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Carry funding and safe haven currencies : a threshold regression approach
Hossfeld, Oliver; MacDonald, Ronald - 2014
the estimation results, two currencies, the Swiss franc and (to a lesser extent) the US dollar qualify as safe haven … currencies, and the euro serves as a hedge currency. Results for the yen support its role as a carry funding vehicle, but not …
Persistent link: https://www.econbiz.de/10010433356
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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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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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Foreign exchange interventions and their impact on expectations : evidence from the USD/ILS options market
Hertrich, Markus; Nathan, Daniel - 2022
Using confidential daily data, we analyse how the intervention episode of the Bank of Israel (BOI) from 2013 to 2019 has affected the foreign value of the Israeli new shekel (ILS) and the expectations about its future value. We find that interventions amounting to US dollar (USD) 1 billion are...
Persistent link: https://www.econbiz.de/10013259481
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Point, interval and density forecasts of exchange rates with time-varying parameter models
Abbate, Angela; Marcellino, Massimiliano - 2016
an accurate calibration of forecast confidence intervals, and is better suited at long horizons and in high-volatility …
Persistent link: https://www.econbiz.de/10011489395
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US trade policy and the US dollar
Khalil, Makram; Strobel, Felix - 2021
We investigate the extent to which the effect of the 2018/2019 US import tariff hikes on US (post-tariff) import prices was offset by the concurrent appreciation of the US dollar and trace the source of the appreciation back to US trade policy itself. The dollar response to trade policy...
Persistent link: https://www.econbiz.de/10012792730
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Central bank information shocks and exchange rates
Franz, Thorsten - 2020 - This version: February 2020
The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...
Persistent link: https://www.econbiz.de/10012180641
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Who trades on momentum?
Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2014
Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...
Persistent link: https://www.econbiz.de/10010471006
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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …
Persistent link: https://www.econbiz.de/10011663407
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Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate
Balaban, Ercan - 1999
Persistent link: https://www.econbiz.de/10001399838