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Getting beyond carry trade : what makes a safe haven currency?
Habib, Maurizio Michael; Stracca, Livio - 2011
There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global financial stress and behave as safe havens. The main objective of this paper is to find out what the fundamentals of safe haven currencies are. We analyse a large...
Persistent link: https://www.econbiz.de/10008901495
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Getting Beyond Carry Trade : What Makes a Safe Haven Currency?
Habib, Maurizio Michael - 2011
There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global financial stress and behave as safe havens. The main objective of this paper is to find out what the fundamentals of safe haven currencies are. We analyse a large...
Persistent link: https://www.econbiz.de/10013131638
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Currency Value
Menkhoff, Lukas - 2015
We assess the properties of currency value strategies based on real exchange rates in a cross-sectional portfolio … setting. We find that real exchange rates predict currency excess returns, but in a way that is inconsistent with the notion … of currency value because a high valuation level forecasts a relative appreciation of the foreign currency going forward …
Persistent link: https://www.econbiz.de/10013032642
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Currency Value
Menkhoff, Lukas - 2015
We assess the properties of currency value strategies based on real exchange rates in a cross-sectional portfolio … setting. We find that real exchange rates predict currency excess returns, but in a way that is inconsistent with the notion … of currency value because a high valuation level forecasts a relative appreciation of the foreign currency going forward …
Persistent link: https://www.econbiz.de/10013035463
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The Swiss franc safety premium
Leutert, Jessica - In: Swiss journal of economics and statistics 154 (2018) 1, pp. 1-21
This paper applies a recent method proposed by Maggiori (The U.S. Dollar Safety Premium, 2013) to estimate the Swiss franc safety premium. The results show that the three-step instrumental variable approach as used by Maggiori does not work for the Swiss franc exchange rates. The price of risk...
Persistent link: https://www.econbiz.de/10011962943
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Quantities and Covered-Interest Parity
Moskowitz, Tobias J.; Ross, Chase P.; Ross, Sharon Y.; … - National Bureau of Economic Research - 2024
Studies of intermediated arbitrage argue that bank balance sheets are an important consideration, yet little evidence exists on banks' positioning in this context. Using confidential supervisory data (covering $25 trillion in daily notional exposures) we examine banks' positions in connection...
Persistent link: https://www.econbiz.de/10014635670
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Dollar dominance in FX trading
Somogyi, Fabricius - 2022 - This version: 1 February 2022
-dollar currency pairs can be traded indirectly by using the US dollar as an intermediate vehicle currency. I present a model of FX … show that dollar dominance increases by 7% after quasi-exogenous spikes in the liquidity of dollar currency pairs occurring …
Persistent link: https://www.econbiz.de/10012815985
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Forward Currency Markets in Asia : Lessons from the Australian Experience
Debelle, Guy - 2013
transition to a fully convertible currency …
Persistent link: https://www.econbiz.de/10013095288
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Trading Volume and Exchange Rate Volatility : Evidence for the Sequential Arrival of Information Hypothesis
Aggarwal, Raj - 2011
hypotheses on the possible relationship between volatility and trading volume using data for three major currency futures … to medium term currency relationships may be dominated by trading dynamics and not by fundamentals …
Persistent link: https://www.econbiz.de/10013130327
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Foreign Exchange Trading in Emerging Currencies : More Financial, More Offshore
McCauley, Robert N. - 2013
Foreign exchange turnover evolves in a predictable fashion with increasing income. As income per capita rises, currency … trading cuts loose from underlying current account transactions. In parallel, an increasing share of trading in the currency …
Persistent link: https://www.econbiz.de/10013093730