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The Rise of the Dollar and Fall of the Euro as International Currencies
Maggiori, Matteo - 2018
article, we provide evidence suggesting a recent rise in the use of the dollar, and fall of the use in the euro, with similar …
Persistent link: https://www.econbiz.de/10012481057
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Random Walk or A Run : Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability
Hashimoto, Yuko - 2008
Using tick-by-tick data of the dollar-yen and euro-dollar exchange rates recorded in the actual transaction platform, a …
Persistent link: https://www.econbiz.de/10012464487
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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/10012460119
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When did the dollar overtake sterling as the leading international currency? Evidence from the bond markets
Chitu, Livia - 2012
This paper offers new evidence on the emergence of the dollar as the leading international currency, focusing on its role as currency of denomination in global bond markets. We show that the dollar overtook sterling much earlier than commonly supposed, as early as in 1929. Financial market...
Persistent link: https://www.econbiz.de/10012460562
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How Did the Dollar Peg Fail in Asia?
Ito, Takatoshi - 1999
exchange rate fluctuations vis-…-vis the Japanese yen and the US dollar. Then, the optimal basket weight to minimize the … generally reasonable. The optimal currency weights for the yen and the US dollars are derived and compared with actual weights … weight of the yen is significantly higher than the actual weight …
Persistent link: https://www.econbiz.de/10012471508
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Optimal Currency Areas
Alesina, Alberto - 2002
dollar, the euro, or the yen. Although there appear to be reasonably well-defined euro and dollar areas, there does not seem … to be a yen area. We also address the question of how trade and co-movements of outputs and prices would respond to the …
Persistent link: https://www.econbiz.de/10012469641
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Answering the Critics : Yes, ARCH Models Do Provide Good Volatility Forecasts
Andersen, Torben G. - 1997
Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modeling the...
Persistent link: https://www.econbiz.de/10012472795
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Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market
Elliott, Graham - 1995
This paper examines the efficiency of the forward yen/dollar market using micro survey data. We first argue that the …
Persistent link: https://www.econbiz.de/10012473491
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Short-run and Long-run Expectations of the Yen/Dollar Exchange Rate
Ito, Takatoshi - 1993
The survey data on the yen/dollar exchange rate, collected twice a month for eight years from 1985 to 1993, shows the … includes sub-periods of sharp yen appreciations and of relative calm, and with respect to different specifications. Third, the …. Although the history of the yen/dollar exchange rate fluctuations in the past two decades shows mean reversion over several …
Persistent link: https://www.econbiz.de/10012474397
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Currency Factors
Aloosh, Arash - 2019
additional factors, a commodity currency factor and a "world" factor based on trading volumes, fits currency basket correlations …
Persistent link: https://www.econbiz.de/10012479405