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Profitability and Stability in International Currency Markets
Bilson, John F. O. - 1981
future spot exchange rates. This result implies that there have been opportunities for speculative profit during the post … existence of opportunities for speculative profit is explored. The question answered in the paper is the following: if there … were no opportunities for speculative profit, would exchange rates have been more stable? The answer is yes. This answer …
Persistent link: https://www.econbiz.de/10012478457
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The Carry Trade and Fundamentals : Nothing to Fear But FEER Itself
Jordà, Òscar - 2009
The carry trade is the investment strategy of going long in high-yield target currencies and short in low-yield funding currencies. Recently, this naive trade has seen very high returns for long periods, followed by large crash losses after large depreciations of the target currencies. Based on...
Persistent link: https://www.econbiz.de/10012463131
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The US, Economic News, and the Global Financial Cycle
Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2023
We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all...
Persistent link: https://www.econbiz.de/10014247914
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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
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Getting to the Core : Inflation Risks Within and Across Asset Classes
Fang, Xiang; Liu, Yang; Roussanov, Nikolai - National Bureau of Economic Research - 2022
Do "real" assets protect against inflation? Core inflation betas of stocks are negative while energy betas are positive; currencies, commodities, and real estate also mostly hedge against energy inflation but not core. These hedging properties are reflected in the prices of inflation risks: only...
Persistent link: https://www.econbiz.de/10013334388
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From Carry Trades to Trade Credit : Financial Intermediation by Non-Financial Corporations
Hardy, Bryan; Saffie, Felipe - National Bureau of Economic Research - 2023
We use unique firm-level data from Mexico to document that non-financial corporations engage in carry trades by borrowing in foreign currency (FX) and lending in domestic currency, largely in the form of trade credit, accumulating currency risk in the process. We show at a quarterly frequency...
Persistent link: https://www.econbiz.de/10014250200
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The Emergence of the Euro as an International Currency
Portes, Richard - 1998
two effects interact, as we demonstrate. We use a three-region world model as a framework for alternative steady …
Persistent link: https://www.econbiz.de/10012472384
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Contagious Currency Crises
Eichengreen, Barry - 1996
This paper is concerned with the fact that the incidence of speculative attacks tends to be temporally correlated; that is, currency crises appear to pass contagiously from one country to another. The paper provides a survey of the theoretical literature, and analyzes the contagious nature of...
Persistent link: https://www.econbiz.de/10012473161
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How Well do Foreign Exchange Markets Function : Might a Tobin Tax Help?
Frankel, Jeffrey A. - 1996
Figures for 1995 estimate trading by dealers in the foreign exchange market at over $1,200 billion per day, most of it with other dealers. Some have linked this volume to concerns of excessive volatility in the market. Tobin's proposal to address this volatility with a small tax on all foreign...
Persistent link: https://www.econbiz.de/10012473442
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Puzzles in International Financial Markets
Lewis, Karen K. - 1994
This paper presents a survey of two basic puzzles in international finance. The first puzzle is the `predictable excess return puzzle.' The returns on foreign currency deposits relative to domestic currency deposits should be equalized based upon uncovered interest parity. However, not only do...
Persistent link: https://www.econbiz.de/10012473948