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Global roles of currencies
Thimann, Christian - 2009
This paper presents a new concept – the global roles of currencies. The concept combines the domestic and international (cross-border) use of currencies and therefore captures the overall importance of different currencies in a globalised economy. The measure of a currency’s global role is...
Persistent link: https://www.econbiz.de/10011605077
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Exchange rates and fundamentals
Engel, Charles; West, Kenneth D. - 2003
Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates -- that is,...
Persistent link: https://www.econbiz.de/10011604294
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Do financial market variables show (symmetric) indicator properties relative to exchange rate returns?
Castrén, Olli - 2004
This paper assesses the contemporaneous, leading and lagging indicator properties of financial market variables relative to movements in six major developed country currency pairs. As indicator variables changes in various relative asset prices, short-term portfolio flows and currency options...
Persistent link: https://www.econbiz.de/10011604425
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Attention to the tail(s): Global financial conditions and exchange rate risks
Eguren-Martin, Fernando; Sokol, Andrej - 2020
We document how the distribution of exchange rate returns responds to changes in global financial conditions. We measure global financial conditions as the common component of country-specific financial condition indices, computed consistently across a large panel of developed and emerging...
Persistent link: https://www.econbiz.de/10012422049
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On the effectiveness of sterilized foreign exchange intervention
Fatum, Rasmus - 2000
This paper addresses the question of whether sterilized central bank intervention systematically affects exchange rates …. Furthermore, the paper analyzes whether a central bank can conduct its intervention operations in a specific manner, in order to … the finance literature to daily data on Bundesbank and Fed post-Plaza intervention. Using the non-parametric sign test and …
Persistent link: https://www.econbiz.de/10011604056
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Exchange rate risks and asset prices in a small open economy
Derviz, Alexis - 2004
The paper proposes a multi-factor international asset pricing model in which the exchange rate is allowed to be co-determined by a risk factor imperfectly correlated to other priced risks in the economy. The significance of this factor can be established as long as one is able to observe a proxy...
Persistent link: https://www.econbiz.de/10011604360
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Estimating and analysing currency options implied risk-neutral density functions for the largest new EU member states
Castrén, Olli - 2005
This paper uses data on currency options prices for the exchange rates of the three largest new EU member states Poland, Czech Republic and Hungary vis-à-vis the euro and the US dollar to estimate the risk-neutral density (RND) functions and the density interval bands. Analysing the RNDs, we...
Persistent link: https://www.econbiz.de/10011604486
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Foreign exchange option and returns based correlation forecasts: evaluation and two applications
Castrén, Olli; Mazzotta, Stefano - 2005
We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over-the-counter (OTC) currency option prices to a set of return-based correlation measures and assess the relative quality of the correlation forecasts. We find that while the predictive...
Persistent link: https://www.econbiz.de/10011604493
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Towards European monetary integration: the evolution of currency risk premium as a measure for monetary convergence prior to the implementation of currency unions
González, Fernando; Launonen, Simo - 2005
We assess monetary convergence preceding the implementation of the European Monetary Union (EMU) through Kalman filtering estimates of the risk premium of eleven forward exchange rates of European and non-European currencies. Since all participating currencies are in effect identical from...
Persistent link: https://www.econbiz.de/10011604615
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A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
Hillebrand, Eric; Schnabl, Gunther - 2006
While up to the late 1990s Japanese foreign exchange intervention was fully sterilized, Japanese monetary authorities … left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous … research on foreign exchange intervention, unsterilized intervention has a higher probability of success than sterilized …
Persistent link: https://www.econbiz.de/10011604696