Showing 1 - 10 of 12
We assume that the variations of the exchange rate depend on the current net demand of the base currency as a consequence of market making, and that the current net demand of the base currency depends on current and past variations of the exchange rate as a consequence of how future price...
Persistent link: https://www.econbiz.de/10012837857
Persistent link: https://www.econbiz.de/10012517831
Persistent link: https://www.econbiz.de/10012211762
This paper investigates the interest rate pass-through in eight European countries analyzing their short-run and long-run monetary transmission mechanisms. We investigate the relationship between the Euribor and the long-run interest rate on loans to non-financial corporations and allow for a...
Persistent link: https://www.econbiz.de/10010942508
The interaction between rational hedgers and informed oil traders is parameterized and tested empirically with the help of a complex non linear smooth transition regime shift CCC-GARCH procedure. In spite of their gyrations, futures price changes are usually self-correcting. Well informed...
Persistent link: https://www.econbiz.de/10009291773
The three exchange rate regimes adopted by Italy from 1883 up to the eve of World War I — the gold standard (1883-1893), floating rates (1894-1902), and “gold shadowing” (1903-1911) — produced a puzzling result: formal adherence to the gold standard ended in failure while shadowing the...
Persistent link: https://www.econbiz.de/10008506784
Emerging market economies have recently accumulated large stocks of foreign reserves. In this paper we address the question of what are the main factors accounting for reserve holdings in nine developing countries located in Asia and Latin America. Monthly data from January 1985 to May 2006 are...
Persistent link: https://www.econbiz.de/10005449523
This paper assesses empirically whether speculation affects oil price dynamics. The growing presence of financial operators in the oil markets has led to the diffusion of trading techniques based on extrapolative expectations. Strategies of this kind foster feedback trading that may cause large...
Persistent link: https://www.econbiz.de/10005449535
This study introduces a non linear model for commodity futures prices which accounts for the pressures due to hedging and speculative activities. The interaction with the corresponding spot market is considered assuming that a long term equilibrium relationship holds between futures and spot...
Persistent link: https://www.econbiz.de/10010678537
In this paper we investigate the relationship between commodity price volatility and market fundamentals comparing the 1920s with the present decade and focusing on cotton and tin. The theory of storage provides the theoretical reference for the analysis. Our first result is to find that the...
Persistent link: https://www.econbiz.de/10010678554