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Mitigating counterparty risk
Gündüz, Yalın - 2018
effect on the hedging behaviour against the counterparty. As the current regulatory frameworks explicitly formulate any … capital relief motives and provides a viable hedging instrument beyond receiving coverage through collateral. …
Persistent link: https://www.econbiz.de/10011900709
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The pricing of FX forward contracts : micro evidence from banks' dollar hedging
Abbassi, Puriya; Bräuning, Falk - 2018
in banks' dollar hedging costs. For identification, we exploit regulatory end-of-quarter reporting that penalizes banks …
Persistent link: https://www.econbiz.de/10011916907
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Do speculative traders anticipate or follow USD/EUR exchange rate movements? : new evidence on the efficiency of the EUR currency futures market
Hossfeld, Oliver; Röthig, Andreas - 2015
We address the question of whether various types of speculative investor correctly anticipate future USD/EUR currency movements or whether they tend rather to react to past exchange rate movements. Throughout the analysis, we differentiate between large and small traders, and an upper bound of...
Persistent link: https://www.econbiz.de/10011391722
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Show what you risk - norms for risk taking
Grimm, Stefan - 2018
Most economic decisions are embedded in a specific social context. In many such contexts, individual choices are influenced by their observability due to underlying social norms and social image concerns. This study investigates the impact of choices being observed, compared to anonymity of...
Persistent link: https://www.econbiz.de/10011930435
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Market timing, maturity mismatch, and risk management : evidence from the banking industry
Ruprecht, Benedikt; Entrop, Oliver; Kick, Thomas; … - 2013
compliance with the interest rate risk regulation. Although hedging motives dominate, we find selective hedging behavior in swap …
Persistent link: https://www.econbiz.de/10010248947
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Why hedge? : a critical review of theory and empirical evidence
Ammon, Norbert - 1998
corporate hedging: equity value maximising strategies and strategies determined by managerial risk aversion. The first category … distress and costs of external finance or to replace home-made hedging by shareholders. The second category considers that … managers maximise their personal utility rather than the market value of equity. Their hedging strategy, therefore, is …
Persistent link: https://www.econbiz.de/10013428154
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Forecast hedging and calibration
Foster, Dean P.; Hart, Sergiu - 2019
Persistent link: https://www.econbiz.de/10013364336
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Real financial market exchange rates and capital flows
Gelman, Maria; Jochem, Axel; Reitz, Stefan - 2013
Foreign exchange rates and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. To account for this fact we construct an index of real effective exchange rates as a weighted average of cross-country asset price...
Persistent link: https://www.econbiz.de/10010211958
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Real effects of foreign exchange risk migration : evidence from matched firm-bank microdata
Abbassi, Puriya; Bräuning, Falk - 2020
When firms trade forward contracts with banks to protect foreign currency cash flows against exchange rate movements, foreign exchange risk migrates to the banking sector. We show how this migrated risk may induce systemic repercussions with severe implications for the real economy. For...
Persistent link: https://www.econbiz.de/10012292246
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Asymmetric arbitrage trading on offshore and onshore renminbi markets
Eraslan, Sercan - 2017
This paper investigates the asymmetries in arbitrage trading with onshore and offshore renminbi spot rates, focusing on the time-varying driving factors behind the deviations of the two rates from their long-run equilibrium. Fundamentally, offshore and onshore renminbi rates represent the same...
Persistent link: https://www.econbiz.de/10011649208