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Brice V. Dupoyet - One of the best experts on this subject based on the ideXlab platform.
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information content of cross sectional option prices a comparison of Alternative Currency option pricing models on the japanese yen
Journal of Futures Markets, 2006Co-Authors: Brice V. DupoyetAbstract:This article implements a Currency option pricing model for the general case of stochastic volatility, stochastic interest rates, and jumps in an attempt to reconcile levels of risk‐neutral skewness and kurtosis with observed option prices on the Japanese yen and to analyze the information content of the cross section of option prices by investigating the hedging and pricing performance of various Currency option pricing models. The study makes use of both a method of moments and a more traditional generalized‐least‐squares (GLS) estimation technique, taking advantage of the fact that methods of moments do not specifically require the use of cross‐sectional option prices, whereas GLS does. Results centered around the Asia economic crisis of 1997 and 1998 indicate that the cross section of option prices surprisingly does not appear to contain superior information as the two estimation techniques yield relatively similar results once idiosyncratic differences between them are acknowledged. Extensions of the G. Bakshi, C. Cao, and Z. Chen (1997) results to currencies are also provided. © 2006Wiley Periodicals, Inc. Jrl Fut Mark 26:33–59, 2006
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information content of cross sectional option prices a comparison of Alternative Currency option pricing models on the japanese yen
Social Science Research Network, 2004Co-Authors: Brice V. DupoyetAbstract:This paper implements a Currency option pricing model for the general case of stochastic volatility, stochastic interest rates, and jumps in an attempt to reconcile levels of risk-neutral skewness and kurtosis with observed option prices on the Japanese Yen and to analyze the information content of the cross-section of option prices by investigating the hedging and pricing performance of various Currency option pricing models. The study makes use of both a Method of Moments and a more traditional Generalized Least Squares (GLS) estimation technique, taking advantage of the fact that Methods of Moments do not specifically require the use of cross-sectional option prices while GLS does. Results centered around the Asia economic crisis of 1997 and 1998 indicate that the cross-section of option prices surprisingly does not appear to contain superior information as the two estimation techniques yield relatively similar results once idiosyncratic differences between them are acknowledged. Extensions of Bakshi, Cao and Chen (1997) results to currencies are also provided.
Sangare Ibrahima - One of the best experts on this subject based on the ideXlab platform.
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Essais sur les politiques de change et l’intégration monétaire
HAL CCSD, 2015Co-Authors: Sangare IbrahimaAbstract:This thesis investigates the choice of exchange rate regimes in specific economic contexts. The first part of this work (Chapters 1 and 2) considers the case of small open economies with foreign-Currency denominated debt and that of a region where there is a similarity among trade-weighted Currency baskets of countries. The second part of the thesis (Chapters 3 and 4) focuses on the study of exchange rate regimes and monetary integration in a liquidity trap environment relative to “tranquil” times. Based on dynamic stochastic general equilibrium (DSGE) models and Bayesian and Panel data econometrics, the thesis mainly uses the analyses of impulse responses, welfare and Currency misalignments as comparison criteria among Alternative Currency regimes.The key lessons from this work are summarized as follows. For small open economies heavily in debted in foreign Currency, like those of Southeast Asia, the flexible exchange is the best regime, followed by intermediate and fixed exchange rate regimes. At the regional level, it is shown that the exchange rate targeting regime leads to a stability of intra-regional bilateral exchange rates, which is a sort of fixity of exchange rates similar to a “de facto Currency area”. In the context of a liquidity trap, we find that, contrary to common belief during the Euro area crisis, the Currency union welfare dominates the independent floating regime. Only a central bank intervention in the form of a managed float policy could allow the independent floating to outperform the monetary union.Through both the empirical and theoretical analyses of the liquidity trap effects on Currency misalignments, it is shown that the ZLB constraint tends to reduce Currency misalignments compared with the independent floating policy. This suggests a reinforcement of the monetary integration within a monetary union during the liquidity trapCette thèse étudie le choix des régimes de change dans des contextes économiques particuliers. La