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Bahaj, Saleem - 2018

Swap lines between advanced-economy central banks are a new important part of the global financial architecture. This … shows that the swap line mimics discount-window credit from the source central bank to the recipient-country banks using the … shows that the swap-line rate puts a ceiling on deviations from covered interest parity, and finds evidence for it in the …

Persistent link: https://www.econbiz.de/10012912674

China's Bilateral Currency Swap Lines

Lin, Zhitao - 2016

We study the determinants of China's bilateral local currency swap lines that were established since the recent global … a swap line agreement. Once a swap line agreement decision is made, the size of the swap line is then mainly affected by …

Persistent link: https://www.econbiz.de/10012997246

Monetary Policy and the Stock Market : Time-Series Evidence

Neuhierl, Andreas - 2017

We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...

Persistent link: https://www.econbiz.de/10012965931

On the Effects of Monetary Policy Shocks on Exchange Rates

Binder, Michael - 2013

In this paper we re-consider the effects of monetary policy shocks on exchange rates and forward premia. In the recent empirical literature, these effects have been predominantly described as puzzling, in that they would include delayed overshooting of the exchange rate as well as persistent...

Persistent link: https://www.econbiz.de/10013094323

Capital Flight : China's Experience

Cheung, Yin-Wong - 2013

We study the empirical determinants of China's capital flight. In addition to the covered interest differential, our empirical exercise includes a rather exhaustive list of macroeconomic variables and a few institutional factors. Overall, our regression exercise shows that China's capital flight...

Persistent link: https://www.econbiz.de/10013095146

An Independent Scotland's Currency Options Redux : Assessing the Costs and Benefits of Currency Choice

MacDonald, Ronald - 2021

This paper demonstrates that all of the currency options available to an independent Scotland come with the price tag of an austerity programme to the tune of £40bn. This is due to the need to accumulate foreign exchange reserves. So called Plan A – being part of a formal monetary union –...

Persistent link: https://www.econbiz.de/10013315577

The Relative Effectiveness of Spot and Derivatives Based Intervention

Nedeljkovic, Milan - 2018

This paper studies the relative effectiveness of foreign exchange intervention in spot and derivatives markets. We make use of Brazilian data where spot and non-deliverable futures based intervention have been used in tandem for more than a decade. The analysis finds evidence in favor of a...

Persistent link: https://www.econbiz.de/10012912669

Credit Derivates and the Default Risk of Large Complex Financial Institutions

Calice, Giovanni - 2013

utilizes a multi-equation framework to model forward-looking measures of market and credit risk using the credit default swap …

Persistent link: https://www.econbiz.de/10013092380

Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates

de Vries, Casper G. - 2015

The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of autocorrelation in inflation,...

Persistent link: https://www.econbiz.de/10013019404

Cash Flow Duration and the Term Structure of Equity Returns

Weber, Michael - 2016

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...

Persistent link: https://www.econbiz.de/10012981605