Narrow search
Showing 1 - 10 of 551
Cover Image
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
Cover Image
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
Cover Image
The unbiasedness hypothesis in the forward foreign exchange market : a cross-country specification analysis
Gregory, Allan W.; MacCurdy, Thomas H. - 1984
Persistent link: https://www.econbiz.de/10003529444
Cover Image
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
Cover Image
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
Cover Image
Long run risk model and equity premium puzzle in Thailand
Sartja Duangchaiyoosook; Kilenthong, Weerachart T. - 2021
Persistent link: https://www.econbiz.de/10012582703
Cover Image
Beta dispersion and market timing
Kuntz, Laura-Chloé - 2020
The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...
Persistent link: https://www.econbiz.de/10012264452
Cover Image
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
Cover Image
Exchange rate risk and volatility : Evidence from bid-ask spreads
Glassman, Debra - 1984
Persistent link: https://www.econbiz.de/10003528684
Cover Image
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