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Excess comovements between the Euro/US dollar and British pound/US dollar exchange rates
Kühl, Michael - Center for European, Governance and Economic … - 2009
The aim of this paper is to discuss excess comovements for the Euro/US dollar and British pound/US dollar exchange rates, i.e. we look for comovements of exchange rates which are stronger than implied by fundamentals. The results of the empirical analysis give evidence that excess comovements...
Persistent link: https://www.econbiz.de/10010980787
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Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset
Kühl, Michael - Center for European, Governance and Economic … - 2008
The aim of this paper is to detect periods in which two currencies can be classified as being thesame asset. Two currencies can be treated as the same asset if their exchange rates vis-à-vis the same base currency are cointegrated with a cointegration vector that is consistent with the...
Persistent link: https://www.econbiz.de/10010980798
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Profit-making speculation in foreign exchange markets
Surajaras, Patchara; Sweeney, Richard James - 1992
Persistent link: https://www.econbiz.de/10004127908
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Identifying the Signs of Currency Speculation in Hong Kong's Linked exchange Rate
Li, Kui-Wai - Volkswirtschaftliche Fakultät, … - 2011
This paper identifies the ex ante factors of currency speculation based on the experience of Hong Kong’s three episodes … probability of currency speculation. The empirical results indicate that unusual movements in the exchange rate difference, Hang … periods of currency speculation. The paper traces the disposition of the speculators. …
Persistent link: https://www.econbiz.de/10009370834
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Foreign-Exchange Intervention Strategies and Market Expectations : Insights from Japan
Gnabo, Jean-Yves - 2008
This study extends the traditional set of central bank's interventions to include official announcements in order to provide empirical evidence on two pivotal questions: i) are FX authorities able to influence market expectations with different instruments? ii) how should interventions be...
Persistent link: https://www.econbiz.de/10012723860
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Asymmetric Volatility in the Foreign Exchange Markets
Wang, Jian-Xin - 2008
This paper explores the presence and characteristics of the asymmetric return-volatility relationship (i.e. asymmetric volatility) in bilateral exchange rates and trade weighted indices (TWI). We find evidence of asymmetric volatility in daily realized volatilities of AUD, GBP, and JPY against...
Persistent link: https://www.econbiz.de/10012726933
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The Tobin Tax - A Game-Theoretical and an Experimental Approach
Kaiser, Johannes - 2007
In the nineteen-seventies, James Tobin suggested the introduction of a transaction tax on the currency market to cope with exchange rate volatility. In spite of his proposal being discussed frequently and very controversial ever since by economists and policy makers, the so-called Tobin tax has...
Persistent link: https://www.econbiz.de/10012731454
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U.S. Dollar Risk Premiums and Capital Flows
Balakrishnan, Ravi - 2006
This paper sheds light on the attractiveness of U.S. assets by studying dollar risk premiums, calculated using Consensus exchange rate forecasts, and linking them to bilateral capital flows. The paper finds that the presence of negative dollar risk premiums (i.e. expectations of a dollar...
Persistent link: https://www.econbiz.de/10012779708
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Speculative Attacks, Forward Market Intervention and the Classic Bear Squeeze
Lall, Subir - 2006
. Central banks also intervene in forward markets to counter speculation. This paper addresses the question of how an attack is … launched on the forward market, and what the optimal policy response to such speculation is in the forward and spot markets …
Persistent link: https://www.econbiz.de/10012781965
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Monetary Implications of Cross-Border Derivatives for Emerging Economies
Morales Bueno, Armando - 2006
This paper surveys concepts, practices and analytical literature to assess benefits and risks for monetary stability of cross-border currency and interest rate derivative operations in calm and turbulent periods, with a view of extracting implications for emerging economies. Monetary authorities...
Persistent link: https://www.econbiz.de/10012782894