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Non-Linearities in the Relation between the Exchange Rate and its Fundamentals
Altavilla, Carlo; Grauwe, Paul De - CESifo - 2005
This paper investigates the relationship between the euro-dollar exchange rate and its underlying fundamentals. First … of different regimes, and thus non-linearities in the link between the exchange rate and its fundamentals. Second, we … are that different sets of macroeconomic fundamentals act as driving forces of the exchange rates during different time …
Persistent link: https://www.econbiz.de/10005406011
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Fundamentals, Misvaluation, and Investment: The Real Story
Chirinko, Robert S.; Schaller, Huntley - CESifo - 2007
Is real investment fully determined by fundamentals or is it sometimes affected by stock market misvaluation? We …
Persistent link: https://www.econbiz.de/10005766115
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Bank of England Interest Rate Announcements and the Foreign Exchange Market
Melvin, Michael - 2013
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/10013096000
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China's Capital Controls - Through the Prism of Covered Interest Differentials
Cheung, Yin-Wong - 2013
We study the renminbi (RMB) covered interest differential – an indicator of the effectiveness of capital controls. It is found that the differential is not shrinking over time and, in fact, appears larger after the global financial crisis than before. That is, capital controls in China are...
Persistent link: https://www.econbiz.de/10013076735
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Systematic Consumption Risk in Currency Returns
Hoffmann, Mathias - 2013
We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...
Persistent link: https://www.econbiz.de/10013080499
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High-Frequency Analysis of Foreign Exchange Interventions : What Do We Learn?
Menkhoff, Lukas - 2013
central banks and going with the market and fundamentals …
Persistent link: https://www.econbiz.de/10012753309
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Monetary Policy, Model Uncertainty and Exchange Rate Volatility
Markiewicz, Agnieszka - 2021
determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility … varies accordingly even though the underlying fundamentals processes remain time-invariant. I investigate the relevance of …
Persistent link: https://www.econbiz.de/10013316252
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Monetary Policy, Model Uncertainty and Exchange Rate Volatility
Markiewicz, Agnieszka - CESifo - 2010
determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility … varies accordingly even though the underlying fundamentals processes remain time-invariant. I investigate the relevance of …
Persistent link: https://www.econbiz.de/10008596599
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Systematic Consumption Risk in Currency Returns
Hoffmann, Mathias; Suter, Rahel - CESifo - 2013
We sort currencies by countries’ consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...
Persistent link: https://www.econbiz.de/10010667417
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When Carry Goes Bad : The Magnitude, Causes, and Duration of Currency Carry Unwinds
Melvin, Michael - 2017
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/10012965697