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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 … FX volatility and thus deliver low returns in times of unexpected high volatility, when low interest rate currencies … provide a hedge by yielding positive returns. Our proxy for global FX volatility risk captures more than 90% of the cross …
Persistent link: https://www.econbiz.de/10008867494
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The Use of Flow Analysis in Foreign Exchange: Explanatory Analysis
Gehrig, Thomas; Menkhoff, Lukas - C.E.P.R. Discussion Papers - 2002
This Paper provides questionnaire evidence on the role of flow analysis for professional traders and fund managers. This evidence suggests that besides fundamental information and technical analysis, the analysis of flows provides an independent third type of information for professionals. The...
Persistent link: https://www.econbiz.de/10005666449
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Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis
Rose, Andrew K; Spiegel, Mark - C.E.P.R. Discussion Papers - 2011
While the global financial crisis was centered in the United States, it led to a surprising appreciation in the dollar, suggesting global dollar illiquidity. In response, the Federal Reserve partnered with other central banks to inject dollars into the international financial system. Empirical...
Persistent link: https://www.econbiz.de/10009293988
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The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself
Jordà, Òscar; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2009
strategies. When we do so, some questions are resolved: negative skewness is purged, and market volatility (VIX) is uncorrelated …
Persistent link: https://www.econbiz.de/10008491718
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Learning and Complementarities: Implications for Speculative Attacks
Goldstein, Itay; Ozdenoren, Emre; Yuan, Kathy - C.E.P.R. Discussion Papers - 2010
large currency attacks and introducing non-fundamental volatility into exchange rates and policy decisions. We show that the …
Persistent link: https://www.econbiz.de/10008468601
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Macroeconomic Policy During a Transition to Monetary Union
Buiter, Willem H. - C.E.P.R. Discussion Papers - 1995
The main conclusions of this paper are the following. In order to minimize switching costs, the name of the new EU currency should be the Deutschmark. Differential national requirements for seigniorage revenue provide a weak case for retaining national monetary independence. From the point of...
Persistent link: https://www.econbiz.de/10005123870
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On the Fundamentals of Self-Fulfilling Speculative Attacks
Burnside, Craig; Eichenbaum, Martin; Rebelo, Sérgio - C.E.P.R. Discussion Papers - 2000
This paper proposes a theory of twin banking-currency crises in which both fundamentals and self-fulfilling beliefs play crucial roles. Fundamentals determine whether crises will occur. Self-fulfilling beliefs determine when they occur. The fundamental that causes ‘twin crises’ is government...
Persistent link: https://www.econbiz.de/10005123877
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Explaining Forward Exchange Bias .... Intra-day
Lyons, Richard K; Rose, Andrew K - C.E.P.R. Discussion Papers - 1994
Intra-day interest rates are zero. Consequently, a foreign exchange dealer can short a vulnerable currency in the morning, close this position in the afternoon, and never face an interest cost. This tactic might seem especially attractive in times of crisis, since it suggests an immunity to the...
Persistent link: https://www.econbiz.de/10005124023
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Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities
Jondeau, Eric; Rockinger, Michael - C.E.P.R. Discussion Papers - 1998
's stochastic volatility model. We apply those models on FF/DM OTC exchange rate options for various dates ranging between May 1996 …
Persistent link: https://www.econbiz.de/10005124117
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Arbitrage in the Foreign Exchange Market: Turning on the Microscope
Akram, Farooq; Rime, Dagfinn; Sarno, Lucio - C.E.P.R. Discussion Papers - 2008
This paper provides real-time evidence on the frequency, size, duration and economic significance of arbitrage opportunities in the foreign exchange market. We investigate deviations from the covered interest rate parity (CIP) condition using a unique data set for three major capital and foreign...
Persistent link: https://www.econbiz.de/10005124143