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Risk-adjusted covered interest parity : theory and evidence
Wong, Alfred Y.; Leung, David; Ng, Calvin - 2016
Persistent link: https://www.econbiz.de/10012200964
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Is foreign exchange intervention through derivative instruments effective? : an analysis of the Peruvian case
Abanto Salcedo, Flavio - 2024
emphasis on the intervention carried out through derivative instruments. I use two different but related approaches to estimate …
Persistent link: https://www.econbiz.de/10015053909
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The dynamics of foreign exchange derivative use in China
Sun, Yidi; Morley, Bruce - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-18
Chinese firms, following their regulatory changes in the derivative markets. The original contributions to this literature … probability approach. The results suggest the main determinants of derivative use are the overseas trade conducted by these firms … asymmetry and agency problems, potentially due to greater controls on their use in China. …
Persistent link: https://www.econbiz.de/10012622444
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Peso-Dollar forward market analysis : explaining arbitrage opportunities during the financial crisis
Hernández, Juan R. - 2014
Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...
Persistent link: https://www.econbiz.de/10010370903
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Recent Developments in International Currency Derivatives Market : Implications for Poland
Orlowski, Lucjan T. - 2009
investors and speculators in international currency derivative markets …
Persistent link: https://www.econbiz.de/10013156221
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The Information in Long-Maturity Forward Rates : Implications for Exchange Rates and the Forward Premium Anomaly
Boudoukh, Jacob - 2005
The forward premium anomaly is one of the most robust puzzles in financial economics. We recast the underlying parity relation in terms of cross-country differences between forward interest rates rather than spot interest rates with dramatic results. These forward interest rate differentials...
Persistent link: https://www.econbiz.de/10012784029
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The Pricing of FX Forward Contracts : Micro Evidence from Banks' Dollar Hedging
Abbassi, Puriya - 2019
Using transaction-level data on foreign exchange (FX) forward contracts, we document large demand-driven heterogeneity in banks' dollar hedging costs. For identification, we exploit regulatory end-of-quarter reporting that penalizes banks' currency exposure with capital surcharges. Contracts...
Persistent link: https://www.econbiz.de/10012897681
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The Information in Long-Maturity Forward Rates : Implications for Exchange Rates and the Forward Premium Anomaly
Boudoukh, Jacob - 2005
The forward premium anomaly is one of the most robust puzzles in financial economics. We recast the underlying parity relation in terms of cross-country differences between forward interest rates rather than spot interest rates with dramatic results. These forward interest rate differentials...
Persistent link: https://www.econbiz.de/10012466831
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Derivatives and exchange rate hedging strategies in Uruguayan firms
Mello Costa, Miguel - 2017
Persistent link: https://www.econbiz.de/10011924676
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Foreign exchange futures trading and spot market volatility in Thailand
Woradee Jongadsayakul - In: Risks : open access journal 12 (2024) 7, pp. 1-20
This paper investigates how the introduction of foreign exchange futures has an impact on spot volatility and considers the contemporaneous and dynamic relationship between spot volatility and foreign exchange futures trading activity, including trading volume and open interest in the Thailand...
Persistent link: https://www.econbiz.de/10014637194