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Cables, Sharks and Servers : Technology and the Geography of the Foreign Exchange Market
Eichengreen, Barry - 2016
We analyze the impact of technology on production and trade in services, focusing on the foreign exchange market. We …. Our estimates suggest that the second effect dominates. Technology dampens the impact of spatial frictions by up to 80 … percent and increases, in net terms, the share of offshore trading by 21 percentage points. Technology also has economically …
Persistent link: https://www.econbiz.de/10013001201
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Exchange Rates and Local Labor Markets
Goldberg, Linda S.; Tracy, Joseph S. - 2000
We document the consequences of real exchange rate movements for the employment, hours, and hourly earnings of workers in manufacturing industries across individual states. Exchange rates have statistically significant wage and employment implications in these local labor markets. The importance...
Persistent link: https://www.econbiz.de/10014193865
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Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets
Ito, Takatoshi - 2012
Using the "firm" quotes obtained from the tick-by-tick EBS (electronic broking system that is a major trading platform for foreign exchanges) data, it is found that risk-free arbitrage opportunities--free lunch--do occur in the foreign exchange markets, but it typically last only a few seconds....
Persistent link: https://www.econbiz.de/10013097780
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Conditional Risk Premia in Currency Markets and Other Asset Classes
Lettau, Martin - 2013
The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns....
Persistent link: https://www.econbiz.de/10013085923
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Global Portfolio Rebalancing and Exchange Rates
Camanho, Nelson - 2018
We examine international equity allocations at the fund level and show how different returns on the foreign and domestic proportion of portfolios determine rebalancing behavior and trigger capital flows. We document the heterogeneity of rebalancing across fund types, its greater intensity under...
Persistent link: https://www.econbiz.de/10012927034
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Crash Risk in Currency Markets
Farhi, Emmanuel - 2010
Since the fall of 2008, option smiles have been clearly asymmetric: out-of-the-money currency options point to large expected exchange rate depreciations (appreciations) for high (low) interest rate currencies, suggesting that disaster risk is priced in currency markets. To study the price of...
Persistent link: https://www.econbiz.de/10013152552
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Do Professional Currency Managers Beat the Benchmark?
Pojarliev, Momtchil - 2008
We investigate an index of returns on professionally managed currency funds and a subset of returns from 34 individual currency fund managers. Over the period 1990-2006, excess returns earned by currency fund managers have averaged 25 basis points per month. We examine the relationship of these...
Persistent link: https://www.econbiz.de/10012773121
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How Well Do Foreign Exchange Markets Function : Might a Tobin Tax Help?
Frankel, Jeffrey A. - 2008
Figures for 1995 estimate trading by dealers in the foreign exchange market at over $1,200 billion per day, most of it with other dealers. Some have linked this volume to concerns of excessive volatility in the market. Tobin's proposal to address this volatility with a small tax on all foreign...
Persistent link: https://www.econbiz.de/10012774984
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Global Currency Hedging
Campbell, John Y. - 2007
Over the period 1975 to 2005, the US dollar (particularly in relation to the Canadian dollar) and the euro and Swiss franc (particularly in the second half of the period) have moved against world equity markets. Thus these currencies should be attractive to risk-minimizing global equity...
Persistent link: https://www.econbiz.de/10012776958
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Good Carry, Bad Carry
Bekaert, Geert - 2019
We distinguish between ”good” and ”bad” carry trades constructed from G-10 currencies. The good trades exhibit higher Sharpe ratios and sometimes positive return skewness, in contrast to the bad trades that have both substantially lower Sharpe ratios and highly negative return skewness....
Persistent link: https://www.econbiz.de/10012895473