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Engel, Charles - National Bureau of Economic Research (NBER) - 2013

This paper surveys recent theoretical and empirical contributions on foreign exchange rate determination. The paper first considers monetary models under uncovered interest parity and rational expectations. Then the paper considers deviations from UIP/rational expectations: foreign exchange risk...

Persistent link: https://www.econbiz.de/10010692197

Commodity Trade and the Carry Trade: a Tale of Two Countries

Ready, Robert; Roussanov, Nikolai; Ward, Colin - National Bureau of Economic Research (NBER) - 2013

Persistent differences in interest rates across countries account for much of the profitability of currency carry trade strategies. "Commodity currencies'' tend to have high interest rates while low interest rate currencies belong to exporters of finished goods. This pattern arises in a...

Persistent link: https://www.econbiz.de/10010692229

Are changes in foreign exchange reserves a good proxy for official intervention?

Suardi, Sandy; Chang, Yuanchen - In: Journal of International Financial Markets, … 22 (2012) 4, pp. 678-695

Little is known about the adequacy of changes in reserves as a proxy for intervention despite its use in computing exchange market pressure index. This paper demonstrates the co-movement between monthly reserves changes and intervention is governed by intervention amount, the frequency of the...

Persistent link: https://www.econbiz.de/10010702768

Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region

Eissa, Mohamed Abdelaziz; Chortareas, Georgios; … - In: Journal of Emerging Market Finance 9 (2010) 3, pp. 257-284

In this article, we examine the presence of volatility spillovers between nominal exchange rates and stock returns in …-market effects for the general stock indices returns. Nevertheless, bidirectional shock and volatility spillovers between exchange …

Persistent link: https://www.econbiz.de/10010772758

Does high frequency trading affect technical analysis and market efficiency? And if so, how?

Manahov, Viktor; Hudson, Robert; Gebka, Bartosz - In: Journal of International Financial Markets, … 28 (2014) C, pp. 131-157

In this paper we investigate how high frequency trading affects technical analysis and market efficiency in the foreign exchange (FX) market by using a special adaptive form of the Strongly Typed Genetic Programming (STGP)-based learning algorithm. We use this approach for real one-minute high...

Persistent link: https://www.econbiz.de/10010729417

Persistent exchange-rate movements and stock returns

Du, Ding - In: Journal of International Financial Markets, … 28 (2014) C, pp. 36-53

We hypothesize that persistent exchange-rate movements are a distress risk and a state variable in the Merton (1973) sense. To test our hypothesis, we use the tracking portfolio approach of Lamont (2001) to capture news about future persistent exchange-rate movements. We find empirical evidence...

Persistent link: https://www.econbiz.de/10010729418

Are stock markets in Asia related to carry trade?

Fung, Hung-Gay; Tse, Yiuman; Zhao, Lin - In: Pacific-Basin Finance Journal 25 (2013) C, pp. 200-216

January 1995 to December 2011, and evaluates volatility spillover for the Japanese, Australian, Indian and Korean stock … still persist after the crisis period. Second, there is bidirectional volatility spillover effect between the currency carry …

Persistent link: https://www.econbiz.de/10010729586

The valuation of European call options on zero-coupon bonds in the run-up to a fixed exchange-rate regime

Reher, Gerrit; Wilfling, Bernd - In: International Review of Economics & Finance 29 (2014) C, pp. 483-496

We analyze the dynamics of zero-coupon bond options in a situation in which the currently floating exchange rate between two countries' currencies is announced to be fixed on a given future date. To this end, we combine two strands of research that have been treated as separate issues up to...

Persistent link: https://www.econbiz.de/10010729763

Smiles all around: FX joint calibration in a multi-Heston model

De Col, Alvise; Gnoatto, Alessandro; Grasselli, Martino - In: Journal of Banking & Finance 37 (2013) 10, pp. 3799-3818

We introduce a novel multi-factor Heston-based stochastic volatility model, which is able to reproduce consistently …

Persistent link: https://www.econbiz.de/10010738267

Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?

Beckmann, Joscha; Czudaj, Robert - In: Energy Economics 40 (2013) C, pp. 665-678

Although the link between oil prices and dollar exchange rates has been frequently analyzed, a clear distinction between prices and nominal exchange rate dynamics and a clarification of the issue of causality has not been provided. In addition, previous studies have mostly neglected...

Persistent link: https://www.econbiz.de/10010868790