première partie (Chapitres 1 et 2) considère le cas des petits pays dont les dettes sont libellées en monnaies étrangères et celui d’une région constituée de tels petits pays lorsqu’il existe une similitude dans la composition des paniers définissant leurs taux de change effectifs. La deuxième partie de la thèse (Chapitres 3 et 4) se penche sur la considération des différents régimes de change dans le contexte monétaire de trappe à liquidité comparativement à un environnement monétaire traditionnel. En se basant sur une modélisation théorique de type DSGE, l’économétrie bayésienne et des données de panel, la thèse utilise principalement l’analyse des fonctions de réponses, de bien-être et de désalignements monétaires comme critères de comparaison de plusieurs régimes monétaires alternatifs. Les principaux enseignements de cette thèse se résument ainsi. Le change flexible semble être le meilleur régime pour des petites économies ouvertes comme ceux de l’Asie du Sud-Est. Au niveau régional, il est montré le ciblage effectif conduit à une stabilité des taux de change bilatéraux de la région, une sorte de fixité des taux de change qui ressemblerait à une zone monétaire de facto. Dans le contexte monétaire de trappe à liquidité, on trouve que,contrairement à la croyance commune lors la crise de la zone euro, l’union monétaire est plus performante que des politiques nationales de change flexible. Seule une intervention sur le taux de change nominal pourrait permettre au régime de change indépendant de dominer l’union monétaire. A travers une analyse théorique et empirique de l’effet de la trappe à liquidité sur l’ampleur des désalignements monétaires, il est aussi montré que la contrainte ZLB tend à réduire le désalignement monétaire dans une union monétaire comparativement aux politiques nationales de flottement.Cela plaide en faveur du renforcement de l’intégration monétaire au sein d’une union durant la période de trappe à liquidité
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Essais sur les politiques de change et l’intégration monétaire
HAL CCSD, 2015Co-Authors: Sangare IbrahimaAbstract:This thesis investigates the choice of exchange rate regimes in specific economic contexts. The first part of this work (Chapters 1 and 2) considers the case of small open economies with foreign-Currency denominated debt and that of a region where there is a similarity among trade-weighted Currency baskets of countries. The second part of the thesis (Chapters 3 and 4) focuses on the study of exchange rate regimes and monetary integration in a liquidity trap environment relative to “tranquil” times.Based on dynamic stochastic general equilibrium (DSGE) models and Bayesian and Panel data econometrics, the thesis mainly uses the analyses of impulse responses, welfare and Currency misalignments as comparison criteria among Alternative Currency regimes. The key lessons from this work are summarized as follows. For small open economies heavily indebted in foreign Currency, like those of Southeast Asia, the flexible exchange rate is the best regime, followed by intermediate and fixed exchange rate regimes. At the regional level, it is shown that the exchange rate targeting regime leads to a stability of intra-regional bilateral exchange rates, which is a sort of fixity of exchange rates similar to a “de facto Currency area”. In the context of a liquidity trap, we find that, contrary to common belief during the Euro area crisis, the Currency union welfare dominates the independent floating regime. Only a central bank intervention in the form of a managed float policy could allow the independent floating to outperform the monetary union. Through both the empirical and theoretical analyses of the liquidity trap effects on Currency misalignments, it is shown that the ZLB constraint tends to reduce Currency misalignments compared with the independent floating policy. This suggests a reinforcement of the monetary integration within a monetary union during the liquidity trap.Cette thèse étudie le choix des régimes de change dans des contextes économiques particuliers. La première partie (Chapitres 1 et 2) considère le cas des petits pays dont les dettes sont libellées en monnaies étrangères et celui d’une région constituée de tels petits pays lorsqu’il existe une similitude dans la composition des paniers définissant leurs taux de change effectifs. La deuxième partie de la thèse (Chapitres 3 et 4) se penche sur la considération des différents régimes de change dans le contexte monétaire de trappe à liquidité comparativement à un environnement monétaire traditionnel. En se basant sur une modélisation théorique de type DSGE, l’économétrie bayésienne et des données de panel, la thèse utilise principalement l’analyse des fonctions de réponses, de bien-être et de désalignements monétaires comme critères de comparaison de plusieurs régimes monétaires alternatifs.Les principaux enseignements de cette thèse se résument ainsi. Le change flexible semble être le meilleur régime pour des petites économies ouvertes comme ceux de l’Asie du Sud-Est. Au niveau régional, il est montré le