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Shorting the dollar when global stock markets roar : the equity hedging channel of exchange rate determination
Ben Zeev, Nadav; Nathan, Daniel - 2023
Persistent link: https://www.econbiz.de/10014486893
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On the time varying risk premium in the yen/dollar exchange market
Canova, Fabio; Ito, Taketoshi - 1987
Persistent link: https://www.econbiz.de/10003508439
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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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Capital controls and covered interest parity between the yen and dollar
Ito, Takatoshi - 1983
Persistent link: https://www.econbiz.de/10003528805
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Exchange rate volatility and cross-border travel : theory and empirics
Wisarut Suwanprasert - 2021
Persistent link: https://www.econbiz.de/10012605965
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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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Macroeconomic stability and the real interest rate : a cross-country analysis
Groth, Charlotta; Zampolli, Fabrizio - 2010
that a rise in conditional consumption growth volatility relative to the rest of the world reduces the foreign exchange … relation between the volatility in consumption growth and the level of real interest rates relative to the world interest rate …We construct a measure of the short-term world interest rate using principal component analysis. Drawing on real …
Persistent link: https://www.econbiz.de/10008695840
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The dynamic impact of FX interventions on financial markets
Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias - 2019
shocks significantly affect exchange rates and that this impact persists for months. We show for Japan and the US that …
Persistent link: https://www.econbiz.de/10012138448
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Forecasting volatility and option pricing for exchange-rate dynamics : a comparison of models
Kaehler, Jürgen - 2009
This paper explores the applicability of static and dynamic models to capture the stylized facts of exchange-rate dynamics. The static models (mixture of distributions, compound Poisson process, generalized Student distribution) are compatible with leptokurtosis and can be characterized as...
Persistent link: https://www.econbiz.de/10011622721
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Markov-switching models for exchange-rate dynamics and the pricing of foreign-currency options
Kaehler, Jürgen; Marnet, Volker - 1993
Persistent link: https://www.econbiz.de/10011619959