Similar Search Results

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

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

Exchange rate expectations of chartists and fundamentalists

Dick, Christian D.; Menkhoff, Lukas - 2013

This paper provides novel evidence on exchange rate expectations of both chartists and fundamentalists separately. These groups indeed form expectations differently. Chartists change their expectations more often; however, all professionals´ expectations vary considerably as they generally...

Persistent link: https://www.econbiz.de/10010292796

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

When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds

Melvin, Michael; Shand, Duncan - 2016

We analyze the worst currency carry loss episodes in recent decades, including causes, attribution by currency, timing, and the duration of carry drawdowns. To explore the determinants of the length of carry losses, a model of carry drawdown duration is estimated. We find evidence that drawdown...

Persistent link: https://www.econbiz.de/10011584909

Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets

Baruník, Jozef; Kocenda, Evžen - 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/10012052862

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

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

Global Investors, the Dollar, and U.S. Credit Conditions

Niepmann, Friederike; Schmidt-Eisenlohr, Tim - 2018

This paper documents that an appreciation of the U.S. dollar is associated with a reduction in the supply of commercial and industrial loans by U.S. banks. An increase in the broad dollar index by 2.5 points (one standard deviation) reduces U.S. banks’ corporate loan originations by 10...

Persistent link: https://www.econbiz.de/10011932038

1
2
3
4
5
6
7
8
9
10
Next
Last