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Boosting carry with equilibrium exchange rate estimates
Rubaszek, Michał; Beckmann, Joscha; Ca'Zorzi, Michele; … - 2022
We build currency portfolios based on the paradigm that exchange rates slowly converge to their equilibrium to highlight three results. First, this property can be exploited to build profitable portfolios. Second, the slow pace of convergence at short-horizons is consistent with the evidence of...
Persistent link: https://www.econbiz.de/10013375145
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Exchange rates and fundamentals
Engel, Charles; West, Kenneth David - 2003
Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...
Persistent link: https://www.econbiz.de/10009635953
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Do China and oil exporters influence major currency configurations?
Fratzscher, Marcel; Mehl, Arnaud - 2008
economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US … have a statistically but also an economically significant impact on the euro, and to a lesser extent the yen against the US …
Persistent link: https://www.econbiz.de/10003825947
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Fast trading and the virtue of entropy : evidence from the foreign exchange market
Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019
Focusing on the foreign exchange reaction to macroeconomic announcements, we show that fast trading is positively and significantly correlated with the entropy of the distribution of quoted prices in reaction to news: a larger share of fast trading increases the degree of diversity of quotes in...
Persistent link: https://www.econbiz.de/10012037341
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Attention to the tail(s) : global financial conditions and exchange rate risks
Eguren-Martin, Fernando; Sokol, Andrej - 2020
We document how the distribution of exchange rate returns responds to changes in global financial conditions. We measure global financial conditions as the common component of country-specific financial condition indices, computed consistently across a large panel of developed and emerging...
Persistent link: https://www.econbiz.de/10012197839
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Exchange rate anchoring : is there still a de facto US dollar standard?
Bracke, Thierry; Bunda, Irina - 2011
The paper provides a measure of exchange rate anchoring behaviour across 149 emerging market and developing economies for the 1980-2010 period. An extension of the Frankel and Wei (2008) methodology is used to determine whether exchange rates are pegged or floating, and in the case of pegs, to...
Persistent link: https://www.econbiz.de/10009160000
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Global risk and the dollar
Georgiadis, Georgios; Müller, Gernot J.; Schumann, Ben - 2021
How does global risk impact the world economy? In taking up this question, we focus on the dollar’s role in the …
Persistent link: https://www.econbiz.de/10012705529
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America First? : a US-centric view of global capital flows
McQuade, Peter; Schmitz, Martin - 2019
with those of the rest of the world. We analyse the relative importance of US, country-specific, and global variables as …. Global and national risk indicators perform better in explaining "rest of the world" flows. Moreover, we find that the … correlation between US and rest of the world flows peaks in periods of elevated uncertainty. We interpret our findings as evidence …
Persistent link: https://www.econbiz.de/10011975553
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The predictive power of equilibrium exchange rate models
Ca'Zorzi, Michele; Cap, Adam; Mijakovic, Andrej; … - 2020
In this paper we evaluate the predictive power of the three most popular equilibrium exchange rate concepts: Purchasing Power Parity (PPP), Behavioral Equilibrium Exchange Rate (BEER) and the Macroeconomic Balance (MB) approach. We show that there is a clear trade-off between storytelling and...
Persistent link: https://www.econbiz.de/10012139745
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A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
Hillebrand, Eric (contributor); Schnabl, Gunther (contributor) - 2006
volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …
Persistent link: https://www.econbiz.de/10003337476