Narrow search
Showing 1 - 10 of 7,740
Cover Image
Exchange Rate Determination under Limits to CIP Arbitrage
Bacchetta, Philippe; Davis, Scott; Van Wincoop, Eric - National Bureau of Economic Research - 2024
Recent theories of exchange rate determination have emphasized limited UIP arbitrage by international financial … institutions. New regulations since 2008 have also lead to imperfect CIP arbitrage. We show that under limited CIP arbitrage the … operate through the swap market, which have no effect under perfect CIP arbitrage. More familiar financial shocks that impact …
Persistent link: https://www.econbiz.de/10015056203
Cover Image
The High Frequency Effects of Dollar Swap Lines
Kekre, Rohan; Lenel, Moritz - National Bureau of Economic Research - 2023
We study the effects of dollar swap lines using high frequency responses in asset prices around policy announcements. News about expanded dollar swap lines causes a reduction in liquidity premia, compression of deviations from covered interest parity (CIP), and depreciation of the dollar. Equity...
Persistent link: https://www.econbiz.de/10014437032
Cover Image
Dollar Shortages, CIP Deviations, and the Safe Haven Role of the Dollar
Bacchetta, Philippe; Davis, Scott; Van Wincoop, Eric - National Bureau of Economic Research - 2023
phenomena, we develop a two-country model featuring (i) market segmentation, (ii) limited CIP arbitrage (since 2007), (iii …
Persistent link: https://www.econbiz.de/10014447258
Cover Image
What do Financial Markets say about the Exchange Rate?
Chernov, Mikhail; Haddad, Valentin; Itskhoki, Oleg - National Bureau of Economic Research - 2024
Financial markets play two roles with implications for the exchange rate: they accommodate risk sharing and act as a source of shocks. In prevailing theories, these roles are seen as mutually exclusive and individually face challenges in explaining exchange rate dynamics. However, we demonstrate...
Persistent link: https://www.econbiz.de/10014544715
Cover Image
How Can Asset Prices Value Exchange Rate Wedges?
Lewis, Karen K.; Liu, Edith - National Bureau of Economic Research - 2022
When available financial securities allow investors to optimally diversify risk across countries, standard theory …
Persistent link: https://www.econbiz.de/10013388777
Cover Image
Market Incompleteness and Exchange Rate Spill-over
Jiang, Zhengyang - National Bureau of Economic Research - 2023
I develop a general characterization of the effect that market incompleteness has on exchange rate dynamics. On the one hand, it weakens the pass-through from a country's marginal utility shocks to its own exchange rate movements; on the other hand, it gives rise to additional variations in...
Persistent link: https://www.econbiz.de/10013537750
Cover Image
Non-Fundamental Flows and Foreign Exchange Rates
Aldunate, Felipe E.; Da, Zhi; Larrain, Borja; Sialm, Clemens - National Bureau of Economic Research - 2022
balance sheet data, we confirm that regulatory requirements and banks' risk bearing constraints create limits of arbitrage …
Persistent link: https://www.econbiz.de/10013477245
Cover Image
Exchange Rates, Natural Rates, and the Price of Risk
Kekre, Rohan - 2024
We study the source of exchange rate fluctuations using a general equilibrium model accommodating shocks in goods and financial markets. These shocks differ in their induced comovements between exchange rates, interest rates, and quantities. A calibration matching data from the U.S. and G10...
Persistent link: https://www.econbiz.de/10015072917
Cover Image
Forward and Spot Exchange Rates in a Multi-currency World
Hassan, Tarek A. - 2014
Separate literatures study violations of uncovered interest parity using regression-based and portfolio-based methods. We propose a decomposition of these violations into a cross-currency, a between-time-and-currency, and a cross-time component that allows us to analytically relate...
Persistent link: https://www.econbiz.de/10012458373
Cover Image
Currency Risk Premiums : A Multi-horizon Perspective
Chernov, Mikhail; Dahlquist, Magnus - National Bureau of Economic Research - 2023
We review the literature on multi-horizon currency risk premiums. We show how the multi-horizon implications arise from the classic present-value relationship. We further show how these implications manifest themselves in the interaction between bond and currency risk premiums. This link is...
Persistent link: https://www.econbiz.de/10014322805