traditional portfolio objectives as debt to reserve ratios decrease. We empirically estimate optimal dollar and euro shares for 24 … reserve ratios, introducing transactions demand has a elatively modest effect. We also find that euro and dollar bonds act as … sudden stops in Asia and Latin America, while the euro is a better hedge for sudden stops in Emerging Europe. We reproduce …

equity investors and speculative money market investors while investors in currency option markets react strongly to expected …

This paper investigates the relation between monetary conditions and the excess returns arising from currency carry … decrease in inter-national risk aversion, which in turn leads to a compression in currency risk premia and higher carry trade …

economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US … have a statistically but also an economically significant impact on the euro, and to a lesser extent the yen against the US … paper is to analyse the market impact on major currency pairs of official statements made by EME policy-makers about their …

-the-counter (OTC) currency option prices to a set of return-based correlation measures and assess the relative quality of the … correlations. We then apply the correlation forecasts to two policyrelevant topics, to produce scenario analyses for the euro … effective exchange rate index, and to analyse the impact on cross-currency co-movement of interventions on the JPY/USD exchange …