Econometric policy evaluation: A critique

Interest and Prices: Foundations of a Theory of Monetary Policy

"A Rational Expectations Approach to Macroeconometrics" pursues a rational expectations approach to the estimation of a class of models widely discussed in the macroeconomics and finance literature: those which emphasize the effects from unanticipated, rather than anticipated, movements in variables. In this volume, Fredrick S. Mishkin first theoretically develops and discusses a unified econometric treatment of these models and then shows how to estimate them with an annotated computer program.

Introduction to "A Rational Expectations Approach to Macroeconometrics: Testing Policy Ineffectiveness and Efficient-Markets Models"

A Rational Expectations Approach to Macroeconometrics pursues a rational expectations approach to the estimation of a class of models widely discussed in the macroeconomics and finance literature: those which emphasize the effects from unanticipated, rather than anticipated, movements in variables In this volume, Fredrick S Mishkin first theoretically develops and discusses a unified econometric treatment of these models and then shows how to estimate them with an annotated computer program

A Rational Expectations Approach to Macroeconometrics

This paper presents results from an in-depth analysis of the foreign exchange rate exposure of a large nonfinancial firm based on proprietary internal data including cash flows, derivatives and foreign currency debt, as well as external capital market data. While the operations of the multinational firm have significant exposure to foreign exchange rate risk due to foreign currency-based activities and international competition, corporate hedging mitigates this gross exposure. The analysis illustrates that the insignificance of foreign exchange rate exposures of comprehensive performance measures such as total cash flow can be explained by hedging at the firm level. Thus, the residual net exposure is economically and statistically small, even if the operating cash flows of the firm are significantly exposed to exchange rate risk. The results of the paper suggest that managers of nonfinancial firms with operations exposed to foreign exchange rate risk take savvy actions to reduce exposure to a level too low to allow its detection empirically.

What Lies Beneath: Foreign Exchange Rate Exposure, Hedging and Cash Flows

The main aim of this article is to investigate the foreign exchange exposure in international transactions and how it affects profitability and the market value of firms. The present study analyses the transaction cost associated with these transactions which is part of a more extended research using a questionary sent to multinational companies included in the Forbes 500. Results are consistent with other studies supporting the hypothesis that foreign exposure is a main problem in international business and it must be treated in a unique way by IAS.

https://www.um.edu.mt/library/oar/bitstream/123456789/43723/1/MNC_Transactions%20_Foreign_Exchange_Exposure_2018.pdf

MNC Transactions Foreign Exchange Exposure: An Application

Interest rate risk, labor supply and unemployment

Purpose: The objective of this paper is to determine the movements (long-term trend) of the exchange rate by forecasting the rate of return and risk (return to variability ratio, RVR) that financial assets have in two economies and for four different investments. Design/Methodology/Approach: Risk averse speculators will try to maximize their return and minimize their risk by investing domestically or abroad, but these capital flows will affect the value of the two currencies (their exchange rate). Findings: The empirical results show that before 2001 the return in the U.S. was high and the dollar was appreciated; after 2001, the same return became negative and the dollar was depreciated, but after 2004 the returns have growing positively for the U.S., and the returns for the Euro-zone are falling. Practical Implications: We can say that the dollar may appreciate with respect to euro, except if we will have any other domestic or external shocks on the two economies. Still the results of this analysis are not very conclusive. Originality/value: International investors are investing in countries with higher return and lower risk. This increase in demand for these assets, increases the demand for currency in that country and its currency is appreciated.

