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Risk Neutrality and the Two-Tier Foreign Exchange Market:Evidence from Belgium

Risk Neutrality and the Two-Tier Foreign Exchange Market:Evidence from Belgium »

Source: Risk Neutrality and the Two-Tier Foreign Exchange Market : Evidence from Belgium

Volume/Issue: 1989/83

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 October 1989

ISBN: 9781451954463

Keywords: exchange rates, foreign exchange, exchange rate, exchange markets, dual exchange rates

In this paper we develop and test a model of a utility maximizing representative agent operating in the Belgium-Luxembourg two-tier foreign exchange market. Our tests examine and fail to reject a risk neutral repre...

Structural Factors Affecting Exchange Rate Volatility

Structural Factors Affecting Exchange Rate Volatility »

Source: Structural Factors Affecting Exchange Rate Volatility : A Cross-Section Study

Volume/Issue: 2004/147

Series: IMF Working Papers

Author(s): Jorge Canales Kriljenko , and Karl Habermeier

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2004

ISBN: 9781451856767

Keywords: Exchange rate, volatility, exchange rate volatility, exchange rates, foreign exchange market, Macroeconomic Aspects of International Trade and Finance,

The paper examines factors affecting exchange rate volatility, with an emphasis on structural features of the foreign exchange regime. It draws for the first time on detailed survey data collected by the IMF on for...

The Taxation Implicit in Two-Tiered Exchange Rate Systems

The Taxation Implicit in Two-Tiered Exchange Rate Systems »

Source: The Taxation Implicit in Two-Tiered Exchange Rate Systems

Volume/Issue: 1996/120

Series: IMF Working Papers

Author(s): Harry Huizinga

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1996

ISBN: 9781451854220

Keywords: exchange rate, exchange rates, foreign exchange, exchange rate system, exchange rate systems

A two-tiered exchange rate system can be interpreted as a set of separate taxes on money and other financial assets. If the official two-tiered exchange rate system coexists with a black market for foreign exchange...

 the Simplest Test of Target Zone Credibility

the Simplest Test of Target Zone Credibility »

Source: the Simplest Test of Target Zone Credibility

Volume/Issue: 1990/106

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1990

ISBN: 9781451947007

Keywords: Exchange rates, target zones, credibility, devaluation risks, term structure, interest rate bands, exchange rate, foreign exchange, exchange rate band, capital flows

Under the assumption of no arbitrage exchange rate target zone credibility is tested by whether domestic interest rates fall within “rate-of-return bands” between the maximum and minimum home-currency...

Trade and Investment Performance Under Floating Exchange Rates

Trade and Investment Performance Under Floating Exchange Rates »

Source: Trade and Investment Performance Under Floating Exchange Rates : The U.S. Experience

Volume/Issue: 1988/37

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 May 1988

ISBN: 9781451977707

Keywords: exchange rate, exchange rates, exchange rate volatility, exchange rate variability, foreign exchange

Contrary to the arguments of several scholars, we have failed to find either a conclusive theoretical case or clear empirical evidence of an effect, harmful or otherwise, of exchange rate variability (as measured b...

Uncovered Interest Parity1

Uncovered Interest Parity1 »

Source: Uncovered Interest Parity

Volume/Issue: 2006/96

Series: IMF Working Papers

Author(s): Peter Isard

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2006

ISBN: 9781451863567

Keywords: unbiasedness hypothesis, exchange risk premium, exchange rate, foreign exchange, exchange rate expectations, spot exchange rate, Open Economy Macroeconomics,

This paper provides an overview of the uncovered interest parity assumption. It traces the history of the interest parity concept, summarizes evidence on the empirical validity of uncovered interest parity, and dis...