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Currency Hedging Over Long Horizons
Froot, Kenneth - 2001
This paper reexamines the widely-held wisdom that the currency exposure of international investments should be entirely hedged. It finds that the previously documented ability of hedges to reduce portfolio return variance holds at short horizons, but not at long horizons. At horizons of several...
Persistent link: https://www.econbiz.de/10012787885
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What Lies Beneath the Euro's Effect on Financial Integration : Currency Risk, Legal Harmonization, or Trade?
Kalemli-Ozcan, Sebnem - 2010
Although recent research shows that the euro has spurred cross-border financial integration, the exact mechanisms … remain unknown. We investigate the underlying channels of the euro's effect on financial integration using data on bilateral … euro's impact on financial integration is primarily driven by eliminating the currency risk. Legislative …
Persistent link: https://www.econbiz.de/10013152591
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When Britain Turned Inward : Protection and the Shift Towards Empire in Interwar Britain
de Bromhead, Alan - 2017
International trade became much less multilateral during the 1930s. Previous studies, looking at aggregate trade flows, have argued that discriminatory trade policies had comparatively little to do with this. Using highly disaggregated information on the UK's imports and trade policies, we find...
Persistent link: https://www.econbiz.de/10012963163
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Euro Membership as a U.K. Monetary Policy Option : Results from a Structural Model
DiCecio, Riccardo - 2010
in the United Kingdom and the euro area, have increased our ability to evaluate the effects that joining monetary union ….K. regime (CPI inflation targeting combined with a floating exchange rate), and adoption of the euro, as monetary policy options … stability under monetary union also diminishes if imports from the euro area are modeled as primarily intermediates instead of …
Persistent link: https://www.econbiz.de/10012757534
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Uncovered Interest Parity, Forward Guidance, and the Exchange Rate
Galí, Jordi - 2022
, euro area and UK data points to a substantial deviation from that invariance prediction: expectations of interest rate …
Persistent link: https://www.econbiz.de/10013324699
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Home Bias in Open Economy Financial Macroeconomics
Coeurdacier, Nicolas - 2011
Home bias is a perennial feature of international capital markets. We review various explanations of this puzzling phenomenon highlighting recent developments in macroeconomic modelling that incorporate international portfolio choices in standard two-country general equilibrium models. We refer...
Persistent link: https://www.econbiz.de/10013117208
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The Forward Premium Puzzle in a Two-Country World
Martin, Ian - 2011
I explore the behavior of asset prices and the exchange rate in a two-country world. When the large country has bad news, the relative price of the small country's output declines. As a result, the small country's bonds are risky, and uncovered interest parity fails, with positive excess returns...
Persistent link: https://www.econbiz.de/10013118842
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Carry Trades and Risk
Burnside, A. Craig - 2011
Carry trades, in which an investor borrows a low interest rate currency and lends a high interest rate currency, have been profitable historically. The risk exposure of carry traders might explain their high returns, but conventional models of risk do not work because traditional risk factors,...
Persistent link: https://www.econbiz.de/10013121721
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A Bargaining Theory of Trade Invoicing and Pricing
Goldberg, Linda S. - 2013
tolerant. A higher effective bargaining weight of importers relative to exporters in turn translates into lower import prices … and greater exchange rate pass-through into import prices. We show the range of price and invoicing outcomes that arise …
Persistent link: https://www.econbiz.de/10013083079
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The Golden Dilemma
Erb, Claude B. - 2013
While gold objects have existed for thousands of years, gold's role in diversified portfolios is not well understood. We critically examine popular stories such as 'gold is an inflation hedge'. We show that gold may be an effective hedge if the investment horizon is measured in centuries. Over...
Persistent link: https://www.econbiz.de/10013088402