As past research suggest, currency exposure risk is a main source of overall risk of internationaldiversified portfolios. Thus, controlling the currency risk is an important instrument forcontrolling and improving investment performance of international investments. This studyexamines the...

We study the impact of Central Bank intervention on the process of price formation in currency markets. We use a unique dataset of tick-by-tick indicative quotes posted by dealers on Reuters terminals and of intraday sterilized spot interventions and customer transactions executed on behalf of...

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...

This paper sheds light on the influence of exchange rate volatility on foreign direct investment (FDI), both at the theoretical and the empirical level. The novelty of the empirical analysis, which is based on a panel of 27 OECD countries over the period 1982-2002, is to provide evidence of a...

In general, individuals will be interested in consumption of goods with “original”prices denominated in various currencies. Traditional risk management is nominally orientedand typically neglects this differentiated consumption preferences of investors. We outline therelevance of a consumption...

The paper analyzes the long-run performance of dynamic investment strategies based on fixed-mix portfolio rules. Such rules prescribe rebalancing the portfolio by transferring funds between its positions according to fixed (timeindependent) proportions. The focus is on asset markets where prices...

This paper analyses mutual causalities between crude oil price and euro / US dollar exchange rate. Instead of focusing on long-run macroeconomic linkages like the bulk of therelevant literature, the present approach takes a financial markets perspective using daily data. The fast-running...

The existence of a self-regulating arbitrage mechanism under the gold standard has been tradi-tionally considered as one of its main advantages, and attracted a corresponding research interest.This research is arguably relevant not only to test for the effciency of the gold points, but also...

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...

While virtually all currency crisismodels recognise that the fate of a currency peg depends onhow tenaciously policy makers defend it, they seldom model how this is done. We incorporatethemechanics of speculation and the interest rate defence against it in the model ofMorrisand Shin (American...