Similar Search Results

The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself

Jorda, Oscar; Taylor, Alan M. - National Bureau of Economic Research (NBER) - 2009

The carry trade is the investment strategy of going long in high-yield target currencies and short in low-yield funding currencies. Recently, this naive trade has seen very high returns for long periods, followed by large crash losses after large depreciations of the target currencies. Based on...

Persistent link: https://www.econbiz.de/10008628426

Econometric Analysis of Present Value Models When the Discount Factor Is near One

West, Kenneth D. - National Bureau of Economic Research (NBER) - 2012

This paper develops asymptotic econometric theory to help understand data generated by a present value model with a discount factor near one. A leading application is to exchange rate models. A key assumption of the asymptotic theory is that the discount factor approaches 1 as the sample size...

Persistent link: https://www.econbiz.de/10010785624

What Defines "News" in Foreign Exchange Markets?

Dominguez, Kathryn M. E.; Panthaki, Freyan - National Bureau of Economic Research (NBER) - 2005

This paper examines whether the traditional sets of macro surprises, that most of the literature considers, are the only sorts of news that can explain exchange rate movements. We examine the intra-daily influence of a broad set of news reports, including variables which are not typically...

Persistent link: https://www.econbiz.de/10005718754

Global Imbalances and Financial Fragility

Caballero, Ricardo J; Krishnamurthy, Arvind - National Bureau of Economic Research (NBER) - 2009

The U.S. is currently engulfed in the most severe financial crisis since the Great Depression. A key structural factor behind this crisis is the large demand for riskless assets from the rest of the world. In this paper we present a model to show how such demand not only triggered a sharp rise...

Persistent link: https://www.econbiz.de/10005050251

Currency Carry Trades

Jorda, Oscar; Taylor, Alan M.; Berge, Travis J. - National Bureau of Economic Research (NBER) - 2010

A wave of recent research has studied the predictability of foreign currency returns. A wide variety of forecasting …

Persistent link: https://www.econbiz.de/10008684847

The Myth of Long-Horizon Predictability

Boudoukh, Jacob; Richardson, Matthew; Whitelaw, Robert - National Bureau of Economic Research (NBER) - 2005

The prevailing view in finance is that the evidence for long-horizon stock return predictability is significantly stronger than that for short horizons. We show that for persistent regressors, a characteristic of most of the predictive variables used in the literature, the estimators are almost...

Persistent link: https://www.econbiz.de/10005087466

The Golden Dilemma

Harvey, Campbell; Erb, Claude B. - National Bureau of Economic Research (NBER) - 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 practical investment horizons, gold is an unreliable inflation …

Persistent link: https://www.econbiz.de/10010951171

Market Evaluations of Banking Fragility in Japan: Japan Premium, Stock Prices, and Credit Derivatives

Ito, Takatoshi; Harada, Kimie - National Bureau of Economic Research (NBER) - 2003

This paper investigates movements of market indicators of banking fragility, namely, Japan premium, stock prices, and credit derivative spreads of Japanese banks. Although the Japan premium in the euro-dollar market seemed to have virtually disappeared since April 1999, credit and default risks...

Persistent link: https://www.econbiz.de/10005710724

Securities Laws, Disclosure, and National Capital Markets in the Age of Financial Globalization

Stulz, René M. - National Bureau of Economic Research (NBER) - 2008

As barriers to international investment fall and technology improves, the cost advantages for a firm's securities to trade publicly in the country in which that firm is located and for that country to have a market for publicly traded securities distinct from the capital markets of other...

Persistent link: https://www.econbiz.de/10005778947

A New Approach to Measuring Financial Contagion

Bae, Kee-Hong; Karolyi, G. Andrew; Stulz, Rene M. - National Bureau of Economic Research (NBER) - 2000

This paper proposes a new approach to evaluate contagion in financial markets. Our measure of contagion captures the co-incidence of extreme return shocks across countries within a region and across regions that cannot be explained by linear propagation models of shocks. We characterize the...

Persistent link: https://www.econbiz.de/10005089228

1
2
3
4
5
6
7
8
9
10
Next
Last