/pdf/financial-assets-expected-return-and-risk-speculation-2p9ykigd5w.pdf

Financial Assets, Expected Return and Risk, Speculation, Uncertainty, and Exchange Rate Determination

In this paper, we try to measure the degree of efficiency in the foreign exchange market by using four exchange rates ($/â¬, $/Â£, C$/$, and Â¥/$). Different theoretical models are applied, like the random walk hypothesis, the unbiased forward rate hypothesis, the composite efficiency hypothesis, the semi-strong market efficiency, and the exchange rate expectations based on anticipated and unanticipated events ("News"). If exchange rate efficiency does not hold, a risk premium must exist and can be measured. Also, the determination of this exchange risk premium is taking place by using a GARCH (p, q) model. The empirical results for these four major exchange rates (five currencies) show that relative efficiency exists, but there are significant risk premia for some exchange rates used, here

/pdf/how-efficient-is-the-foreign-exchange-market-400985jksi.pdf

How Efficient is the Foreign Exchange Market

The objective of this paper is to present and discuss the pros and cons of an imposed privatization (transferring the ownership and management of state-owned enterprises to private firms) in Greece and its effect on the economy, financial markets, employment, national wealth, and social welfare. Moderate privatization, under normal conditions, might increase efficiency, productivity, and liquidity in the financial markets, if the country is not in financial distress and depression; at the same time, however, it causes enormous unemployment, dependency on foreign capital and multinational firms, and, worst of all, the loss of its national wealth and the decline of social welfare. Governments have to increase productivity and efficiency of the public sector and keep the state-owned enterprises, which provide national security, safety, and other public services, as public ones. Nationalization has proved, recently with the current financial crisis, created by the uncontrolled private firms (financial institutions), that it can improve stability and preserve jobs. The European integration with its strange Maastricht criteria, the common overvalued euro for 10 years, the recent debt crises, and the austerity measures by Troika have created an enormous social cost to the member-nations (mainly in Greece), and the benefits from this union are too small to cover its cost; especially irreplaceable are, the loss of public policy for the members and the destruction of the sovereign nations. The optimal level of privatization is the one that maximizes the social welfare (at the point, where the marginal benefits of privatization are equal to the marginal cost of socio-economic distress) and does not eliminate the wealth of the nation.Keywords: Economic Welfare, Economic Integration, International Financial Markets, Governmental Property, Unemployment, Public EnterprisesJEL Codes: D6, F15, G15, H82, J64, L32(ProQuest: ... denotes formulae omitted.)History of Privatization in GreeceThe history of privatization dates from Ancient Greece, when governments contracted out many public services to the private sector (wealthy citizens). In the Roman Empire private individuals and companies performed the majority of services including tax collection (tax farming),1 army supplies (military contractors),2 religious sacrifices, and construction. The same proceedings continued in the Byzantine (Hellenic Medieval) Empire. However, the Roman Empire had also created state-owned enterprises (SOEs); for example, much of the grain was eventually produced on estates owned by the Emperor. Some scholars suggested that the cost of bureaucracy was one of the reasons for the fall of the Roman Empire. In Britain, the privatization of common lands was referred to as enclosure (in Scotland as the Lowland Clearances and the Highland Clearances; in Greek: perifraxis). Significant privatizations of this nature occurred from 1760 to 1820, coincidental with the industrial revolution in that country.Unfortunately, during the last 30 years, privatization has become the only trend, even though that has been economically and politically disruptive. "More than 80 countries have launched ambitious efforts to privatize their state-owned enterprises. Since 1980, more than 2,000 state-owned enterprises (SOEs) have been privatized in developing countries, 6,800 worldwide."3 The total value of world-wide privatizations exceeded $185 billion by 1990 and the privatizations only in Europe and Central Asia between 1990 and 2006 exceeded $207 billion.4 Governments, especially those in Euro-zone that are in debt crises, want revenue, and they are forced to sell any assets that the country had accumulated. However, there is another reason, in some cases, public workers acting unethically have reduced their productivity close to zero. This sale-off tension is a short-term objective of most privatization programs to generate some revenue collection for the current government because private businesses do not pay taxes5 and the pressure from the EMU and IMF (Troika) to reduce budget deficits and subsidies is unbearable. …

Ioannis N. Kallianiotis

Papers

MNC Transactions Foreign Exchange Exposure: An Application

Interest rate risk, labor supply and unemployment

Financial Assets, Expected Return and Risk, Speculation, Uncertainty, and Exchange Rate Determination

How Efficient is the Foreign Exchange Market

Privatization in Greece and Its Negative Effects on the Nation's Social Welfare (Expropriation of the National Wealth)