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Carry Trades and Global Foreign Exchange Volatility
Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - C.E.P.R. Discussion Papers - 2011
We investigate the relation between global foreign exchange (FX) volatility risk and the cross-section of excess … FX volatility and thus deliver low returns in times of unexpected high volatility, when low interest rate currencies … provide a hedge by yielding positive returns. Our proxy for global FX volatility risk captures more than 90% of the cross …
Persistent link: https://www.econbiz.de/10008867494
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Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?
Bacchetta, Philippe; van Wincoop, Eric - C.E.P.R. Discussion Papers - 2003
the other hand, the recent ‘microstructure approach to exchange rates’ has shown that most exchange rate volatility at …
Persistent link: https://www.econbiz.de/10005662225
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The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself
Jordà, Òscar; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2009
strategies. When we do so, some questions are resolved: negative skewness is purged, and market volatility (VIX) is uncorrelated …
Persistent link: https://www.econbiz.de/10008491718
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Learning and Complementarities: Implications for Speculative Attacks
Goldstein, Itay; Ozdenoren, Emre; Yuan, Kathy - C.E.P.R. Discussion Papers - 2010
large currency attacks and introducing non-fundamental volatility into exchange rates and policy decisions. We show that the …
Persistent link: https://www.econbiz.de/10008468601
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Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities
Jondeau, Eric; Rockinger, Michael - C.E.P.R. Discussion Papers - 1998
's stochastic volatility model. We apply those models on FF/DM OTC exchange rate options for various dates ranging between May 1996 …
Persistent link: https://www.econbiz.de/10005124117
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Arbitrage in the Foreign Exchange Market: Turning on the Microscope
Akram, Farooq; Rime, Dagfinn; Sarno, Lucio - C.E.P.R. Discussion Papers - 2008
This paper provides real-time evidence on the frequency, size, duration and economic significance of arbitrage opportunities in the foreign exchange market. We investigate deviations from the covered interest rate parity (CIP) condition using a unique data set for three major capital and foreign...
Persistent link: https://www.econbiz.de/10005124143
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The Exchange Rate Effect of Multi-Currency Risk Arbitrage
Hau, Harald - C.E.P.R. Discussion Papers - 2009
This paper documents how currency speculators trade when international capital flows generate predictable exchange rate movements. The redefinition of the MSCI world equity index in December 2000 provides an ideal natural experiment identifying exogenous capital flows of index tracking equity...
Persistent link: https://www.econbiz.de/10005034758
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A Transaction Level Study of the Effects of Central Bank Intervention of Exchange Rates
Payne, Richard; Vitale, Paolo - C.E.P.R. Discussion Papers - 2001
event study analysis we find that intervention has important short-run effects on exchange ate returns and volatility. In …
Persistent link: https://www.econbiz.de/10005497953
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Carry
Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013
, and volatility risks, its performance presents a challenge to asset pricing models. …
Persistent link: https://www.econbiz.de/10011083673
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Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis
Rose, Andrew K; Spiegel, Mark - C.E.P.R. Discussion Papers - 2011
While the global financial crisis was centered in the United States, it led to a surprising appreciation in the dollar, suggesting global dollar illiquidity. In response, the Federal Reserve partnered with other central banks to inject dollars into the international financial system. Empirical...
Persistent link: https://www.econbiz.de/10009293988