ciblage effectif conduit à une stabilité des taux de change bilatéraux de la région, une sorte de fixité des taux de change qui ressemblerait à une zone monétaire de facto. Dans le contexte monétaire de trappe à liquidité, on trouve que, contrairement à la croyance commune lors la crise de la zone euro, l’union monétaire est plus performante que des politiques nationales de change flexible. Seule une intervention sur le taux de change nominal pourrait permettre au régime de change indépendant de dominer l’union monétaire. A travers une analyse théorique et empirique de l’effet de la trappe à liquidité sur l’ampleur des désalignements monétaires, il est aussi montré que la contrainte ZLB tend à réduire le désalignement monétaire dans une union monétaire comparativement aux politiques nationales de flottement. Cela plaide en faveur du renforcement de l’intégration monétaire au sein d’une union durant la période de trappe à liquidité
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Essays on exchange rate policies and monetary integration
2015Co-Authors: Sangare IbrahimaAbstract:Cette thèse étudie le choix des régimes de change dans des contextes économiques particuliers. La première partie (Chapitres 1 et 2) considère le cas des petits pays dont les dettes sont libellées en monnaies étrangères et celui d’une région constituée de tels petits pays lorsqu’il existe une similitude dans la composition des paniers définissant leurs taux de change effectifs. La deuxième partie de la thèse (Chapitres 3 et 4) se penche sur la considération des différents régimes de change dans le contexte monétaire de trappe à liquidité comparativement à un environnement monétaire traditionnel. En se basant sur une modélisation théorique de type DSGE, l’économétrie bayésienne et des données de panel, la thèse utilise principalement l’analyse des fonctions de réponses, de bien-être et de désalignements monétaires comme critères de comparaison de plusieurs régimes monétaires alternatifs. Les principaux enseignements de cette thèse se résument ainsi. Le change flexible semble être le meilleur régime pour des petites économies ouvertes comme ceux de l’Asie du Sud-Est. Au niveau régional, il est montré le ciblage effectif conduit à une stabilité des taux de change bilatéraux de la région, une sorte de fixité des taux de change qui ressemblerait à une zone monétaire de facto. Dans le contexte monétaire de trappe à liquidité, on trouve que,contrairement à la croyance commune lors la crise de la zone euro, l’union monétaire est plus performante que des politiques nationales de change flexible. Seule une intervention sur le taux de change nominal pourrait permettre au régime de change indépendant de dominer l’union monétaire. A travers une analyse théorique et empirique de l’effet de la trappe à liquidité sur l’ampleur des désalignements monétaires, il est aussi montré que la contrainte ZLB tend à réduire le désalignement monétaire dans une union monétaire comparativement aux politiques nationales de flottement.Cela plaide en faveur du renforcement de l’intégration monétaire au sein d’une union durant la période de trappe à liquidité.This thesis investigates the choice of exchange rate regimes in specific economic contexts. The first part of this work (Chapters 1 and 2) considers the case of small open economies with foreign-Currency denominated debt and that of a region where there is a similarity among trade-weighted Currency baskets of countries. The second part of the thesis (Chapters 3 and 4) focuses on the study of exchange rate regimes and monetary integration in a liquidity trap environment relative to “tranquil” times. Based on dynamic stochastic general equilibrium (DSGE) models and Bayesian and Panel data econometrics, the thesis mainly uses the analyses of impulse responses, welfare and Currency misalignments as comparison criteria among Alternative Currency regimes.The key lessons from this work are summarized as follows. For small open economies heavily in debted in foreign Currency, like those of Southeast Asia, the flexible exchange is the best regime, followed by intermediate and fixed exchange rate regimes. At the regional level, it is shown that the exchange rate targeting regime leads to a stability of intra-regional bilateral exchange rates, which is a sort of fixity of exchange rates similar to a “de facto Currency area”. In the context of a liquidity trap, we find that, contrary to common belief during the Euro area crisis, the Currency union welfare dominates the independent floating regime. Only a central bank intervention in the form of a managed float policy could allow the independent floating to outperform the monetary union.Through both the empirical and theoretical analyses of the liquidity trap effects on Currency misalignments, it is shown that the ZLB constraint tends to reduce Currency misalignments compared with the independent floating policy. This suggests a reinforcement of the monetary integration within a monetary union during the liquidity tra
Delphine Gibassier - One of the best experts on this subject based on the ideXlab platform.
