Similar Search Results

Liquidity in the foreign exchange market : measurement, commonality, and risk premiums

Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - 2009

Using a novel and comprehensive dataset, we provide the first systematic study of liquidity in the foreign exchange (FX) market. Contrary to common perceptions, we find significant variation in liquidity across exchange rates, substantial costs due to FX illiquidity, and strong commonality in...

Persistent link: https://www.econbiz.de/10003971293

Long-run UIP holds even in the short run

Ackermann, Fabian; Pohl, Walter; Schmedders, Karl - 2013

The failure of uncovered interest rate parity to explain short-term interest rate movements is well documented. We show that short-term changes in long-term interest rates do help to explain short-term exchange rate movements. The relationship gets stronger over our sample period, as the...

Persistent link: https://www.econbiz.de/10009751157

An intermediation-based model of exchange rates

Malamud, Semyon; Schrimpf, Andreas - 2018 - This version: June 5, 2018

We develop a general equilibrium model with intermediaries at the heart of international financial markets. Global intermediaries bargain with households and extract rents for providing access to foreign claims. The behavior of intermediaries, by tilting state prices, breaks monetary neutrality...

Persistent link: https://www.econbiz.de/10011877302

An intermediation-based model of exchange rates

Malamud, Semyon; Schrimpf, Andreas; Zhang, Yuan - 2024 - This version: January 9, 2024

Persistent link: https://www.econbiz.de/10014483273

The exchange rate effect of multi-currency risk arbitrage

Hau, Harald - 2012

and fundamentals. Speculation ; Limited Arbitrage ; Hedging ; Exchange Rate Disconnect … to strengthen the statistical evidence on the predicted shortrun exchange rate dynamics. Cross-sectional currency hedging …

Persistent link: https://www.econbiz.de/10009558406

Pricing and hedging of inflation-indexed bonds in an affine framework

Eksi, Zehra; Filipović, Damir - 2013

This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the … ffine property, we compute the nominal and inflation-indexed bond prices explicitly. We derive no-arbitrage drift conditions … for the factor process. Then, we perform a novel hedging analysis where our objective is to replicate an indexed bond of a …

Persistent link: https://www.econbiz.de/10010257509

Hedging under an expected loss constraint with small transaction costs

Bouchard, Bruno; Moreau, Ludovic; Soner, Halil Mete - 2014

We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is … very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small …

Persistent link: https://www.econbiz.de/10010442924

CDS and credit: the effect of the bangs on credit insurance, lending and hedging

Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2023 - This draft: October 31, 2023

Persistent link: https://www.econbiz.de/10014483049

ETFs, arbitrage, and contagion

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2012 - March 2012

importance in recent years. We report that arbitrage activity occurs between ETFs and the underlying assets. Then, we show that … arbitrage activity may induce contagion. Flash Crash ; contagion ; ETF ; stocks ; arbitrage ; mispricing ; overvaluation …

Persistent link: https://www.econbiz.de/10009554748

Utility maximization in an illiquid market

Soner, Halil Mete; Vukelja, Mirjana - 2013

developed and used for numerical studies. No-arbitrage conditions were also discussed …

Persistent link: https://www.econbiz.de/10009750653