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Interest Rate Arbitrage in Currency Baskets : Forecasting Weights and Measuring Risk
Christoffersen, Peter F. - 1999
When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the conditional variance of expected profits from the...
Persistent link: https://www.econbiz.de/10014400299
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What Will Happen to Financial Markets When the Baby Boomers Retire?
Brooks, Robin - 2000
This paper explores whether changes in the age distribution have significant effects on financial markets that are rational and forward-looking. It presents an overlapping generations model in which agents make a portfolio decision over stocks and bonds when saving for retirement- Using the...
Persistent link: https://www.econbiz.de/10014399805
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Optimal Monetary Policy in a Small Open Economy Under Segmented Asset Markets and Sticky Prices
Medina Guzman, Juan Pablo - 2007
This paper studies optimal monetary policy in a two-sector small open economy model under segmented asset markets and sticky prices. We solve the Ramsey problem under full commitment, and characterize the optimal monetary policy in a calibrated version of the model. The findings of the paper are...
Persistent link: https://www.econbiz.de/10014399992
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Currency Hedging for International Portfolios
Schmittmann, Jochen M. - 2010
This paper examines the benefits from hedging the currency exposure of international investments in single- and multi … 2009, hedging of currency risk substantially reduced the volatility of foreign investments at a quarterly investment … hedging for risk reduction purposes remained strong.In addition to its impact on risk, hedging affected returns in …
Persistent link: https://www.econbiz.de/10014402714
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Macrofinancial causes of optimism in growth forecasts
Carrière-Swallow, Yan; Marzluf, José - 2021
We analyze the causes of the apparent bias towards optimism in growth forecasts underpinning the design of IMF-supported programs, which has been documented in the literature. We find that financial variables observable to forecasters are strong predictors of growth forecast errors. The greater...
Persistent link: https://www.econbiz.de/10012795149
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Risks and vulnerabilities in the U.S. bond mutual fund industry
Bouveret, Antoine; Yu, Jie - 2021
This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of analyses to identify which fund categories are more vulnerable to distress than others, and how sales from funds can impact financial stability. We develop a new measure to identify...
Persistent link: https://www.econbiz.de/10012605013
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Do multi-sector bond funds pose risks to emerging markets?
Cortes, Fabio; Sanfilippo, Luca - 2020
Emerging economies in the post-crisis period increasingly saw portfolio debt inflows from a type of large international investment fund: Multi-Sector Bond Funds (MSBFs). These investors have lacked adequate representation in the literature. This paper constructs a new detailed database from...
Persistent link: https://www.econbiz.de/10012300674
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The non-U.S. bank demand for U.S. dollar assets
Adrian, Tobias; Xie, Peichu - 2020
The USD asset share of non-U.S. banks captures the demand for dollars by these investors. An instrumental variable strategy identifies a causal link from the USD asset share to the USD exchange rate. Cross-sectional asset pricing tests show that the USD asset share is a highly significant...
Persistent link: https://www.econbiz.de/10012252026
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Macrofinance Model of the Czech Economy : Asset Allocation Perspective
International Monetary Fund - 2012
The paper developes a VAR macrofinance model of the Czech economy. It shows that yield misalignments from the yields implied by the macrofinance model partially determine subsequent yield changes over three to nine months. These yield misalignments tend to persist for a number of months. This...
Persistent link: https://www.econbiz.de/10014396906
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Determinants of Financial Market Spillovers : The Role of Portfolio Diversification, Trade, Home Bias, and Concentration
Shinagawa, Yoko - 2014
This paper defines financial market spillovers as the comovement between two countries’ financial markets and analyzes financial market spillovers over the period 2001-12 through four channels: bilateral portfolio investment, bilateral trade, home bias, and country concentration. The paper...
Persistent link: https://www.econbiz.de/10014411677