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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
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Testing for Purchasing Power Parity in Cointegrated Panels
Lyhagen, Johan - 2007
This paper applies the maximum likelihood panel cointegration method of Larsson and Lyhagen (2007) to test the strong … contrasted to those from the Pedroni (1995) cointegration tests and fully modified OLS and dynamic OLS esimators of the …
Persistent link: https://www.econbiz.de/10014401245
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Long-Run Exchange Rate Dynamics : A Panel Data Study
Habermeier, Karl Friedrich - 1999
Long-run movements of real exchange rates are studied using a panel data set comprising 51 economies. The purchasing power parity hypothesis (PPP) is examined first using unit root tests. It is found that PPP does not hold for the full sample of countries, but it may hold for the advanced...
Persistent link: https://www.econbiz.de/10014403431
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Exchange Rate Pass-Through to Domestic Prices : Does the Inflationary Environment Matter?
Hakura, Dalia - 2001
The paper tests a hypothesis suggested by Taylor (2000) that a low inflationary environment leads to a low exchange rate pass-through to domestic prices. To test this hypothesis, the paper derives a pass-through relation based on new open economy macroeconomic models. A large database that...
Persistent link: https://www.econbiz.de/10014400110
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Asset Market and Balance of Payments Characteristics : An Eclectic Exchange Rate Model for the Dollar, Mark, and Yen
MacDonald, Ronald - 1995
In this paper we use an exchange rate model that combines asset market characteristics with balance of payments interactions to examine the nominal effective exchange rates of the German mark, Japanese yen, and U.S. dollar for the recent experience with floating exchange rates. Our approach may...
Persistent link: https://www.econbiz.de/10014398230
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Covered interest parity deviations : macrofinancial determinants
Cerutti, Eugenio M.; Obstfeld, Maurice; Zhou, Haonan - 2019
For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely-even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential...
Persistent link: https://www.econbiz.de/10012001567
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FX Funding Risks and Exchange Rate Volatility–Korea’s Case
Ree, Jack - 2012
This paper examines how exchange rate volatility and Korean banks’ foreign exchange liquidity mismatches interacted with each other during the Global Financial Crisis, and whether the vulnerability stemming from this interaction has been reduced since then. Structural and cyclical changes...
Persistent link: https://www.econbiz.de/10014395582
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Realignment Expectations, Forward Rate Bias, and Sterilized Intervention in an Adjustable Peg Exchange Rate Model with Policy Optimization
Isard, Peter - 1994
The paper models an adjustable peg exchange rate arrangement as a policy rule with an escape clause under which the timing and magnitudes of realignments are the outcomes of policy optimization decisions. Under the assumptions that market participants are rational, risk averse, and fully...
Persistent link: https://www.econbiz.de/10014395996
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Cointegration of International Stock Market Indices
Chou, Ray Yeu-Tien - 1994
In this paper, we derive evidence on the integration of international stock markets from the cointegration properties … of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six … subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with …
Persistent link: https://www.econbiz.de/10014395829
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U.S. dollar currency premium in corporate bonds
Caramichael, John; Gopinath, Gita; Liao, Gordon Y. - 2021
We isolate a U.S. dollar currency premium by comparing corporate bonds issued in the dollar and the euro by firms o utside t he U .S. a nd e uro a rea. We make s everal empirical observations that dissect the perceived advantage of borrowing in the dollar. First, while the dollar dominates...
Persistent link: https://www.econbiz.de/10012605639