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Foreign exchange dealer asset pricing
Reitz, Stefan; Umlandt, Dennis - 2019
risk. Given that the top market makers in foreign exchange are at the heart of the market's information aggregation process …
Persistent link: https://www.econbiz.de/10012109710
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Carry funding and safe haven currencies : a threshold regression approach
Hossfeld, Oliver; MacDonald, Ronald - 2014
In this paper, we analyze which currencies can be regarded as safe haven currencies. Our empirical approach allows us to distinguish between a low- and high stress regime, and to control for the impact of carry trade reversals and other fundamental determinants. We therefore address the question...
Persistent link: https://www.econbiz.de/10010433356
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Current account deficits during heightened risk : menacing or mitigating?
Forbes, Kristin; Hjortsoe, Ida; Nenova, Tsvetelina - 2016
's vulnerability to periods of heightened risk and uncertainty. This paper develops a framework to evaluate such vulnerabilities. It … and explore how they are affected by domestic and global risk. We apply this framework to ten OECD economies, showing the … Kingdom, show that a substantial degree of international risk sharing can occur through current accounts and international …
Persistent link: https://www.econbiz.de/10011477292
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Global liquidity and exchange market pressure in emerging market economies
Hossfeld, Oliver; Pramor, Marcus - 2018
We analyse the relationship between global liquidity and exchange market pressure in 32 emerging market economies. Exchange market pressure is a measure of excess currency demand that is applicable across different exchange rate regimes as it accounts for changes in exchange rates, foreign...
Persistent link: https://www.econbiz.de/10011820941
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Investment opportunities in Central and Eastern European equity markets : an econometric examination of the risk-return relationships for Western investors
Schröder, Michael - 2000
This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...
Persistent link: https://www.econbiz.de/10013428350
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Sunspots in global games : theory and experiment
Heinemann, Frank; Moradi, Homayoon - 2018
We solve and test experimentally a global-games model of speculative attacks where agents can choose whether to read, at a cost, a payoff irrelevant (sunspot) announcement. Assuming that subjects exogenously believe some others to follow sunspots, we provide conditions for a unique equilibrium...
Persistent link: https://www.econbiz.de/10011976078
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The macroeconomic effects of large exchange rate appreciations
Kappler, Marcus; Reisen, Helmut; Schularick, Moritz; … - 2011
In this paper we study the macroeconomic effects of large exchange rate appreciations. Using a sample of 128 countries from 1960-2008, we identify large nominal and real appreciations shocks and study their macroeconomic effects in a dummy-augmented panel autoregressive model. Our results show...
Persistent link: https://www.econbiz.de/10008905965
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Cyclical investment behavior across financial institutions
Timmer, Yannick - 2016
This paper examines the investment behavior in debt securities across financial institutions with a particular focus on how they respond to price changes. For identification, we use security-level data from the German Microdatabase Securities Holdings Statistics. Our results suggest that banks...
Persistent link: https://www.econbiz.de/10011456487
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International capital flows, external assets and output volatility
Hoffmann, Mathias; Krause, Michael; Tillmann, Peter - 2014
more when the variance of their expected income stream is higher. We show that in the model the combination of income risk …
Persistent link: https://www.econbiz.de/10010433418
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Transmission of global financial shocks to EMU member states : the role of monetary policy and national factors
Gelman, Maria; Jochem, Axel; Reitz, Stefan - 2016
The paper analyses the transmission of global financial shocks to individual member states of the European Monetary Union (EMU), in which monetary policy is delegated to the ECB and financial markets are fully integrated. Using a panel VAR model, we show that the asymmetric effects of global...
Persistent link: https://www.econbiz.de/10011495568