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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 Wealth-Consumption Ratio
Lustig, Hanno; van Nieuwerburgh, Stijn; Verdelhan, Adrien - C.E.P.R. Discussion Papers - 2012
We derive new estimates of total wealth, the returns on total wealth, and the wealth effect on consumption. We estimate the prices of aggregate risk from bond yields and stock returns using a no-arbitrage model. Using these risk prices, we compute total wealth as the price of a claim to...
Persistent link: https://www.econbiz.de/10011083953
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Why the Link Between Volatility and Growth is Both Positive and Negative
Imbs, Jean - C.E.P.R. Discussion Papers - 2002
I revisit the relationship between growth and volatility in two different disaggregated datasets. I confirm that growth … and volatility are negatively related across countries, but show that the relation reverses itself across sectors. This … aggregate volatility that is common across sectors that correlates negatively with aggregate growth. Furthermore, while …
Persistent link: https://www.econbiz.de/10005792298
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Rare Disasters and Exchange Rates
Farhi, Emmanuel; Gabaix, Xavier - C.E.P.R. Discussion Papers - 2015
an important determinant of risk premia in asset markets. The probability of world disasters as well as each country … markets. The model accounts for a series of major puzzles in exchange rates: excess volatility and exchange rate disconnect …
Persistent link: https://www.econbiz.de/10011145433
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Financial Cycles: What? How? When?
Claessens, Stijn; Kose, Ayhan; Terrones, Marco E - C.E.P.R. Discussion Papers - 2011
This paper provides a comprehensive analysis of financial cycles using a large database covering 21 advanced countries over the period 1960:1-2007:4. Specifically, we analyze cycles in credit, house prices, and equity prices. We report three main results. First, financial cycles tend to be long...
Persistent link: https://www.econbiz.de/10009024925
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Sovereign CDS and Bond Pricing Dynamics in the Euro-area
Palladini, Giorgia; Portes, Richard - C.E.P.R. Discussion Papers - 2011
This analysis tests the price discovery relationship between sovereign CDS premia and bond yield spreads on the same reference entity. The theoretical no-arbitrage relationship between the two credit spreads is confronted with daily data from six Euro-area countries over the period 2004-2011. As...
Persistent link: https://www.econbiz.de/10009365646
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Carry
Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013
, and volatility risks, its performance presents a challenge to asset pricing models. …
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...
Persistent link: https://www.econbiz.de/10011084081
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Home Away From Home? Safe Haven Effects and London House Prices
Badarinza, Cristian; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2013
Historical time-series data is short relative to the frequency of political and economic crises. This makes it difficult to use pure time-series methods to identify the impacts of safe haven demand on asset prices, in the face of confounding effects from a wide range of alternative drivers. We...
Persistent link: https://www.econbiz.de/10011084288
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Competing on Speed
Pagnotta, Emiliano; Philippon, Thomas - C.E.P.R. Discussion Papers - 2012
Two forces have reshaped global securities markets in the last decade: Exchanges operate at much faster speeds and the trading landscape has become more fragmented. In order to analyze the positive and normative implications of these evolutions, we study a framework that captures (i)...
Persistent link: https://www.econbiz.de/10011084319