis of Theories in the Literature
6.4 Quantitative Analysis
6.5 Conclusions
Appendix 1: Advanced vs. Emerging Market Economies
Appendix 2: Dating and Severity of Crises and Preexisting Exchange Rate Systems
Data Appendix: Definition of Variables and Sources of Data
Notes
References
7 Foreign Currency Denominated Assets and International Shock Absorption in Europe and East Asia
7.1 Introduction
7.2 A Negative Risk Premium Originating in Foreign Currency Denominated Assets
7.3 International Shock Absorption Channels
7.4 Empirical Evidence
7.5 Conclusions
Appendix
Notes
References
8 External Debt and International Trade: Another Mismatch
8.1 Introduction
8.2 Currency Composition of External Debt
8.3 Fluctuations in Exchange Rates and Debt Burdens
8.4 Implications of the Debt–Trade “Mismatch”
8.5 Conclusions
Appendix
Sample Period
Sample Countries
Notes
References
9 Assessing the Forward Premium Puzzle: A Factor-Augmented Panel Data Approach
9.1 Introduction
9.2 The Forward Premium Puzzle and the Risk Premium
9.3 A Simple CAPM Perspective
9.4 Factor-Augmented Panel Data Models
9.5 Empirical Analysis
9.6 Factor-Augmented Panel Data Regressions
9.7 Conclusions
Notes
References
10 The Geopolitics of Ascending Global Currencies
10.1 Summary of the Discussion
10.2 Which Currencies Are Ascending Global Currencies?
10.3 The Two Potentially Ascending Currencies
10.4 Three Grand Projects
10.5 Currencies as Geopolitical Tools: US Dollar as an Example
10.6 Open World vs. Closing Blocs
10.7 Reversing the Dynamic toward a Unified Global System
Notes
Contributors
Index