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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/10014304470
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Embedded supervision : how to build regulation into decentralised finance
Auer, Raphael A. - 2022
The emergence of so-called "decentralised finance" (DeFi) and a shadow financial system of cryptocurrency exchanges and stablecoin issuers raises the challenge of how to apply technology-neutral regulation so that similar risks are subject to the same rules. This paper makes the case for...
Persistent link: https://www.econbiz.de/10013206072
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Cryptocurrency market reactions to regulatory news
Auer, Raphael A.; Claessens, Stijn - 2020
Cryptocurrencies are often thought to operate out of the reach of national regulation, but in fact their valuations, transaction volumes and user bases react substantially to news about regulatory actions. The impact depends on the specific regulatory category to which the news relates: events...
Persistent link: https://www.econbiz.de/10012205633
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The relative effectiveness of spot and derivatives based intervention
Nedeljkovic, Milan; Saborowski, Christian - 2018 - This version: June 2018
This paper studies the relative effectiveness of foreign exchange intervention in spot and derivatives markets. We make … show that both types of interventions also affect the level and the price of hedging risk in the foreign exchange market. …
Persistent link: https://www.econbiz.de/10011867236
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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/10013440410
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Volatility connectedness on the Central European forex markets
Albrecht, Peter; Kočenda, Evžen - 2023
robust with respect to a volatility measure and provide direct policy implications for portfolio composition and hedging. …
Persistent link: https://www.econbiz.de/10014414188
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The impact of monetary and commodity fundamentals, macro news and central bank communication on the exchange rate : evidence from South Africa
Égert, Balázs - 2009
This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollar-euro exchange rate on...
Persistent link: https://www.econbiz.de/10003831962
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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/10003831967
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Exchange rate forecasters' performance : evidence of skill?
McDonald, Ronald H.; 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/10003832110
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Heterogeneity in exchange rate expectations : evidence on the chartist-fundamentalist approach
Menkhoff, Lukas; Rebitzky, Rafael R.; Schröder, Michael - 2008
This paper examines heterogeneity in exchange rate expectations. Whereas agents' heterogeneity is key in modern exchange rate models, evidence on determinants of heterogeneity is weak so far. Our sample, covering expectations from about 300 forecasters over 15 years, shows remarkable time...
Persistent link: https://www.econbiz.de/10003805988