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money morals and valuation how local and complementary currencies question the global financial system
Social Science Research Network, 2017Co-Authors: Dianelaure Arjalies, Delphine GibassierAbstract:“With the SOL [local and complementary Currency], it’s not about consuming more, but it’s about converting a ‘black’ GDP into a ‘green’ GDP.” (Sol Violette launch meeting, 2009) Our study aims at understanding the processes through which groups of citizens search to fight the global financial system through the creation of new valuation devices, i.e. local and complementary currencies (LCC). An LCC can be defined as “a Currency parallel to the national Currency, issued and managed by the citizens. It aims to restore ‘humanity’ to the territory, and restore meaning that conventional currencies do not incarnate anymore” (SOL document, 2012, according to Philippe Derudder). Although they have long existed, the number of LCC created over the last decade has exploded across the world (over 5000 LCCs worldwide according to Savoie, 2016), and particularly in Europe following the 2008 financial crisis (Lietaer & Kennedy, 2008). Fundamental to this development is the desire of citizens to provide an Alternative Currency that relies on values and an evaluation infrastructure they perceive to be opposed to those of the official Currency (e.g. Euro) (cf. Figure 1). The choice of LCC over other modes of resistance (e.g. boycott, compromise, avoid using money, defy or manipulate) is driven by the desire of those citizens to dispute what they perceive to be among the most symbolic and material incarnations of the social-material arrangements of a country: its money (Zelizer, 1994). Underlying the creation of LCC in Europe is the rejection of an European technocracy and a globalization movement judged to be detrimental to the citizens. The LCC movement searches to change the collective representations of wealth and how the society values it. However, this transformation is not easy to achieve since LCC face various difficulties, from the involvement of their members or the inability of organizations to reinject the LCC into the local economic ecosystem to the legal obstacles implemented by the States for preventing such development. When faced with such challenges, the question is: How can a local and complementary Currency transform the social meaning of money? By exploring such issue, we enrich the sociology of valuation by investigating the mechanisms through which the valuation infrastructure of money is transformed towards the integration of a plurality of values (Barman, 2015; Geiger et al., 2014; Helgesson & Muniesa, 2013). We also contribute to the sociology of money by studying the transformation of money into an “object of desire” (Yuran, 2014), not for what it could bring to the individuals who possess it but for the Alternative project of society it embodies (Zelizer, 1989). By joining the sociology of valuation to the sociology of money, we contribute to the understanding of the relationships between morals, money and the valuation processes attached to a Currency. Research methods include 18 months of participative observation of a French LCC ‘Sol Violette’ (SV) together with (pending) interviews with the members of the LCC and external stakeholders and documentary evidence (all archives and email exchanges from the start of the movement to 2016). Secondary public data such as the annual reports and the monthly newsletter from the SV were also collected. SV is both a revelatory case, in the sense that local and complementary currencies have not yet been studied in the accounting and organizational literature, and a representative case study (Yin, 2009) in the sense that the SV is both an early LCC and the model of the majority of existing local currencies in France today, and the third most important in the French context in terms of circulation.
Peter North - One of the best experts on this subject based on the ideXlab platform.
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Alternative Currency movements as a challenge to globalisation a case study of manchester s local Currency networks
2013Co-Authors: Peter NorthAbstract:Over the past 15 years, local money networks, which are essentially trading networks using a community-created Currency, have emerged in countries as far apart as Argentina, Australia and New Zealand, Canada and the US, continental Europe and Japan. They range from Local Exchange Trading Schemes (UK), to Time Dollars (US), Green Dollars (New Zealand, Australia and Canada), Trading Circles (Hungary), Barter Networks (Argentina) and Talents (Germany). Drawing on an ethnographic case study of Alternative Currency movements in Manchester, UK, this book provides an analysis of the motivations, aims, successes and failures of Alternative Currency networks. It also raises questions such as the contribution of the Alternative Currency movement to current debates about Alternatives to neoliberalism. While it is theoretically informed, critical and grounded in fieldwork, it is also sympathetic to the political aims of the protagonists and cognisant of the non-economic benefits that arise from their development.
