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Gambling for resurrection in Iceland: the rise and fall of the banks

Baldursson, Fridrik Mar; Portes, Richard - C.E.P.R. Discussion Papers - 2013

liquidity until their collapse. An official report (SIC, 2010) has, however, exposed severe weaknesses in the banks’ assets and … borrowers, while they should have been deleveraging and securing their liquidity positions in foreign currency. The banks also … before the collapse of October 2008 the banks all reported strong liquidity positions. These reports were misleading, but we …

Persistent link: https://www.econbiz.de/10011084274

Carry Trades and Global Foreign Exchange Volatility

Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - C.E.P.R. Discussion Papers - 2011

meaningful risk-return relation in the FX market. Further analysis shows that liquidity risk also matters for expected FX returns …

Persistent link: https://www.econbiz.de/10008867494

Systemic Risk and International Portfolio Choice

Das, Sanjiv Ranjan; Uppal, Raman - C.E.P.R. Discussion Papers - 2002

Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at the same time across countries leading to systemic risk .In this Paper, we evaluate whether systemic risk reduces substantially the gains from international diversification. First, in order to...

Persistent link: https://www.econbiz.de/10005504252

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

Endogenous Realignments and the Sustainability of a Target Zone

Corbae, P Dean; Neely, Christopher J; Weller, Paul - C.E.P.R. Discussion Papers - 1995

We examine the effects of endogenously determined realignment expectations in a model of a target zone with sluggish price adjustment. We allow these expectations to be based on a policy rule which attaches differing weights to output and price stability. We find that for realistic parameter...

Persistent link: https://www.econbiz.de/10005504430

More Evidence on the Dollar Risk Premium in the Foreign Exchange Market

Bams, Dennis; Walkowiak, Kim; Wolff, Christian C - C.E.P.R. Discussion Papers - 2003

In this article, we develop and estimate an econometric panel data model to capture the common dynamics in dollar risk premia in various forward foreign exchange rates. The common component in the dollar risk premia is highly significant and embodies a common pattern of positive serial...

Persistent link: https://www.econbiz.de/10005497706

A Transaction Level Study of the Effects of Central Bank Intervention of Exchange Rates

Payne, Richard; Vitale, Paolo - C.E.P.R. Discussion Papers - 2001

) temporarily reduces market liquidity. …

Persistent link: https://www.econbiz.de/10005497953

International Liquidity and Exchange Rate Dynamics

Gabaix, Xavier; Maggiori, Matteo - C.E.P.R. Discussion Papers - 2014

We provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets. Capital flows drive exchange rates by altering the balance sheets of financiers that bear the risks resulting from international imbalances in the demand for financial assets. Such...

Persistent link: https://www.econbiz.de/10011083240

Forty Years, Thirty Currencies and 21,000 Trading Rules: A Large-scale, Data-Snooping Robust Analysis of Technical Trading in the Foreign Exchange Market

Hsu, Po-Hsuan; Taylor, Mark P - C.E.P.R. Discussion Papers - 2014

We carry out a large-scale investigation of technical trading rules in the foreign exchange market, using daily data over a maximum of forty years for thirty developed and emerging market currencies. Employing a stepwise test to safeguard against data-snooping bias and examining over 21,000...

Persistent link: https://www.econbiz.de/10011083254

Currency Momentum Strategies

Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - C.E.P.R. Discussion Papers - 2012

We provide a broad empirical investigation of momentum strategies in the foreign exchange market. We find a significant cross-sectional spread in excess returns of up to 10% p.a. between past winner and loser currencies. This spread in excess returns is not explained by traditional risk factors,...

Persistent link: https://www.econbiz.de/10011083372