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Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis

Kocenda, Evžen; Moravcová, Michala - 2018

We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011–2015. Our...

Persistent link: https://www.econbiz.de/10011931989

Volatility transmission in emerging European foreign exchange markets

Bubák, Vít; Kocenda, Evézen; Zikes, Filip - 2010

This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet parsimonious parametric model in which the daily...

Persistent link: https://www.econbiz.de/10010270529

Large' vs. 'small' players: a closer look at the dynamics of speculative attacks

Bjønnes, Geir H.; Holden, Steinar; Rime, Dagfinn; … - 2009

What is the role of large players" like hedge funds and other highly leveraged institutions in speculative attacks? In recent theoretical work, large players may induce an attack by an early move, providing information to smaller agents. In contrast, many observers argue that large players are...

Persistent link: https://www.econbiz.de/10010276829

On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007-2010

Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - 2013

This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...

Persistent link: https://www.econbiz.de/10010292798

International Portfolio Flows and Exchange Rate Volatility for Emerging Markets

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - 2015

This paper investigates the effects of equity and bond portfolio in.ows on exchange rate volatility, using monthly bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong Kong, Thailand, the Philippines, and Taiwan) over...

Persistent link: https://www.econbiz.de/10011388287

Uncertainty and Hyperinflation: European Inflation Dynamics after World War I

Lopez, Jose A.; Mitchener, Kris James - 2018

Fiscal deficits, elevated debt-to-GDP ratios, and high inflation rates suggest hyperinflation could have potentially emerged in many European countries after World War I. We demonstrate that economic policy uncertainty was instrumental in pushing a subset of European countries into...

Persistent link: https://www.econbiz.de/10011872123

Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns

Melvin, Michael; Pan, Wenqiang; Wikstrom, Petra - 2020

The literature on currency investing that incorporates transaction costs uses costs relevant for small trade sizes. Using the entire order book of the major electronic brokerages for FX, we compute sweep-to-fill costs for trades of different sizes and illustrate the reduction in post-cost...

Persistent link: https://www.econbiz.de/10012207908

The Dominant Currency Financing Channel of External Adjustment

Casas, Camila; Meleshchuk, Sergii; Timmer, Yannick - 2023

We propose a new channel through which exchange rates affect trade. Exploiting the heterogeneity in firms' foreign currency debt maturity structure around a large depreciation in Colombia, we show that debt revaluation compresses imports due to higher delinquencies and interest rates, while...

Persistent link: https://www.econbiz.de/10014377488

Foreign Currency Loans and Credit Risk: Evidence from U.S. Banks

Niepmann, Friederike; Schmidt-Eisenlohr, Tim - 2017

When firms borrow in foreign currency but collect revenues in local currency, exchange rate changes can affect their ability to repay their debt. Using loan-level data from U.S. banks’ regulatory filings, this paper studies the effect of exchange rate changes on firms’ loan payments. A 10...

Persistent link: https://www.econbiz.de/10011777565

Exchange rate management in emerging markets : intervention via an electronic limit order book

Melvin, Michael; Menkhoff, Lukas; Schmeling, Maik - 2009

beliefs of market participants. We find for our sample that intervention increases exchange rate volatility (and spread) for … the next minutes but that intervention days show a lower degree of volatility (and spread) than non-intervention days. We … also show for intraday data that the price impact of interbank order flow is smaller on intervention days than on non-intervention …

Persistent link: https://www.econbiz.de/10010275802

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