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EMPIRICAL DISTRIBUTIONS OF FOREIGN EXCHANGE RATES UNDER THE FLOATING EXCHANGE RATE SYSTEM
Mohammed F Khayum,Jong C Rhim,Robert J Hartl People&Global Business Association 1996 Global Business and Finance Review Vol.1 No.1
The shape of foreign exchange probability distributions is important in practical applications of theoretical models of international finance. This paper extends previous analyses of the shape of exchange rate distributions by considering a wider range of candidate processes. The results indicate that the logistic distribution provides the best representation of currency returns for four major currencies (the German mark, Japanese yen, Canadian dollar and British pound) against the U. S. dollar between January 1973 and July 1995. These results are significant because they show that in spite of the apparent increase in exchange rate variability during the 1980s and 1990s there has been a stable underlying distribution for major currencies.
Mohammed F Khayum,Jong C Rhim,David J Kim People&Global Business Association 1999 Global Business and Finance Review Vol.4 No.1
This paper investigates the forecasting performance of three exchange rate models over the period 1973:Q4 - 1997:Q4. The 1973:Q4 - 1987:Q4 sub-period was used to estimate the models for the Canadian Dollar, British Pound, German Mark and Japanese Yen and the parameter estimates were then used to generate out-of-sample forecasts for the 1988:Q4 - 1997:Q4 period. Based on the differences between actual and predicted results and whether predicted results were directionally accurate the findings indicate that an econometric model based on economic fundamentals tended to outperform market-based spot and forward rate models. However, composite forecasts representing weighted averages of the three individual model forecasts outperformed even the econometric model particularly in the out-of-sample forecasts.
EMPIICAL DISTRIBUTIONS OF FOREIGN EXCHANGE RATES UNDER THE FLOATING EXCHANGE RATE SYSTEM
Mohammed F. Khayum,Jong C. Rhim,Robert J. Hartl 사람과세계경영학회 1996 Global Business and Finance Review Vol.1 No.1
The shape offoreign exchange probability distributions is important in practical applications oftheoretical models ofinternationalfinance. This paper extends previous analyses ofthe shape ofexchange rate distributions by considering a wider range ofcandidate processes. The results indicate that the logistic distribution provides the best representation ofcurrency returnsforfour major currencies (the German mark, Japanese yen, Canadian dollar and British pound) against the U. S. dollar between January 1973 and July 1995. These results are significant because they show that in spite ofthe apparent increase in exchange rate variability during the 1980s and J990s there has been a stable underlying distribution for major currencies.
CONTAGION EFFECTS OF THE ASIAN FINANCIAL CRISIS: REGIONAL OR GLOBAL IN SCOPE?
Mohammed F Khayum,Jong C Rhim,Krishnan Ramaya People&Global Business Association 2003 Global Business and Finance Review Vol.8 No.1
This paper examines the time-dependence of stock market return correlations. The increased frequency of financial crises (currency. banking, equity markets) and the experience of regional waves (ERM, Latin America. Asian) in such crises has focused attention on the phenomenon of contagion, whereby a crisis in one country leads to crises in other, geographically connected countries. Correlations represent one of the ways to determine the degree of linkage across national equity markets. This paper examines the characteristics of the Asian financial crisis from the behavior of stock prices in eight countries. Patterns in the co movements of stock prices are examined before, during and after the period of financial turmoil in eight Asian economies. The findings based on correlation and vector autoregression analyses are consistent with contagion effects among the selected equity markets. A measure of market integration calculated over the pre-crisis, crisis, and post-crisis periods suggests that five of the eight equity markets became more integrated in the global financial market context notwithstanding the turmoil surrounding the Asian financial crisis.
The Future of Finance and Financial Economics
Mohammed F. Khayum 사람과세계경영학회 2009 Global Business and Finance Review Vol.14 No.1
The last eighteen months have witnessed extraordinary financial market disruptions, a contagion of bank failures or near failures, an unprecedented loss of confidence in the global financial system, and wide-ranging strategies by governments of major economies to unlock credit markets and restore confidence in their respective banking systems. Relative unpreparedness for the disruptions triggered by the subprime mort- gage crisis originating in the Unites States in 2007 has prompted serious questioning of the focus and usefulness of academic finance and the lack of transparency in some components of the global financial system. This article provides an overview of major questions that have surfaced and the issues that are likely to be areas of focus for years to come.
Jong C Rhim,Mohammed F Khayum,Jungyu Kang 사람과세계경영학회 1997 Global Business and Finance Review Vol.2 No.1
This paper investigates the dynamic relationship between actual and PPP exchange rates involving five currencies of Pacific-Rim countries over the period 1973: 1Q-J994:4Q. The result of cointegration analysis indicate no long-run relationships between actual and PPP exchange rates. The vector autoregressive framework is used to show that both real and monetary shocks influence deviations from the PPP exchange rates. However, except for the New Zealand dollar neither real nor monetary shocks can adequately explain the deviations from PPP for three other currencies. A major implication for multinational businesses is that exchange rate exposure will require innovative internal accounting and organizational practices to deal with related budgeting problems.