But because this [Chinese] exchange rate policy is externally focused and relies heavily on regulations, which restrain normal market forces, it is reasonable to say that the policy constitutes currency manipulation for purposes of gaining an advantage in trade.

Despite U.S. fiscal problems, the Fed appears to still retain excellent inflation credibility with financial markets… Although confidence in the Fed might explain the quiescence of inflation expectations, the structure of U.S. government debt may be more important… [I]nflating away the U.S....

"This paper finds that standard asset pricing models fail to explain the significantly negative delta hedging errors that occur as a result of the purchase of options on foreign exchange futures. Foreign exchange volatility does influence stock returns, however. The volatility of the JPY/USD...

This paper attempts to realistically model the underlying exchange rate data generating process. We ask what types of diffusion or jump features are most appropriate. The most plausible model for 1-minute data features Brownian motion and Poisson jumps but not infinite activity jumps. Modeling...

Although we can’t be certain of the size of the effect, the ECB’s recent experience suggests that eliminating interest paid on reserves held with the Federal Reserve would not substantially increase bank lending and money growth.

Markets have come to believe that the Bank of Japan can and will raise Japan’s inflation rate to meet its new target.

The hump in the Greek yield curve exists because the calculated yields assume that the bonds will pay off at their full value but market prices incorporate expectations that the payoff will be much lower.>

While macroeconomic variables have been used extensively to forecast the U.S. equity risk premium and build models to explain it, relatively little attention has been paid to the technical stock market indicators widely employed by practitioners. Our paper fills this gap by studying the...

The adaptive markets hypothesis posits that trading strategies evolve as traders adapt their behavior to changing circumstances. This paper studies the evolution of trading strategies for a hypothetical trader who chooses portfolios from foreign exchange (forex) technical rules in major and...

This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples.