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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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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 … accounts for changes in exchange rates, foreign exchange reserves and, optionally, interest rates. Surges in monetary liquidity … market conditions: ample liquidity provision in advanced economies contributes to the build-up of financial stability risks …
Persistent link: https://www.econbiz.de/10011820941
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Foreign exchange dealer asset pricing
Reitz, Stefan; Umlandt, Dennis - 2019
We show that excess returns to the carry trade can be interpreted as compensation for foreign exchange dealers' capital risk. Given that the top market makers in foreign exchange are at the heart of the market's information aggregation process we also suggest that it is their marginal value of...
Persistent link: https://www.econbiz.de/10012109710
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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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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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What are the real effects of financial market liquidity? : evidence on bank lending from the euro area
Dombret, Andreas R.; Foos, Daniel; Pliszka, Kamil; … - 2018
We analyze the impact of market liquidity on bank lending in the euro area for different segments over the period 2003 … to 2016. Our results on the aggregate level show that market liquidity is positively related to loan volumes and … liquidity has an asymmetric effect on bank lending: The negative impact of a reduction in liquidity is more significant than the …
Persistent link: https://www.econbiz.de/10011897986
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International investment positions and exchange rate dynamics
Binder, Michael; Offermanns, Christian J. - 2014
We revisit medium- to long-run exchange rate determination, focusing on the role of international investment positions. To do so, we make use of a new econometric framework accounting for conditional long-run homogeneity in heterogeneous dynamic panel data models. In particular, in our model the...
Persistent link: https://www.econbiz.de/10010414236
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Vulnerable asset management? : the case of mutual funds
Fricke, Christoph; Fricke, Daniel - 2017
funds’ vulnerability to systemic asset liquidations, highlighting the importance of funds’ liquidity transformation …. Therefore, regulators should monitor structural vulnerabilities in the fund sector arising through liquidity transformation. …
Persistent link: https://www.econbiz.de/10011740280
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Selective default expectations
Accominotti, Olivier; Albers, Thilo N. H.; Oosterlinck, Kim - 2023
This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various creditor countries before and after bond market...
Persistent link: https://www.econbiz.de/10014495920
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Capital flows and asset prices
Aoki, Kosuke (contributor); Benigno, Gianluca (contributor);  … - 2009
After liberalizing international transactions of financial assets, many countries experience large swings in asset prices, capital flows, and aggregate production. This paper studies how the adjustment to capital account liberalization depends upon the degree of development of a domestic...
Persistent link: https://www.econbiz.de/10003868102