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Can Time-Varying Currency Risk Hedging Explain Exchange Rates?
Bräuer, Leonie; Hau, Harald - 2022
bond positions, which creates a net hedging demand for dollar assets that depreciates USD rates in both the forward and … spot markets. We document the time-varying nature of this net hedging demand and show how it relates to eco … FX hedging pressure can account for approximately 30% of all monthly variation in the seven most important dollar …
Persistent link: https://www.econbiz.de/10014242128
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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
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Forecasting Exchange Rates: An Investor Perspective
Melvin, Michael; Prins, John; Shand, Duncan - 2013
The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....
Persistent link: https://www.econbiz.de/10010312861
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What determines differences in foreign bank efficiency? : Australian evidence?
Sturm, Jan-Egbert; Williams, Barry - 2005
This study applies parametric distance functions to estimate the efficiency of foreign banks in Australia, and subsequently employs extreme bounds analysis to establish the determinants of foreign bank efficiency that are robust to model specification. The limited global advantage hypothesis of...
Persistent link: https://www.econbiz.de/10010261364
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Intraday Effect of News on Emerging European Forex Markets : An Event Study Analysis
Kočenda, Evžen - 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/10012908658
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The Dominant Currency Financing Channel of External Adjustment
Casas, Camila; Meleshchuk, Sergii; Timmer, Yannick - 2023
to higher delinquencies and interest rates, while exports are unaffected. Natural and financial hedging successfully mute …
Persistent link: https://www.econbiz.de/10014377488
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Model averaging and value-at-risk based evaluation of large multi asset volatility models for risk management
Pesaran, Mohammad Hashem; Zaffaroni, Paolo - 2004
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. In particular, it is shown that under certain...
Persistent link: https://www.econbiz.de/10010276158
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007
This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...
Persistent link: https://www.econbiz.de/10010276212
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Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, Mohammad Hashem; Schleicher, Christoph; … - 2008
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...
Persistent link: https://www.econbiz.de/10010276219
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Optimal asset allocation with factor models for large portfolios
Pesaran, Mohammad Hashem; Zaffaroni, Paolo - 2008
This paper characterizes the asymptotic behaviour, as the number of assets gets arbitrarily large, of the portfolio weights for the class of tangency portfolios belonging to the Markowitz paradigm. It is assumed that the joint distribution of asset returns is characterized by a general factor...
Persistent link: https://www.econbiz.de/10010276224