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Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices
Krichene, Noureddine - 2004
Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dollar-euro exchange rate. Returns'' volatilities are inferred from observed and...
Persistent link: https://www.econbiz.de/10014402029
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Foreign exchange intervention : a dataset of public data and proxies
Adler, Gustavo; Chang, Kyun Suk; Mano, Rui; Shao, Yuting - 2021
countries. Proxies are focused on both spot and derivative transactions that alter the central bank's foreign currency position …
Persistent link: https://www.econbiz.de/10012518682
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Establishing a foreign exchange futures market in China
Jin, Zhongxia; Zhao, Yue; Wang, Haobin - 2021
whether FX futures market will amplify the volatility of spot exchange rates, this paper analyzes the impact of establishing … FX futures markets on spot market volatility using data from major emerging market economies. The result shows that FX … futures market is not empirically associated with an increase in spot market volatility; in some cases, it is even associated …
Persistent link: https://www.econbiz.de/10012796195
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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 …
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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The relative effectiveness of spot and derivatives based intervention : the case of Brazil
Nedeljkovic, Milan; Saborowski, Christian - 2016
This paper studies the relative effectiveness of foreign exchange intervention in spot and derivatives markets. We make use of Brazilian data where spot and non-deliverable futures based intervention have been used in tandem for more than a decade. The analysis finds evidence in favor of a...
Persistent link: https://www.econbiz.de/10011716461
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Patterns of foreign exchange intervention under inflation targeting
Adler, Gustavo; Chang, Kyun Suk; Wang, Zijiao - 2020
The paper documents the use of foreign exchange intervention (FXI) across countries and monetary regimes, with special attention to its use under inflation targeting (IT). We find significant differences between advanced and emerging market economies, with the former group conducting FXI...
Persistent link: https://www.econbiz.de/10012251394
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Soft power and exchange rate volatility
Cevik, Serhan; Harris, Richard D. F.; Yilmaz, Fatih - 2015
, institutional, political and social underpinnings to uncover the 'missing' determinants of exchange rate volatility over time and … volatility, especially in emerging market economies. After controlling for standard macroeconomic factors, we find that the 'soft … volatility across countries …
Persistent link: https://www.econbiz.de/10011281975
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FX funding risks and exchange rate volatility : Korea’s case
Ree, Jack Joo K.; Yoon, Kyoungsoo; Park, Hail - 2012
This paper examines how exchange rate volatility and Korean banks' foreign exchange liquidity mismatches interacted …
Persistent link: https://www.econbiz.de/10009679020