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Exchange Rate Volatility and Productivity Growth: The Role of Financial Development
Aghion, Philippe; Bacchetta, Philippe; Ranciere, Romain; … - Institut für Schweizerisches Bankwesen <Zürich> - 2006
This paper offers empirical evidence that real exchange rate volatility can have a significant impact on the long … with relatively low levels of financial development, exchange rate volatility generally reduces growth, whereas for … rate volatility, and outliers. We also oer a simple monetary growth model in which real exchange rate uncertainty …
Persistent link: https://www.econbiz.de/10005858527
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Safe Haven Currencies
Ranaldo, Angelo; Söderlind, Paul - Institut für Schweizerisches Bankwesen <Zürich> - 2007
We study high-frequency exchange rate movements over the sample 1993–2006. We document that the (Swiss) franc, euro, Japanese yen and the pound tend to appreciate against the U.S. dollar when (a) S&P has negative returns; (b) U.S. bond prices increase; and (c) when currency markets become more...
Persistent link: https://www.econbiz.de/10005858064
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Random Walk Expectations and the Forward Discount Puzzle
Bacchetta, Philippe; van Wincoop, Eric - Institut für Schweizerisches Bankwesen <Zürich> - 2007
Two well-known, but seemingly contradictory, features of exchange rates are thatthey are close to a random walk while at the same time exchange rate changesare predictable by interest rate differentials. In this paper we investigate whetherthese two features of the data may in fact be related....
Persistent link: https://www.econbiz.de/10005858209
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A Scapegoat Model of Exchange Rate Fluctuations
Bacchetta, Philippe; Wincoop, Eric van - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
While empirical evidence nds only a weak relationship between nominal exchangerates and macroeconomic fundamentals, forex markets participants often attribute ex-change rate movements to a macroeconomic variable. The variables that matter, how-ever, appear to change over time and some variable...
Persistent link: https://www.econbiz.de/10005858318
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Rational Inattention : A Solution to the Forward Discount Puzzle
Bacchetta, Philippe; van Wincoop, Eric - Institut für Schweizerisches Bankwesen <Zürich> - 2005
The uncovered interest rate parity equation is the cornerstone of most models in international macro. However, this equation does not hold empirically since the forward discount, or interest rate differential, is negatively related to the subsequent change in the exchange rate. This forward...
Persistent link: https://www.econbiz.de/10005858744
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Who Times the Foreign Exchange Market? : Corporate Speculation and CEO Characteristics
Alessandro, Beber; Fabbri, Daniela - Institut für Schweizerisches Bankwesen <Zürich> - 2005
price volatility. …
Persistent link: https://www.econbiz.de/10005858767
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Multi-Currency Quadratic Models : Theory and Evidence
Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
the movement of the term structure of either country. These independent currency risk factors account for the variation in …
Persistent link: https://www.econbiz.de/10005858853
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The Influence of FX Risk on Credit Spreads
Ehlers, Philippe; Schönbucher, Philipp - Institut für Schweizerisches Bankwesen <Zürich> - 2004
We analyze the connections between the credit spreads that the same credit risk commands in different currencies. We … default risk of the obligor and the exchange rate. In our model there are two different channels to capture this dependence … pricing measures are analyzed and closed-form prices for a variety of securities affected by default risk and FX risk are …
Persistent link: https://www.econbiz.de/10005858879
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Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?
Bacchetta, Philippe; Wincoop, Eric van - Institut für Schweizerisches Bankwesen <Zürich>; … - 2005
the other hand, the recent microstructure approach to exchange rates has shown that most exchange rate volatility at short … heterogeneity (e.g., liquidity traders). We show that information dispersion leads to magnification and endogenous persistence of …
Persistent link: https://www.econbiz.de/10005859103
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The Value of Tradeability
Chesny, Mark; Kempf, Alexander - Institut für Schweizerisches Bankwesen <Zürich> - 2011
This paper determines the value of asset tradeability in an option pricing framework.In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability:The value of tradeability is...
Persistent link: https://www.econbiz.de/10009249000