The Experts below are selected from a list of 312 Experts worldwide ranked by ideXlab platform
Jose Manuel Campa - One of the best experts on this subject based on the ideXlab platform.
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Arbitrage-Based Tests of Target Zone Credibility: Evidence From ERM Cross-Rate Options
1998Co-Authors: Jose Manuel Campa, P. H. Kevin ChangAbstract:This paper introduces two arbitrage-based tests of target zone credibility using a new data source, ERM cross-rate options. We use daily option prices from September 1991 to August 1994 to assess the credibility of the pound-mark and mark-lira target zones that collapsed September 1992, and the ongoing mark-French Franc target zone. These tests are based on restrictions that must apply to all option prices within a credible target zone. Since they rely only on arbitrage, our tests have the advantages of being free from specification error and estimation error. Our approach enables us to identify a minimum "intensity of realignment," an expression indicating the probability-weighted average realignment size. We also show that current option prices are consistent with considerably narrower mark-Franc bands than the current 15%.
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ERM Realignment Risk and its Economic Determinants as Reflected in Cross‐rate Options
The Economic Journal, 1998Co-Authors: Jose Manuel Campa, P. H. Kevin ChangAbstract:This paper uses data on over-the-counter options between the mark and the pound, lira, French Franc, and peseta to investigate the credibility of exchange rate target zones within the ERM. We compare empirical implications for the relation between option prices and the spot's position within the band for three classes of target zone models: those with full credibility, those with exogenous realignment risk, and those with endogenous realignment risk. Empirically, implied volatility from these options attains a maximum near the edges of an exchange rate band rather than its centre, even three to six months prior to realignment.
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arbitrage based tests of target zone credibility evidence from erm cross rate options
The American Economic Review, 1996Co-Authors: Jose Manuel Campa, P Kevin H ChangAbstract:This paper introduces two arbitrage-based tests of target-zone credibility using a new data source, exchange-rate mechanism cross-rate options. Using daily option prices from September 1991 to August 1994, the authors assess the credibility of the pound-mark and mark-lira target zones that collapsed in September 1992 and the ongoing mark-French Franc target zone. These tests are based on restrictions that must apply to all option prices within a credible target zone and are free from specification error and estimation error. The authors also identify a minimum 'intensity of realignment,' an expression indicating the probability-weighted average realignment size. Copyright 1996 by American Economic Association.
P Kevin H Chang - One of the best experts on this subject based on the ideXlab platform.
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arbitrage based tests of target zone credibility evidence from erm cross rate options
The American Economic Review, 1996Co-Authors: Jose Manuel Campa, P Kevin H ChangAbstract:This paper introduces two arbitrage-based tests of target-zone credibility using a new data source, exchange-rate mechanism cross-rate options. Using daily option prices from September 1991 to August 1994, the authors assess the credibility of the pound-mark and mark-lira target zones that collapsed in September 1992 and the ongoing mark-French Franc target zone. These tests are based on restrictions that must apply to all option prices within a credible target zone and are free from specification error and estimation error. The authors also identify a minimum 'intensity of realignment,' an expression indicating the probability-weighted average realignment size. Copyright 1996 by American Economic Association.
P. H. Kevin Chang - One of the best experts on this subject based on the ideXlab platform.
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Arbitrage-Based Tests of Target Zone Credibility: Evidence From ERM Cross-Rate Options
1998Co-Authors: Jose Manuel Campa, P. H. Kevin ChangAbstract:This paper introduces two arbitrage-based tests of target zone credibility using a new data source, ERM cross-rate options. We use daily option prices from September 1991 to August 1994 to assess the credibility of the pound-mark and mark-lira target zones that collapsed September 1992, and the ongoing mark-French Franc target zone. These tests are based on restrictions that must apply to all option prices within a credible target zone. Since they rely only on arbitrage, our tests have the advantages of being free from specification error and estimation error. Our approach enables us to identify a minimum "intensity of realignment," an expression indicating the probability-weighted average realignment size. We also show that current option prices are consistent with considerably narrower mark-Franc bands than the current 15%.
