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An international arbitrage pricing model with PPP deviations

Levine, Ross - Federal Reserve Board (Board of Governors of the … - 1986

reduced form equations which can be used to examine such issues as capital market segmentation, currency substitution … stochastic differential equations which describe the dynamic paths of a vector of state variables, prices, and PPP deviations … equation of the risk premium is derived which will allow researchers to uncover the risk premium's economic determinants. …

Persistent link: https://www.econbiz.de/10005368178

Are banks market timers or market makers? Explaining foreign exchange trading profits

Ammer, John; Brunner, Allan D. - Federal Reserve Board (Board of Governors of the … - 1994

We analyze the foreign exchange trading earnings of large U.S commercial banks over the past several years. In particular, we use several approaches to try to determine to what extent these profits can be attributed either to position-taking by banks or to the provision of intermediation...

Persistent link: https://www.econbiz.de/10005368237

Tests of the foreign exchange risk premium using the expected second moments implied by option pricing

Lyons, Richard K. - Federal Reserve Board (Board of Governors of the … - 1986

This paper applies a new method to investigate the foreign exchange risk premium. The method is new in the sense that it utilizes the time-varying second moment expectations implied by foreign currency option pricing. The vast empirical literature on the risk premium generally neglects the role...

Persistent link: https://www.econbiz.de/10005368315

The profitability of U.S. intervention

Leahy, Michael P. - Federal Reserve Board (Board of Governors of the … - 1989

In this paper I address some of the issues associated with measuring the profits and losses from intervention and show that U.S intervention since the beginning of generalized floating in 1973 has earned positive economic profits for the U.S. monetary authorities. Profitability has been largest...

Persistent link: https://www.econbiz.de/10005368421

Determining foreign exchange risk and bank capital requirements

Leahy, Michael P. - Federal Reserve Board (Board of Governors of the … - 1991

correlation patterns of exchange rates. The third measure uses nonparametric methods to determine capital requirements. The third …

Persistent link: https://www.econbiz.de/10005368422

The use of the parallel market rate as a guide to setting the official exchange rate

Ghei, Nita; Kamin, Steven B. - Federal Reserve Board (Board of Governors of the … - 1996

This paper addresses the merits of using the parallel exchange rate as a guide to setting the official exchange rate. Ideally, policymakers would set the exchange rate at the level that would balance trade and sustainable capital flows--that level is referred to as the equilibrium exchange rate....

Persistent link: https://www.econbiz.de/10005368428

The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market

Chaboud, Alain P.; Chernenko, Sergey; Howorka, Edward; … - Federal Reserve Board (Board of Governors of the … - 2004

We introduce a new high-frequency foreign exchange dataset from EBS (Electronic Broking Service) that includes trading volume in the global interdealer spot market, data not previously available to researchers. The data also gives live transactable quotes, rather than the indicative quotes that...

Persistent link: https://www.econbiz.de/10005368468

Understanding the empirical literature on purchasing power parity: the post-Bretton Woods era

Edison, Hali J.; Gagnon, Joseph E.; Melick, William R. - Federal Reserve Board (Board of Governors of the … - 1994

Persistent link: https://www.econbiz.de/10005368474

Are financially dollarized countries more prone to costly crises?

Arteta, Carlos O. - Federal Reserve Board (Board of Governors of the … - 2003

In view of the role of liability dollarization in recent financial crises, whether or not the widespread presence of foreign-currency-denominated deposits and credits in developing-country banking systems leads to greater financial fragility is an open and pressing question. Using a...

Persistent link: https://www.econbiz.de/10005368511

Habit formation and the comovement of prices and consumption during exchange-rate based stabilization programs

Uribe, Martin - Federal Reserve Board (Board of Governors of the … - 1997

A defining stylized fact associated with exchange-rate-based (ERB) stabilization programs is that their initial phase is characterized by several years of expansion in private consumption and a gradual appreciation of the real exchange rate. In this paper, I argue that standard optimizing models...

Persistent link: https://www.econbiz.de/10005368531

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