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Volatility Risk Premia and Exchange Rate Predictability

Della Corte, Pasquale; Ramadorai, Tarun; Sarno, Lucio - C.E.P.R. Discussion Papers - 2013

We investigate the predictive information content in foreign exchange volatility risk premia for exchange rate returns …. The volatility risk premium is the difference between realized volatility and a model-free measure of expected volatility … that is derived from currency options, and reflects the cost of insurance against volatility ‡fluctuations in the …

Persistent link: https://www.econbiz.de/10011084715

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

event study analysis we find that intervention has important short-run effects on exchange ate returns and volatility. In …

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

One Money, One Market: Estimating the Effect of Common Currencies on Trade

Rose, Andrew K - C.E.P.R. Discussion Papers - 1999

A gravity model is used to assess the separate effects of exchange rate volatility and currency unions on international … exchange rate volatility, even after controlling for a host of features, including the endogenous nature of the exchange rate …

Persistent link: https://www.econbiz.de/10005666776

The Scapegoat Theory of Exchange Rates: The First Tests

Fratzscher, Marcel; Sarno, Lucio; Zinna, Gabriele - C.E.P.R. Discussion Papers - 2012

This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011), as an attempt to evaluate its potential for explaining the poor empirical performance of traditional exchange rate models. This theory suggests that market participants may at...

Persistent link: https://www.econbiz.de/10011084052

Exchange Rate Forecasting, Order Flow and Macroeconomic Information

Rime, Dagfinn; Sarno, Lucio; Sojli, Elvira - C.E.P.R. Discussion Papers - 2009

This paper adds to the research efforts that aim to bridge the divide between macro and micro approaches to exchange rate economics by examining the linkages between exchange rate movements, order flow and expectations of macroeconomic variables. The basic hypothesis tested is that if order flow...

Persistent link: https://www.econbiz.de/10004972168

Persistence, Performance and Prices in Foreign Exchange Markets

Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2006

Using detailed data on currency transactions of institutional investors, this paper shows that funds that experience high returns on their currency holdings also execute currency trades at more favourable prices. This observation is consistent with foreign exchange dealers bidding for...

Persistent link: https://www.econbiz.de/10005788969

Marketwide Private Information in Stocks: Forecasting Currency Returns

Albuquerque, Rui; de Francisco, Eva; Marques, Luis - C.E.P.R. Discussion Papers - 2006

We present a model of equity trading with informed and uninformed investors where informed investors act upon firm-specific private information and marketwide private information. The model is used to structurally identify the component of order flow that is due to marketwide private...

Persistent link: https://www.econbiz.de/10005791258

An Empirical Study of Liquidity and Information Effects of Order Flow on Exchange Rates

Breedon, Francis; Vitale, Paolo - C.E.P.R. Discussion Papers - 2004

We propose a simple structural model of exchange rate determination that draws from the analytical framework recently proposed by Bacchetta and van Wincoop (2003) and allows us to disentangle the liquidity and information effects of order flow on exchange rates. We estimate this model employing...

Persistent link: https://www.econbiz.de/10005791428

Trading European Sovereign Bonds: The Microstructure of the MTS Trading Platforms

Cheung, Yiu Chung; de Jong, Frank; Rindi, Barbara - C.E.P.R. Discussion Papers - 2004

We study the microstructure of the MTS Global Market bond trading system. This system is the largest pan-European interdealer trading system for Eurozone government bonds. We study the volume weighted quoted spread and a variety of effective spread measures for different classes of bond...

Persistent link: https://www.econbiz.de/10005791526

A Guided Tour of the Market Microstructure Approach to Exchange Rate Determination

Vitale, Paolo - C.E.P.R. Discussion Papers - 2004

We propose a critical review of recent developments in exchange rate economics. This new strand of research is motivated by some very stark empirical evidence, relating exchange rate returns to order flow. Plenty of empirical evidence shows that order flow, i.e. the imbalance in the sequence of...

Persistent link: https://www.econbiz.de/10005791898

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