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Liquidity Problems in the FX Liquid Market
Le Fol, Gaëlle; Idier, Julien; Borgy, Vladimir - Université Paris-Dauphine (Paris IX) - 2010
immune against any liquidity problem. This paper analyzes on a long sample (2000-2009), the all set of quotes and … transactions in three main currency pairs (EURJPY, EURUSD, USDJPY) on the EBS platform. To characterize the FX market liquidity, we … propose the computation of a new liquidity indicator, BIL, that solely relies on price series availability. The main benefit …
Persistent link: https://www.econbiz.de/10011074000
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Cross-Market Spillovers with 'Volatility Surprise'
Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2014
This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...
Persistent link: https://www.econbiz.de/10011205314
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Inside the Black Box: Why are Order Flows Models of Exchange Rate more competitive than Traditional Models of Exchange Rate?
Di Filippo, Gabriele - Université Paris-Dauphine (Paris IX) - 2011
This article looks inside the black box of order flows to understand why order flows models of exchange rate are more competitive than traditional models of exchange rate. We set a theoretical model that relies on a behavioural exchange rate model and a microstructure model. The model puts...
Persistent link: https://www.econbiz.de/10010707134
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The Revenge of Purchasing Power Parity on Carry Trades during Crises
Drut, Bastien; Brière, Marie - Université Paris-Dauphine (Paris IX) - 2009
Empirical evidence shows that fundamental models have produced disappointing results over the past 20 years while carry trade strategies have performed superbly. But the real picture is much more complex. In fact, the track records of both strategies have varied considerably. This article shows...
Persistent link: https://www.econbiz.de/10010707828
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Finance internationale
Lautier, Delphine; Simon, Yves; Morel, Christophe - Université Paris-Dauphine (Paris IX) - 2009
L'ouvrage présente une vision globale de la finance internationale. Avec les techniques financières, le marché des changes, la gestion des risques internationaux ou les places financières internationales.
Persistent link: https://www.econbiz.de/10010707979
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Foreign-exchange intervention strategies and market expectations: insights from Japan
Gnabo, Jean-Yves; Teiletche, Jérôme - Université Paris-Dauphine (Paris IX) - 2009
This study extends the traditional set of central bank's interventions to include official announcements in order to provide empirical evidence on two pivotal questions: (i) are FX authorities able to influence market expectations with different instruments? (ii) how should interventions be...
Persistent link: https://www.econbiz.de/10010708344
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Finance internationale et gestion des risques : questions et exercices corrigés
Simon, Yves; Roy, Sébastien - Université Paris-Dauphine (Paris IX) - 2013
La finalité de cet ouvrage est pédagogique. Il est destiné à faciliter l’acquisition des connaissances dans le domaine de la finance internationale et celui de la gestion des risques. Cette nouvelle édition, actualisée et rénovée, regroupe tous les thèmes importants de ces deux...
Persistent link: https://www.econbiz.de/10011072929
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Les crises économiques et financières et les facteurs favorisant leur occurrence
Cabrol, Sébastien - Université Paris-Dauphine (Paris IX) - 2013
The aim of this thesis is to analyze, from an empirical point of view, both the different varieties of economic and financial crises (typological analysis) and the context’s characteristics, which could be associated with a likely occurrence of such events. Consequently, we analyze both: years...
Persistent link: https://www.econbiz.de/10011074698
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Effects of the Competition between Multiple Trading Platforms on Market Liquidity : Evidence from the MiFID Experience
Gresse, Carole - Université Paris-Dauphine (Paris IX) - 2011
-listed equities, this article compares global and local liquidity before and after MiFID and investigates how liquidity relates to … market fragmentation and internalization. Market fragmentation is found to improve global and local liquidity, with spreads … stocks. Further, internalization is not proved to be detrimental for liquidity. …
Persistent link: https://www.econbiz.de/10010707360
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Liquidity and the cost of Funds and Integration of the Eurozone Treasury Bills Market
Biais, Bruno; Renucci, Antoine; Saint-Paul, Gilles - Université Paris-Dauphine (Paris IX) - 2007
order book enhances liquidity and thus reduce yields. Irregularly issuing securities raises the yields government must pay … to liquidity hypothesis, yields are lower when the amount issued is large in such periods. Finally, yields are found to …
Persistent link: https://www.econbiz.de/10010708481