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Volatility spillovers among the U.S. and Asian stock markets : a comparison between the periods of Asian currency crisis and subprime credit crisis
Lien, Da-hsiang Donald; Lee, Geul; Li, Yang; Zhang, Yuyin - In: The North American journal of economics and finance : a … 46 (2018), pp. 187-201
Persistent link: https://www.econbiz.de/10012036617
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Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets
Hui, Cho H.; Lo, Chi-Fai; Chau, Po-Hon - In: The North American journal of economics and finance : a … 44 (2018), pp. 109-128
Persistent link: https://www.econbiz.de/10012036515
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Asymmetry in forward exchange rate bias : a puzzling result
Wu, Yangru - In: Economics letters 50 (1996) 3, pp. 407-411
Persistent link: https://www.econbiz.de/10001197787
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Central bank swap lines
Bahaj, Saleem; Reis, Ricardo - 2018 - First draft: October 2017
Swap lines between advanced-economy central banks are a new important part of the global financial architecture. This paper analyses their monetary policy effects from three perspectives. First, from the perspective of the central banks, it shows that the swap line mimics discount-window credit...
Persistent link: https://www.econbiz.de/10011867130
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Optimal policy under dollar pricing
Egorov, Konstantin; Mukhin, Dmitry - 2020
Recent empirical evidence shows that most international prices are sticky in dollars. This paper studies the optimal policy implications of this fact in the context of an open economy model, allowing for an arbitrary structure of asset markets, general preferences and technologies, time-or...
Persistent link: https://www.econbiz.de/10012213072
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Statements of ECB officials and their effect on the level and volatility of the Euro-Dollar exchange rate
Jansen, David-Jan; Haan, Jakob de - 2003
This paper studies the reaction of the mean and volatility of the euro-dollar exchange rate to statements of ECB … officials during the first years of EMU. We focus on statements on monetary policy and the (potential) strength of the euro. We …. In some cases there are effects of statements on the level of the euro-dollar rate. Efforts to talk up the euro have not …
Persistent link: https://www.econbiz.de/10011507830
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The Euro/Dollar exchange rate : chaotic or non-chaotic?
Federici, Daniela; Gandolfo, Giancarlo - 2011
econometrically estimated in continuous time with Euro/Dollar data and examined for the possible presence of chaotic motion. Our …
Persistent link: https://www.econbiz.de/10009011774
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A model of currency crises with heterogeneous market beliefs
Della Posta, Pompeo - In: The North American journal of economics and finance : a … 45 (2018), pp. 182-195
Persistent link: https://www.econbiz.de/10012117770
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The existence of informationally efficient markets when individuals are rational
Muendler, Marc-Andreas - 2004
A rational-expectations equilibrium with positive demand for financial information does exist under fully revealing asset price - contrary to a wide-held conjecture. Generalizing the common additive signal-return model with CARA utility to the family of distributions with moment generating...
Persistent link: https://www.econbiz.de/10011451345
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Testing efficient market hypothesis for the dollar-sterling gold standard exchange rate 1890 - 1906 : MLE with double truncation
Goldman, Elena - In: Economics letters 69 (2000) 3, pp. 253-259
Persistent link: https://www.econbiz.de/10001525548