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chapter 4 Alternative Currency networks as utopian practice
2010Co-Authors: Peter NorthAbstract:Money is not often conceptualised as an object of protest or a tool for constructing Alternative communities, economies and societies. Yet from the original utopian socialists Owen and Proudhon to contemporary Alternative Currency networks people have attempted to construct networks using new forms of subaltern money as a tool for building a more liberated economy and society. This chapter reviews the successes and failures of utopian money networks, arguing that although empirical success is ephemeral, the need to localise economies as a response to dangerous climate change might mean that their long-term future is brighter.
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lets hours and the swiss business ring Alternative Currency systems and business development programmes
Local Economy, 1998Co-Authors: Peter NorthAbstract:(1998). Lets, “hours” and the Swiss “business ring”. Alternative Currency systems and business development programmes. Local Economy: Vol. 13, No. 2, pp. 114-132.
Dianelaure Arjalies - One of the best experts on this subject based on the ideXlab platform.
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money morals and valuation how local and complementary currencies question the global financial system
Social Science Research Network, 2017Co-Authors: Dianelaure Arjalies, Delphine GibassierAbstract:“With the SOL [local and complementary Currency], it’s not about consuming more, but it’s about converting a ‘black’ GDP into a ‘green’ GDP.” (Sol Violette launch meeting, 2009) Our study aims at understanding the processes through which groups of citizens search to fight the global financial system through the creation of new valuation devices, i.e. local and complementary currencies (LCC). An LCC can be defined as “a Currency parallel to the national Currency, issued and managed by the citizens. It aims to restore ‘humanity’ to the territory, and restore meaning that conventional currencies do not incarnate anymore” (SOL document, 2012, according to Philippe Derudder). Although they have long existed, the number of LCC created over the last decade has exploded across the world (over 5000 LCCs worldwide according to Savoie, 2016), and particularly in Europe following the 2008 financial crisis (Lietaer & Kennedy, 2008). Fundamental to this development is the desire of citizens to provide an Alternative Currency that relies on values and an evaluation infrastructure they perceive to be opposed to those of the official Currency (e.g. Euro) (cf. Figure 1). The choice of LCC over other modes of resistance (e.g. boycott, compromise, avoid using money, defy or manipulate) is driven by the desire of those citizens to dispute what they perceive to be among the most symbolic and material incarnations of the social-material arrangements of a country: its money (Zelizer, 1994). Underlying the creation of LCC in Europe is the rejection of an European technocracy and a globalization movement judged to be detrimental to the citizens. The LCC movement searches to change the collective representations of wealth and how the society values it. However, this transformation is not easy to achieve since LCC face various difficulties, from the involvement of their members or the inability of organizations to reinject the LCC into the local economic ecosystem to the legal obstacles implemented by the States for preventing such development. When faced with such challenges, the question is: How can a local and complementary Currency transform the social meaning of money? By exploring such issue, we enrich the sociology of valuation by investigating the mechanisms through which the valuation infrastructure of money is transformed towards the integration of a plurality of values (Barman, 2015; Geiger et al., 2014; Helgesson & Muniesa, 2013). We also contribute to the sociology of money by studying the transformation of money into an “object of desire” (Yuran, 2014), not for what it could bring to the individuals who possess it but for the Alternative project of society it embodies (Zelizer, 1989). By joining the sociology of valuation to the sociology of money, we contribute to the understanding of the relationships between morals, money and the valuation processes attached to a Currency. Research methods include 18 months of participative observation of a French LCC ‘Sol Violette’ (SV) together with (pending) interviews with the members of the LCC and external stakeholders and documentary evidence (all archives and email exchanges from the start of the movement to 2016). Secondary public data such as the annual reports and the monthly newsletter from the SV were also collected. SV is both a revelatory case, in the sense that local and complementary currencies have not yet been studied in the accounting and organizational literature, and a representative case study (Yin, 2009) in the sense that the SV is both an early LCC and the model of the majority of existing local currencies in France today, and the third most important in the French context in terms of circulation.