We investigate which of the two main centers of gold trading — the London spot market and the New York futures market — plays a more important role in setting the price of gold. Using intraday data during a 17-year period we find that although both markets contribute to price discovery, the...

Based on the coverage of over 660m news stories from LexisNexis News & Business between 2015–2021, we provide two new indices around the growing area of Central Bank Digital Currencies (CBDC): the CBDC Uncertainty Index (CBDCUI) and CBDC Attention Index (CBDCAI). We show that both indices...

An important puzzle in international finance is the failure of the forward exchange rate to be a rational forecast of the future spot rate. It has often been suggested that this puzzle may be resolved by using better statistical procedures that correct for both non-stationarity and nonnormality...

An important puzzle in international finance is the failure of the forward exchange rate to be a rational forecast of the future spot rate. It has often been suggested that this puzzle may be resolved by using better statistical procedures that correct for both non-stationarity and nonnormality...

This paper investigates the impact of oil price shocks on the Turkish sovereign yield curve factors. The recent oil shock identification scheme of Ready (2018) is modified by using geopolitical oil price risk index in order to capture the changes in the risk perceptions of oil markets driven by...

Forward exchange rate unbiasedness hypothesis (FRUH) has been a widely researched subject for decades. Recently, the sample populations of these studies have expanded to include developing country currencies. The majority of these findings have been that forward rate biasedness is more...

We test the existence and reveal the main properties of commonality in liquidity for the foreign exchange (FX) markets at the high-frequency level. Accordingly, commonality in FX liquidity exists even at the high-frequency level and it has been gradually increasing over the last few years....

WTI and Brent futures are tested for the presence of psychological barriers around $10 price levels applying a multiple hypothesis testing approach for robustness. Psychological barriers are present in Brent pricing but not in WTI pricing, which is argued, based on recent behavioural finance...

WTI and Brent futures are tested for the presence of psychological barriers around $10 price levels applying a multiple hypothesis testing approach for robustness. Psychological barriers are present in Brent pricing but not in WTI pricing, which is argued, based on recent behavioural finance...