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Does FOMC News Increase Global FX Trading?
Fischer, Andreas M; Ranaldo, Angelo - C.E.P.R. Discussion Papers - 2008
Does global currency volume increase on days when the Federal Open Market Committee (FOMC) meets? To test the … hypothesis of excess currency volume on FOMC days, we use a novel data set from the Continuous Linked Settlement (CLS) Bank. The … that trading volume increases in the order of 5% across currency areas on FOMC days during 2003 to 2007. This result holds …
Persistent link: https://www.econbiz.de/10005136771
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Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change
Hau, Harald; Massa, Massimo; Peress, Joël - C.E.P.R. Discussion Papers - 2005
Do exchange rates react to exogenous capital movements? We explore this issue based on the redefinition of the MSCI international equity indices announced on 10 December 2000 and implemented in two steps on 30 November 2001 and 31 May 2002. The index changes implied major changes in the...
Persistent link: https://www.econbiz.de/10005497725
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Covered Purchasing Power Parity, Ex-Ante PPP and Risk Aversion
Moore, Michael J - C.E.P.R. Discussion Papers - 1992
The standard expectations augmented theory of ex-ante purchasing power parity (PPP), which was first developed by Roll, assumes that agents are risk neutral. A Covered Purchasing Power Condition is developed which holds for the general case of risk aversion. A risk-augmented form of ex-ante PPP...
Persistent link: https://www.econbiz.de/10005124291
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Sovereign Risk and Return in Global Equity Markets
Bansal, Ravi; Dahlquist, Magnus - C.E.P.R. Discussion Papers - 2001
Standard asset pricing models have difficulty explaining cross-sectional differences in observed equity risk premia of developed and emerging markets. We argue that national equity returns are subject to sample selectivity and peso biases. The lack of credible commitment to keep capital markets...
Persistent link: https://www.econbiz.de/10005067438
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Wealth Transfers, Contagion and Portfolio Constraints
Pavlova, Anna; Rigobon, Roberto - C.E.P.R. Discussion Papers - 2005
This paper examines the co-movement among stock market prices and exchange rates within a three-country Centre-Periphery dynamic equilibrium model in which agents in the Centre country face portfolio constraints. In our model, international transmission occurs through the terms of trade, through...
Persistent link: https://www.econbiz.de/10005504325
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Carry Trades and Global Foreign Exchange Volatility
Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - C.E.P.R. Discussion Papers - 2011
We investigate the relation between global foreign exchange (FX) volatility risk and the cross-section of excess returns arising from popular strategies that borrow in low interest rate currencies and invest in high-interest rate currencies, so-called 'carry trades'. We find that high interest...
Persistent link: https://www.econbiz.de/10008867494
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International Macro-Finance
Pavlova, Anna; Rigobon, Roberto - C.E.P.R. Discussion Papers - 2011
International macro-finance is a new area of open economy macroeconomics that brings portfolio choice and asset pricing considerations into models of international macroeconomics. The importance of these considerations--typically relegated to Finance and largely overlooked in traditional...
Persistent link: https://www.econbiz.de/10008854462
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Currency Momentum Strategies
Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - C.E.P.R. Discussion Papers - 2012
consistent with investor under- and over-reaction. Moreover, cross-sectional currency momentum has very different properties from …, there seem to be very effective limits to arbitrage which prevent momentum returns from being easily exploitable in currency …
Persistent link: https://www.econbiz.de/10011083372
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Carry
Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013
Any security’s expected return can be decomposed into its “carry” and its expected price appreciation, where carry is a model-free characteristic that can be observed in advance. While carry has been studied almost exclusively for currencies, we find that carry predicts returns both in the...
Persistent link: https://www.econbiz.de/10011083673
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Forward and Spot Exchange Rates in a Multi-currency World
Hassan, Tarek; Mano, Rui C. - C.E.P.R. Discussion Papers - 2014
We decompose violations of uncovered interest parity into a cross-currency, a betweentime-and-currency, and a cross …-time component. We show that most of the systematic violations are in the cross-currency dimension. By contrast, we find no … statistically reliable evidence that currency risk premia respond to deviations of forward premia from their time- and currency …
Persistent link: https://www.econbiz.de/10011084081