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WHY ARE RETURNS ON SWISS FRANC ASSETS SO LOW?
Kugler, Peter; Weder, Beatrice - Wirtschaftswissenschaftliches Zentrum <Basel> - 2005
currency. The long run return differential has been stable over the last 20 years, transitory structural breaks are only found … in times of currency turmoil. We suggest that the return anomaly may be due to an insurance premium against very rare … data on interest rates differentials and show that the abnormally low level of Swiss returns arises after the first world …
Persistent link: https://www.econbiz.de/10005867936
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The evolution of trading activity in Asian foreign exchange markets
Tsuyuguchi, Yosuke; Wooldridge, Philip - Bank für Internationalen Zahlungsausgleich <Basel> - 2008
The development of Asian foreign exchange markets has progressed appreciably in recent years. Data from the BIS Triennial Central Bank Survey indicate that the turnover of Asian currencies rose sharply between 2004 and 2007, financial institutions became more important customers, and the...
Persistent link: https://www.econbiz.de/10009305088
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The Demise of the Swiss Interest Rate Puzzle
Weder, Beatrice; Kugler, Peter - Universität <Mainz> / Lehrstuhl für …; … - 2009
In this paper we analyzed the violations of UIP for the Swiss Franc against the Dollar, the Euro, the Yen, thePound and …
Persistent link: https://www.econbiz.de/10005867775
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Profits and Speculation in Intra-Day Foreign Exchange Trading
Mende, Alexander; Menkhoff, Lukas - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2006
This study examines profits and speculation in the USD/EUR trading of a bank in Germanyover a four-month period. Dealing activity at the bank generates profits but speculation doesnot seem to contribute to this. We find that speculative positions fail to become profitablewithin a 30-minutes'...
Persistent link: https://www.econbiz.de/10005867502
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Liquidity in the Foreign Exchange Market:Measurement, Commonality, and Risk Premiums
Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - National Centre of Competence in ResearchFinancial … - 2009
This paper develops a liquidity measure tailored to the foreign exchange (FX) market, quanties the amount of commonality in liquidity across dierent exchange rates, and determines theextent of liquidity risk premiums embedded in FX returns. The new liquidity measure utilizesultra high frequency...
Persistent link: https://www.econbiz.de/10005868531
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Grosse Währung eines kleinen Landes:Der Schweizer Franken 1850 bis?
Kugler, Peter - Wirtschaftswissenschaftliches Zentrum <Basel> - 2010
den Euro verdrängtwird. Ganz im Gegenteil zeigt sich in der jüngsten Fiskalkrise des Euroraums, dassder Franken eine im … realeAufwertung des Frankens gegenüber dem Euro nicht zu verhindern war. Zudem zeigtdie zentralen makroökonomischen Indikatoren …
Persistent link: https://www.econbiz.de/10008845711
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What Makes Currencies Volatile?An Empirical Investigation
Bleaney, Michael F.; Francisco, Manuela - University <Nottingham> / Department of Economics - 2008
Real effective exchange rate volatility is examined for 90 countries using monthlydata from January 1990 to June 2006. Volatility decreases with openness tointernational trade and per capita GDP, and increases with inflation, particularlyunder a horizontal peg or band, and with terms-of-trade...
Persistent link: https://www.econbiz.de/10005868573
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What Happened to the Transatlantic Capital Market Relations?
Weber, Enzo - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007
, consistently explained by central bank reactions and unfinished learning processes on the role of the euro. Furthermore, the US …
Persistent link: https://www.econbiz.de/10005861051
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The Influence of Information Costs on the Integration of Financial Markets : Northern Europe, 1350-1560
Volckart, Oliver - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
In this paper, the influence of information costs on the integration of Northern European financial markets between ca. 1350 and 1560 is explored. The approach is based on splitting information costs into their constitutive components and on measuring one of these, i.e. the costs of transmitting...
Persistent link: https://www.econbiz.de/10005854705
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The response of industry stock returns to market, exchange rate and interest rate risks
Hyde, Stuart - Manchester Business School - 2007
This study investigates the sensitivity of stock returns at the industry level to market, exchange rateand interest rate shocks in the four major European economies: France, Germany, Italy and the UK.In addition to exposure to the market, significant levels of exposure to both exchange rate...
Persistent link: https://www.econbiz.de/10005870157