Narrow search
Showing 1 - 10 of 190
Cover Image
From Turmoil to Crisis : Dislocations in the FX Swap Market Before and After the Failure of Lehman Brothers
Baba, Naohiko - 2013
This paper investigates dislocations in the foreign exchange (FX) swap market between the US dollar and three major European currencies. After the failure of Lehman Brothers in September 2008, deviations from covered interest parity (CIP) were negatively associated with the creditworthiness of...
Persistent link: https://www.econbiz.de/10013095699
Cover Image
The Euro as a Reserve Currency : A Challenge to the Pre-Eminence of the US Dollar?
Galati, Gabriele; Wooldridge, Philip D. - 2014
introduction of the euro greatly improved the functioning of euro financial markets. This paper investigates whether euro financial … markets have developed sufficiently to facilitate the emergence of the euro as a reserve currency on par with the US dollar …. We find that the liquidity and breadth of euro financial markets are fast approaching those of dollar markets, and as a …
Persistent link: https://www.econbiz.de/10014054281
Cover Image
Segmented Money Markets and Covered Interest Parity Arbitrage
Rime, Dagfinn - 2017
This paper studies the violation of the most basic no-arbitrage condition in international finance - Covered Interest Parity (CIP). To understand the CIP conundrum, it is key to (i) account for funding frictions in U.S. dollar money markets, and (ii) to study the challenges of swap...
Persistent link: https://www.econbiz.de/10012952174
Cover Image
The Failure of Covered Interest Parity : FX Hedging Demand and Costly Balance Sheets
Sushko, Vladyslav - 2016
The failure of covered interest parity (CIP), or, equivalently, the persistence of the cross currency basis, in tranquil markets has presented a puzzle. Focusing on the basis against the US dollar (USD), we show that the CIP deviations that are not due to transaction costs or bank credit risk...
Persistent link: https://www.econbiz.de/10012980373
Cover Image
Currency Momentum Strategies
Menkhoff, Lukas - 2014
We provide a broad empirical investigation of momentum strategies in the foreign exchange market. We find a significant cross-sectional spread in excess returns of up to 10% p.a. between past winner and loser currencies. This spread in excess returns is not explained by traditional risk factors,...
Persistent link: https://www.econbiz.de/10013067006
Cover Image
Information Flows in Foreign Exchange Markets : Dissecting Customer Currency Trades
Menkhoff, Lukas - 2016
We study the information in order flows in the world's largest over-the-counter market, the foreign exchange market. The analysis draws on a data set covering a broad cross-section of currencies and different customer segments of foreign exchange endusers. The results suggest that order flows...
Persistent link: https://www.econbiz.de/10013007624
Cover Image
Geographic Spread of Currency Trading : The Renminbi and Other EM Currencies
Cheung, Yin-Wong - 2019
This paper studies the ongoing diffusion of renminbi trading across the globe, the first such research of an international currency. It analyses the distribution in offshore renminbi trading in 2013 and 2016, using comprehensive data from the Triennial Central Bank Survey of Foreign Exchange and...
Persistent link: https://www.econbiz.de/10012863476
Cover Image
Understanding Asian Equity Flows, Market Returns and Exchange Rates
Chai-Anant, Chayawadee; Ho, Corrinne - 2013
This paper examines from various angles foreign investors' daily transactions in six emerging Asian equity markets and their relationship with local market returns and exchange rate changes over the period 1999-2006. Confirming much of the literature, we find that equity market returns matter...
Persistent link: https://www.econbiz.de/10014218885
Cover Image
The Effects of Intraday Foreign Exchange Market Operations in Latin America : Results for Chile, Colombia, Mexico and Peru
Fuentes, Miguel - 2014
This paper analyses the effects of sterilised, intraday foreign exchange market operations (non-discretionary and discretionary) on foreign exchange returns and volatility in four inflation targeting economies in Latin America. The distribution of exchange rates during intervention and...
Persistent link: https://www.econbiz.de/10013047526
Cover Image
The Asian crisis: what did local stock markets expect?
Gyntelberg, Jacob; García Herrero, Alicia; Tesei, Andrea - Bank für Internationalen Zahlungsausgleich <Basel> - 2008
In this paper we investigate whether cross-sectional information from local equity marketscontained information on devaluation expectations during the Asian crisis. We concentrate onthe information content of equity prices as these markets were in general the largest and mostliquid at the time...
Persistent link: https://www.econbiz.de/10009248839