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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 …
Persistent link: https://www.econbiz.de/10012908658
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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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Global Investors, the Dollar, and U.S. Credit Conditions
Niepmann, Friederike - 2019
.S. banks’ corporate loan originations by 10 percent. This decline is driven by a reduction in the demand for loans on the …
Persistent link: https://www.econbiz.de/10012892284
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The crisis in the foreign exchange market
Melvin, Michael; Taylor, Mark P. - 2009
The financial crisis of 2007-2008 had major implications for the foreign exchange market. We review events and implications for exchange rates, volatility, returns to currency investing, and transaction costs. This blow-by-blow" narrative is intended to be a resource for researchers seeking a...
Persistent link: https://www.econbiz.de/10010266026
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Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets
Baruník, Jozef - 2019
We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007 - 2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and...
Persistent link: https://www.econbiz.de/10012865701
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Trading with the Informed and Against the Uninformed : Flows and Positioning in the Global Currency Market
Barrios, Aldo; Franolic, Robert; Giovanardi, Davide; … - 2022
FX trade settlement data from CLS provides the most comprehensive view of the opaque market of OTC currency trades. We use the flows of investment funds and non-financial corporates and develop trading signals where the former reflects speculative strategies, while the latter trade for liquidity...
Persistent link: https://www.econbiz.de/10014077184
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Oil Prices, Exchange Rates and Interest Rates
Kilian, Lutz - 2019
between the interest rate and the exchange rate, but also because demand and supply shocks in the oil market in turn may … causal effects of oil demand and oil supply shocks from the effects of exogenous shocks to the U.S. real interest rate and …
Persistent link: https://www.econbiz.de/10012892101
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A Role Model for China? Exchange Rate Flexibility and Monetary Policy in Japan
Schnabl, Gunther; Danne, Christian - 2021
Few papers have tried to project how Chinese monetary policy will behave under flexible exchange rates. As Japan provides an important role model for China, this paper studies the role of the yen/dollar exchange rate for Japanese monetary policy after the shift of Japan from a fixed to a...
Persistent link: https://www.econbiz.de/10013316946
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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
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Exchange Rate Parities and Taylor Rule Deviations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
speed is twice as fast when deviations are small and the credibility of the central bank is higher. Third, inflation …
Persistent link: https://www.econbiz.de/10013236279