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Bank of England interest rate announcements and the foreign exchange market
Melvin, Michael; Saborowski, Christian; Sager, Michael; … - 2009
Since 1997, the Bank of England Monetary Policy Committee (MPC) has met monthly to set the UK policy interest rate. We examine evidence of systematic patterns in exchange rate movements on MPC days over the first decade of operation of the MPC. Daily data reveal significant differences in...
Persistent link: https://www.econbiz.de/10010264608
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Exchange rate forecasters' performance: Evidence of skill?
MacDonald, Ronald; Menkhoff, Lukas; Rebitzky, Rafael R. - 2009
This paper sheds new light on a long-standing puzzle in the international finance literature, namely, that exchange rate expectations appear inaccurate and even irrational. We find for a comprehensive dataset that individual forecasters' performance is skill-based. 'Superior' forecasters show...
Persistent link: https://www.econbiz.de/10010264610
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The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex
Caporale, Guglielmo Maria - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012837673
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Intraday Effect of News on Emerging European Forex Markets : An Event Study Analysis
Kočenda, Evžen - 2018
analyze intra-day data from 2011–2015. Our comprehensive analysis of the wide variety of macroeconomic information during the …
Persistent link: https://www.econbiz.de/10012908658
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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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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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Market for Information and Selling Mechanisms
Bounie, David - 2020
We investigate the strategies of a data intermediary selling consumer information to firms for price discrimination … purpose. We analyze how the mechanism through which the data intermediary sells information influences how much consumer … information she will collect and sell to firms, and how it impacts consumer surplus. We consider three selling mechanisms tailored …
Persistent link: https://www.econbiz.de/10012832202
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Optimal degree of public information dissemination
Cornand, Camille; Heinemann, Frank - 2004
fundamental state. Some studies argue that it might be better to withhold public information because its potential to serve as a … focal point induces agents to exaggerate the importance of public announcements. This paper shows that public information …
Persistent link: https://www.econbiz.de/10010261100
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Fundamental and non-fundamental equilibria in the foreign exchange market : a behavioural finance framework
De Grauwe, Paul; Dieci, Roberto; Grimaldi, Marianna - 2005
We develop a simple model of the exchange rate in which agents optimize their portfolio and use different forecasting rules. They check the profitability of these rules ex post and select the more profitable one. This model produces two kinds of equilibria, a fundamental and a bubble one. In a...
Persistent link: https://www.econbiz.de/10010261158