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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003499671
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The frequency of one-day abnormal returns and price fluctuations in the FOREX
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 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/10012196296
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Capital flight: China's experience
Cheung, Yin-Wong; Qian, Xingwang - 2010
We study the empirical determinants of China's capital flight. In addition to the covered interest differential, our … regression exercise shows that China's capital flight is quite well explained by its own history and covered interest … differentials. The other possible determinants offer relatively small additional explanatory power. It is also found that China …
Persistent link: https://www.econbiz.de/10003937044
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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 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/10011867236
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On the effects of monetary policy shocks on exchange rates
Binder, Michael; Chen, Qianying; Zhang, Xuan - 2010
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/10008696775
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Market-based monetary policy uncertainty
Bauer, Michael D.; Lakdawala, Aeimit; Mueller, Philippe - 2019
markets using a novel model-free measure of uncertainty based on derivative prices. We document a systematic pattern in …
Persistent link: https://www.econbiz.de/10012001886
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Credit Derivatives and the Default Risk of Large Complex Financial Institutions
Calice, Giovanni; Ioannidis, Christos; Williams, Julian - 2011
This paper addresses the impact of developments in the credit risk transfer market on the viability of a group of systemically important financial institutions. We propose a bank default risk model, in the vein of the classic Merton-type, which utilizes a multi-equation framework to model...
Persistent link: https://www.econbiz.de/10009302128
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Carbon default swap : disentangling the exposure to carbon risk through CDS
Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022
Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that carbon risk affects firms' credit spread. The effect is larger for European than North American firms and varies substantially across industries, suggesting the market recognises...
Persistent link: https://www.econbiz.de/10013417581
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China's current account and exchange rate
Cheung, Yin-Wong; Chinn, Menzie David; Fujii, Eiji - 2009
manufacturing capital stock is accounted for. Thus, the China-US trade balance should respond to real exchange rate and relative …
Persistent link: https://www.econbiz.de/10003818038
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Renminbising China's foreign assets
Cheung, Yin-Wong; Ma, Guonan; McCauley, Robert N. - 2010
Since the 2008 global financial crisis, China has rolled out a number of initiatives to actively promote the … currency composition of China's international assets and liabilities. These factors include, among others, underlying valuation …
Persistent link: https://www.econbiz.de/10003956012