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Global liquidity, risk premiums and growth opportunities
De Nicolò, Gianni; Ivaschenko, Iryna V. - 2009
This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity …
Persistent link: https://www.econbiz.de/10003824684
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Volatility transmission in emerging European foreign exchange markets
Bubák, Vít; Kočenda, Evžen; Zikes, Filip - 2010
This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet parsimonious parametric model in which the daily...
Persistent link: https://www.econbiz.de/10003969723
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Total, asymmetric and frequency connectedness between oil and forex markets
Baruník, Jozef; Kočenda, Evžen - 2019
. Frequency connectedness is largely driven by uncertainty shocks and to a lesser extent by liquidity shocks, which impact long …
Persistent link: https://www.econbiz.de/10012035050
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The effect of U.S. stress tests on monetary policy spillovers to emerging markets
Liu, Emily; Niepmann, Friederike; Schmidt-Eisenlohr, Tim - 2019
easing when liquidity is abundant, banks are more flexible, and the scope for adjusting lending is larger when they have a …
Persistent link: https://www.econbiz.de/10012124865
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Systematic consumption risk in currency returns
Hoffmann, Mathias; Suter, Rahel - 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/10009752999
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Exchange rate expectations of chartists and fundamentalists
Dick, Christian D.; Menkhoff, Lukas - 2013
This paper provides novel evidence on exchange rate expectations of both chartists and fundamentalists separately. These groups indeed form expectations differently. Chartists change their expectations more often; however, all professionals ́expectations vary considerably as they generally...
Persistent link: https://www.econbiz.de/10009727121
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Are different-currency assets imperfect substitutes?
Evans, Martin D. D.; Lyons, Richard K. - 2003
This paper provides a new test for whether different-currency assets are imperfect substitutes. The test exploits that under floating rates, changing public currency demand has no direct effect on monetary fundamentals, current or future. Price effects from imperfect substitutability are clearly...
Persistent link: https://www.econbiz.de/10011508058
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Transatlantic monetary and fiscal policy interaction
Aarle, Bas van; Garretsen, Harry; Huart, Florence - 2003
This paper studies the design, effects and interactions of monetary and fiscal policies in the euro-area and between the euro-area and the non euro-area. To do so, a stylized three-country model of monetary and fiscal policy rules is constructed. It is analyzed how monetary and fiscal rules...
Persistent link: https://www.econbiz.de/10011509484
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Nonlinearities and asymmetric adjustment to PPP in an exchange rate model with inflation expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper estimates a model of the real exchange rate including standard fundamentals as well as two alternative measures of inflation expectations for five inflation targeting countries (UK, Canada, Australia, New Zealand, Sweden) over the period January 1993-July 2019. Both a benchmark linear...
Persistent link: https://www.econbiz.de/10012438461
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Can time-varying currency risk hedging explain exchange rates?
Bräuer, Leonie; Hau, Harald - 2022
Over the last decade foreign bond portfolio positions in US dollar assets have risen above the reciprocal US investor positions in foreign currencies. In periods of increased economic uncertainty, institutional investors hedge their international bond positions, which creates a net hedging...
Persistent link: https://www.econbiz.de/10013440410