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ERM Realignment Risk and its Economic Determinants as Reflected in Cross‐rate Options
The Economic Journal, 1998Co-Authors: Jose Manuel Campa, P. H. Kevin ChangAbstract:This paper uses data on over-the-counter options between the mark and the pound, lira, French Franc, and peseta to investigate the credibility of exchange rate target zones within the ERM. We compare empirical implications for the relation between option prices and the spot's position within the band for three classes of target zone models: those with full credibility, those with exogenous realignment risk, and those with endogenous realignment risk. Empirically, implied volatility from these options attains a maximum near the edges of an exchange rate band rather than its centre, even three to six months prior to realignment.
Oscar Kuikeu - One of the best experts on this subject based on the ideXlab platform.
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Pertinence de la dévaluation du Franc CFA de janvier 1994 : une évaluation par le taux de change réel d'équilibre. Cas de l'économie camerounaise
2012Co-Authors: Jamal Bouoiyour, Oscar KuikeuAbstract:A partir d’une estimation, du degré de distorsion du taux de change réel de l’économie camerounaise, sur la période 1980 – 2001 en données annuelles, nous jugerons de la pertinence de la décision du 11 janvier 1994, de dévaluer de 50% le Franc CFA (Fcfa) par rapport au Franc Français (FF). Nos résultats semblent confirmer l’idée aujourd’hui bien établie dans la littérature, d’un Fcfa globalement surévalué au cours de la période ayant précédée l’ajustement monétaire. In this paper, we estimate, over the period 1980 – 2001, in annual data, the size of distortion (misalignment), of Cameroon’s real exchange rate. This, in the goal to judge relevance of the decision of January 11, 1994, to devaluate of 50% Franc CFA (Fcfa) compared to the French Franc (FF). Our results seem to confirm the idea established well today in the literature, of Fcfa overall overvalued during the period having preceded the devaluation.
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Pertinence de la dévaluation du Franc CFA de janvier 1994 : Une évaluation par le taux de change réel d’équilibre. Cas de l’économie camerounaise [Relevance of the CFA France devaluation in January 1994: An evaluation by the real exchange rate equili
2007Co-Authors: Jamal Bouoiyour, Oscar KuikeuAbstract:In this paper, we estimate, over the period 1980 – 2001, in annual data, the size of distortion (misalignment), of Cameroon’s real exchange rate. This, in the goal to judge relevance of the decision of January 11, 1994, to devaluate of 50% Franc CFA (Fcfa) compared to the French Franc (FF). Our results seem to confirm the idea established well today in the literature, of Fcfa overall overvalued during the period having preceded the devaluation.
Leonardo Rocha Souza - One of the best experts on this subject based on the ideXlab platform.
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Spectral properties of temporally aggregated long memory processes
2003Co-Authors: Leonardo Rocha SouzaAbstract:This paper derives the spectral density function of aggregated long memory processes in light of the aliasing effect. The results are different from previous analyses in the literature and a small simulation exercise provides evidence in our favour. The main result point to that flow aggregates from long memory processes shall be less biased than stock ones, although both retain the degree of long memory. This result is illustrated with the daily US Dollar/ French Franc exchange rate series. JEL classification: C14, C22, C43
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Temporal aggregation and bandwidth selection in estimating long memory
Research Papers in Economics, 2003Co-Authors: Leonardo Rocha SouzaAbstract:This paper reinterprets results of Ohanissian et al (2003) to show the asymptotic equivalence of temporally aggregating series and using less bandwidth in estimating long memory by Geweke and Porter-Hudak’s (1983) estimator, provided that the same number of periodogram ordinates is used in both cases. This equivalence is in the sense that their joint distribution is asymptotically normal with common mean and variance and unity correlation. Furthermore, I prove that the same applies to the estimator of Robinson (1995). Monte Carlo simulations show that this asymptotic equivalence is a good approximation in finite samples. Moreover, a real example with the daily US Dollar/French Franc exchange rate series is provided.
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The aliasing effect, the Fejer Kernel and temporally aggregated long memory processes
Research Papers in Economics, 2003Co-Authors: Leonardo Rocha SouzaAbstract:This paper derives the spectral density function of aggregated long memory processes in light of the aliasing effect. The results are different from previous analyses in the literature and a small simulation exercise provides evidence in our favour. The main result point to that flow aggregates from long memory processes shall be less biased than stock ones, although both retain the degree of long memory. This result is illustrated with the daily US Dollar/ French Franc exchange rate series.