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Carry trades, order flow and the forward bias puzzle
Breedon, Francis J.; Rime, Dagfinn; Vitale, Paolo - 2015
We investigate the relation between foreign exchange (FX) order flow and the forward bias. We outline a decomposition of the forward bias according to which a negative correlation between interest rate differentials and order flow creates a time-varying risk premium consistent with that bias....
Persistent link: https://www.econbiz.de/10011396784
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Financial openness of China and India : implications for capital account liberalisation
Ma, Guonan; McCauley, Robert N. - 2014
We gauge the de-facto capital account openness of the Chinese and Indian economies by testing the law of one price on the basis of onshore and offshore price gaps for three key financial instruments. Generally, the three measures show both economies becoming more financially open over time. Over...
Persistent link: https://www.econbiz.de/10010402814
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The impact of currency carry trade activity on the transmission of monetary policy
Boeck, Maximilian; Steshkova, Alina; Zörner, Thomas - 2024 - This Version: August 2024
a conventional monetary policy shock but depreciates to a central bank information shock. A threshold vector …
Persistent link: https://www.econbiz.de/10015053521
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Does the macroeconomy predict UK asset returns in a nonlinear fashion? : comprehensive out-of-sample evidence
Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010
Persistent link: https://www.econbiz.de/10008668600
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Do temperature thresholds threaten American farmland?
Massetti, Emanuele; Mendelsohn, Robert O. - 2017
Estimated Ricardian models have been criticized because they rely on mean temperatures and do not explicitly include extreme temperatures. This paper uses a cross sectional approach to compare a standard quadratic Ricardian model of mean temperature with a fully flexible daily temperature bin...
Persistent link: https://www.econbiz.de/10011714958
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Tipping points and loss aversion in international environmental agreements
İriş, Doruk; Tavoni, Alessandro - 2016
We study the impact of loss-aversion and the threat of catastrophic damages, which we jointly call threshold concerns …, on international environmental agreements. We aim to understand whether a threshold for dangerous climate change is as an …), or low damages (gain domain). Under symmetry, that is when countries display identical degrees of threshold concern, we …
Persistent link: https://www.econbiz.de/10011457579
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Foreign Direct Investment and Exchange Rate Volatility: a Non-Linear Story
Jeanneret, Alexandre - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper sheds light on the influence of exchange rate volatility on foreign direct investment (FDI), both at the theoretical and the empirical level. The novelty of the empirical analysis, which is based on a panel of 27 OECD countries over the period 1982-2002, is to provide evidence of a...
Persistent link: https://www.econbiz.de/10005858054
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Safe Haven Currencies
Ranaldo, Angelo; Söderlind, Paul - Institut für Schweizerisches Bankwesen <Zürich> - 2007
We study high-frequency exchange rate movements over the sample 1993–2006. We document that the (Swiss) franc, euro, Japanese yen and the pound tend to appreciate against the U.S. dollar when (a) S&P has negative returns; (b) U.S. bond prices increase; and (c) when currency markets become more...
Persistent link: https://www.econbiz.de/10005858064
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Assessing the solvency of virtual asset service providers : are current standards sufficient?
Saggese, Pietro; Segalla, Esther; Sigmund, Michael; … - 2023
Entities like centralized cryptocurrency exchanges fall under the business category of virtual asset service providers (VASPs). As any other enterprise, they can become insolvent. VASPs enable the exchange, custody, and transfer of cryptoassets organized in wallets across distributed ledger...
Persistent link: https://www.econbiz.de/10014390418
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Exchange rate misalignments : historical experience of Japan, Germany, Singapore and Taiwan compared to China today
Qin, Duo; He, Xinhua; Liu, Yimeng - 2010
This is a comparative study on the historical experience of real effective exchange rate (REER) misalignment of Japanese yen, Deutsche mark, Singapore dollar and Taiwan dollar, with regard to the recent dispute over the Renminbi (RMB) valuation. Panel-based misalignment estimates of the four...
Persistent link: https://www.econbiz.de/10003990427