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Exchange Rate Risk Measurement and Management; Issues and Approaches for Firms

Papaioannou, Michael G. - International Monetary Fund (IMF) - 2006

passive versus active hedging. In addition, it outlines a set of widely accepted best practices in managing currency risk and … presents some of the main hedging instruments in the OTC and exchange-traded markets. The paper also provides some data on the … use of financial derivatives instruments, and hedging practices by U.S. firms. …

Persistent link: https://www.econbiz.de/10005825991

Currency Risk Premia in Global Stock Markets

Merritt, Matthew D.; Roache, Shaun K. - International Monetary Fund (IMF) - 2006

assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedging instruments available …

Persistent link: https://www.econbiz.de/10005826109

The Transmission of Financial Stress from Advanced to Emerging Economies

Danninger, Stephan - 2009

This paper studies how financial stress is transmitted from advanced to emerging economies, using a new financial stress index for emerging economies. An episode of financial stress is defined as a period when the financial system's ability to intermediate may be impaired. Previous financial...

Persistent link: https://www.econbiz.de/10012677798

Tracking Global Demand for Advanced Economy Sovereign Debt.

Arslanalp, Serkan - 2012

Recent events have shown that sovereigns, just like banks, can be subject to runs, highlighting the importance of the investor base for their liabilities. This paper proposes a methodology for compiling internationally comparable estimates of investor holdings of sovereign debt. Based on this...

Persistent link: https://www.econbiz.de/10012690158

Exchange rate and foreign interest rate linkages for Sub-Saharan Africa floaters

Thomas, Alun - 2012

The paper considers the determinants of exchange rate movements among sub-Saharan countries that have flexible exchange rate regimes. The determinants are based on the law of one price and interest parity conditions. Results indicate that the exchange rates have responded significantly to...

Persistent link: https://www.econbiz.de/10009621648

Uncovered Interest Parity

Isard, Peter - 2006

Persistent link: https://www.econbiz.de/10012682181

Small Foreign Exchange Market with a Long-Term Peg : Barbados

Craigwell, Roland - 2006

Persistent link: https://www.econbiz.de/10012691115

Testing Real Interest Parity in Emerging Markets.

Banerjee, Abhisek - 2006

Persistent link: https://www.econbiz.de/10012691184

Uncovering CIP Deviations in Emerging Markets: Distinctions, Determinants and Disconnect

Cerutti, Eugenio - 2023

We provide a systematic empirical treatment of short-term Covered Interest Parity (CIP) deviations for a large set of emerging market (EM) currencies. EM CIP deviations have much larger volatilities than most G10 currencies and move in an opposite direction during global risk-off episodes. While...

Persistent link: https://www.econbiz.de/10015059692

Uncovered Interest Parity

Isard, Peter - International Monetary Fund (IMF) - 2006

This paper provides an overview of the uncovered interest parity assumption. It traces the history of the interest parity concept, summarizes evidence on the empirical validity of uncovered interest parity, and discusses different interpretations of the evidence and the implications for...

Persistent link: https://www.econbiz.de/10005604875

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