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Investors’ Risk Appetite and Global Financial Market Conditions
González-Hermosillo, Brenda - 2008
volatility risks), contagion effects, and idiosyncratic factors. While idiosyncratic factors explain a large amount of the …
Persistent link: https://www.econbiz.de/10014400361
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International Mutual Funds, Capital Flow Volatility, and Contagion-A Survey
Gelos, Gaston - 2011
Gaining a better understanding of the behavior of international investors is key for informing the debate about the optimal response to capital flows and about reforms to the international financial architecture. In this context, recent research on the behavior of international mutual funds at...
Persistent link: https://www.econbiz.de/10014400976
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Financial Integration and Macroeconomic Volatility
Terrones, Marco - 2003
This paper examines the impact of international financial integration on macroeconomic volatility in a large group of … industrial and developing economies over the period 1960-99. We report two major results: First, while the volatility of output … volatility of consumption growth relative to that of income growth has increased for more financially integrated developing …
Persistent link: https://www.econbiz.de/10014404001
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Exchange Rate Movements and International Interdependence of Stock Markets
International Monetary Fund - 1989
This paper investigates linkages between stock markets in seven industrialized countries since 1974. Empirical evidence shows that both nominal and real stock prices (and returns) are strongly positively correlated across countries, and that nominal exchange rate changes do not have systematic...
Persistent link: https://www.econbiz.de/10014396348
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Currency Hedging for International Portfolios
Schmittmann, Jochen M. - 2010
2009, hedging of currency risk substantially reduced the volatility of foreign investments at a quarterly investment …
Persistent link: https://www.econbiz.de/10014402714
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Does the Introduction of Futureson Emerging Market Currencies Destabilize the Underlying Currencies?
Jochum, Christian - 1998
measures of linear dependence and feedback indicate strong connections between the respective markets, futures volatility does … not significantly explain spot market volatility, nor does it increase after futures introductions. To account for the … characteristics of the spot and futures returns a SWARCH model has been employed to estimate volatility …
Persistent link: https://www.econbiz.de/10014400838
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Offshore currency markets : non-deliverable forwards (NDFs) in Asia
Schmittmann, Jochen Markus; Teng, Chua Han - 2020
Non-deliverable forward (NDF) markets in many Asian emerging market currencies are large, rapidly growing, and often exceed onshore markets in transaction volume. NDFs tend to price significant depreciation during market stress episodes including COVID-19. Spillovers from NDFs to onshore markets...
Persistent link: https://www.econbiz.de/10012301975
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FX Swaps : Implications for Financial and Economic Stability
Ong, Li L. - 2010
The proliferation of foreign exchange (FX) swaps as a source of funding and as a hedging tool has focused attention on the role of the FX swap market in the recent crisis. The turbulence in international money markets spilled over into the FX swap market in the second-half of 2007 and into 2008,...
Persistent link: https://www.econbiz.de/10014402802
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The Use of Foreign Exchange Swaps by Central Banks : A Survey
Hooyman, Catharina J. - 1993
The paper discussed the use of foreign exchange swaps by central banks. Such use has aimed at affecting domestic liquidity, managing foreign exchange reserves, and stimulating domestic financial markets. It discusses these different uses and present evidence for a selected group of countries....
Persistent link: https://www.econbiz.de/10014398232
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Jumps, Martingales, and Foreign Exchange Futures Prices
Hu, Zuliu - 1996
A common specification about the behavior of foreign exchange spot and futures prices is that they follow continuous diffusion processes. The empirical regularities uncovered from daily and weekly currency futures data, however, cast doubts on the validity of this model. First, contrary to the...
Persistent link: https://www.econbiz.de/10014396000