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Order Flows, Delta Hedging and Exchange Rate Dynamics

Rzepkowski, Bronka - Centre d'études prospectives et d'informations … - 2003

Persistent link: https://www.econbiz.de/10005062843

Exchange Rate Flexibility Across Financial Crises

Coudert, Virginie; Couharde, Cécile; Mignon, Valérie - Centre d'études prospectives et d'informations … - 2010

This paper studies the impact of global financial turmoil on the exchange rate policies in emerging countries. Many emerging countries have loosened the link of their currencies to the US dollar since the bursting of the subprime crisis in July 2007. Spillovers from advanced financial markets to...

Persistent link: https://www.econbiz.de/10008515824

Are Derivatives Dangerous? a Literature Survey

Capelle-Blancard, Gunther - Centre d'études prospectives et d'informations … - 2010

Since the 1970s, the financial system has undergone deep structural changes. Innovation has been a key driver of these changes and most economists acknowledge that the impact has been positive overall. However, each time a financial crisis arises, the debate is on. Derivatives especially, which...

Persistent link: https://www.econbiz.de/10008725877

Pouvoir predictif de la volatilite implicite dans le prix des options de change

Rzepkowski, Bronka - Centre d'études prospectives et d'informations … - 2001

Les marches derives ont connu une tres forte expansion ces dernieres annees. Une large variete d'options et de futures … options. Contrairement aux marches organises, les options sur ce marche sont cotees en volatilite implicite. Celle-ci reflete … options traitees sur les marches organises. Le recours a une formule d'evaluation d'options est alors necessaire pour extraire …

Persistent link: https://www.econbiz.de/10005406533

Relative Real Exchange-Rate Volatility, Multi-Destination Firms and Trade: Micro Evidence and Aggregate Implications

Héricourt, Jérôme; Nedoncelle, Clément - Centre d'études prospectives et d'informations … - 2015

In this paper, we study how firm-level export performance is affected by Real Exchange Rate (RER) volatility and investigate the way this effect is shaped by firm size and more specifically, the number of destinations. Our empirical analysis relies on a French firm-level database that combines...

Persistent link: https://www.econbiz.de/10011213746

On the Inclusion of the Chinese Renminbi in the SDR Basket

Bénassy-Quéré, Agnès; Capelle, Damien - Centre d'études prospectives et d'informations … - 2011

We study the impact of a broadening of the SDR basket to the Chinese currency on the composition and volatility of the basket. Although, in the past, RMB inclusion would have had almost negligible impact due to its limited weight, a much more significant impact can be expected in the next...

Persistent link: https://www.econbiz.de/10009358502

Current-Account Adjustments and Exchange-Rate Misalignments

Gnimassoun, Blaise; Mignon, Valérie - Centre d'études prospectives et d'informations … - 2013

This paper aims at studying current-account imbalances by paying a particular attention to exchange-rate misalignments. We rely on a nonlinear model linking the persistence of current account imbalances to the deviation of the exchange rate to its equilibrium value. Estimating a panel smooth...

Persistent link: https://www.econbiz.de/10010698932

Pegging emerging currencies in the face of dollar swings

Coudert, Virginie; Couharde, Cécile; Mignon, Valérie - Centre d'études prospectives et d'informations … - 2012

The aim of this paper is to study ruptures of exchange-rate pegs by focusing on the fluctuations of the anchor currency. We test for the hypothesis that currencies linked to the USD are more likely to loosen their peg when the USD is appreciating, while sticking to it otherwise. To this end, we...

Persistent link: https://www.econbiz.de/10010604029

Revisiting the theory of optimum currency areas: Is the CFA franc zone sustainable?

Couharde, Cécile; Coulibaly, Issiaka; Guerreiro, David; … - Centre d'études prospectives et d'informations … - 2012

This paper aims at explaining why the CFA countries have successfully maintained a currency union for several decades, despite failing to meet many of optimum currency area criteria. We suggest that the CFA zone, while not optimal, has been at least sustainable. We test this sustainability...

Persistent link: https://www.econbiz.de/10010604033

On currency misalignments within the euro area

Coudert, Virginie; Couharde, Cécile; Mignon, Valérie - Centre d'études prospectives et d'informations … - 2012

Although nominal parities have been completely pegged within the euro area since the launch of the single currency, real effective exchange rates have continued to vary under the effect of inflation disparities, exhibiting a strong appreciation in the peripheral countries. In this paper, we...

Persistent link: https://www.econbiz.de/10010604041