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Beyond Balassa - Samuelson: real appreciation in tradables in transtion countries
Cincibuch, Martin ; Podpiera, Jiří
Using the simple arbitrage model, writers of this work decompose real appreciation in tradables in three Central European countries between the pricing-to-market component (disparity) and the local relative price component (substitution ratio). Appreciation is only partially explained by local relative prices. The rest is absorbed by disparity, depending on the size of the no-arbitrage band. The observed disparity fluctuates in a wider band for differentiated products than for a commodity like goods.
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Interpretation of czech FX options
Cincibuch, Martin ; Bouc, Pavel
This report describes the Czech koruna option market and explores the behaviour of option prices during three eventful periods of the history of the Czech koruna. It points out their forward-looking nature and also shows how implied risk neutral distribution might be used for monitoring and interpretation of market sentiment.
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