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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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The Forward Premium Puzzle Revisited
Meredith, Guy - 2002
from risk neutrality and/or rational expectations. In addition, a mechanism is needed that generates the appropriate … correlation between the forward premium and shocks arising from risk premia or expectations errors. This paper extends McCallum …
Persistent link: https://www.econbiz.de/10014399801
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Interest Rate Arbitrage in Currency Baskets : Forecasting Weights and Measuring Risk
Christoffersen, Peter F. - 1999
unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the …
Persistent link: https://www.econbiz.de/10014400299
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Uncertainty premia, sovereign default risk, and state-contingent debt
Roch, Francisco; Roldán, Francisco - 2021
We analyze how concerns for model misspecification on the part of international lenders affect the desirability of issuing state-contingent debt instruments in a standard sovereign default model a la Eaton and Gersovitz (1981). We show that for the commonly used threshold state-contingent bond...
Persistent link: https://www.econbiz.de/10012518920
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Sovereign Spreads : Global Risk Aversion, Contagion or Fundamentals?
Segoviano Basurto, Miguel A. - 2010
explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-specific risks, directly … in the crisis, the surge in global risk aversion was a significant factor influencing sovereign spreads, while recently … Spain, as the emphasis has shifted towards short-term refinancing risk and long-term fiscal sustainability. The paper …
Persistent link: https://www.econbiz.de/10014402913
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Establishing a foreign exchange futures market in China
Jin, Zhongxia; Zhao, Yue; Wang, Haobin - 2021
During China's transition toward a more flexible exchange rate, it is essential to further develop its foreign exchange (FX) derivatives markets to meet the growing hedging needs associated with greater exchange rate fluctuations. Although over-the-counter (OTC) FX derivatives markets already...
Persistent link: https://www.econbiz.de/10012796195
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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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What do deviations from covered interest parity and higher FX hedging costs mean for Asia?
Hong, Gee Hee; Oeking, Anne; Kang, Kenneth H.; Rhee, … - 2019
Asian countries have high demand for U.S. dollars and are sensitive to U.S. dollar funding costs. An important, but often overlooked, component of these costs is the basis spread in the cross-currency swap market that emerges when there are deviations from covered interest parity (CIP). CIP...
Persistent link: https://www.econbiz.de/10012102189
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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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Discriminatory pricing of over-the-counter derivatives
Hau, Harald; Hoffmann, Peter; Langfield, Sam; Timmer, … - 2019
New regulatory data reveal extensive price discrimination against non-financial clients in the FX derivatives market. The client at the 90th percentile pays an effective spread of 0.5%, while the bottom quarter incur transaction costs of less than 0.02%. Consistent with models of search...
Persistent link: https://www.econbiz.de/10012021832