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Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08
Baba, Naohiko; Packer, Frank - Bank für Internationalen Zahlungsausgleich <Basel> - 2008
parity (CIP) condition between the US dollar and the euro through the foreign exchange (FX) swap market. Sharp and persistent …
Persistent link: https://www.econbiz.de/10009248819
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09/11 on the USD/EUR Foreign Exchange Market
Mende, Alexander - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2005
We study the relationship between foreign exchange trading activity and volatility on theUSD/EUR foreign exchange market on the basis of a unique data set around the events of09/11/2001. We find that volatility and bid-ask spreads are by far larger at that time, but theshock is not persistent....
Persistent link: https://www.econbiz.de/10005867597
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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 data and captures cross-sectional and temporal variation in FX …
Persistent link: https://www.econbiz.de/10005868531
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Trading Credit Default Swaps via Interdealer Brokers
Gündüz, Yalın; Lüdecke, Torsten; Uhrig-Homburg, Marliese - Institut für Industrielle Informationstechnik <Karlsruhe> - 2007
intermediation to arrangetrades. We provide empirical evidence that liquidity in the voice brokered market varieswith the particulars … of the CDS contracts and that the differences in market structure isreflected in the costs of liquidity. Moreover, the … brokered and direct interdealer tradingmarkets seem to be well integrated; thus the higher liquidity costs in the brokered …
Persistent link: https://www.econbiz.de/10008911538
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Hedging the Exchange Rate Risk in International Portfolio Diversification:Currency Forwards versus Currency Options
Maurer, Raimond; Valiani, Shohreh - 2003
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...
Persistent link: https://www.econbiz.de/10005844542
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Informative Trading or Just Noise? An Analysis of Currency Returns, Market Liquidity, and Transaction Costs in Proximity of Central Bank Interventions
Pasquariello, Paolo - 2003
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...
Persistent link: https://www.econbiz.de/10005846912
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Safe Haven Currencies
Ranaldo, Angelo; Söderlind, Paul - Institut für Schweizerisches Bankwesen <Zürich> - 2007
We study high-frequency exchange rate movements over the sample 1993–2006. We document that the (Swiss) franc, euro, Japanese yen and the pound tend to appreciate against the U.S. dollar when (a) S&P has negative returns; (b) U.S. bond prices increase; and (c) when currency markets become more...
Persistent link: https://www.econbiz.de/10005858064
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"Real" Risk Management
Breuer, Wolfgang; Stotz, Olaf - RWTH <Aachen> / Lehrstuhl für … - 2003
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...
Persistent link: https://www.econbiz.de/10005858837
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Contagion and interdependence among Central European economies : The impact of common external shocks
Wälti, Sébastien - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
This paper is about contagion and interdependence among Central European economies. It investigates the extent to which country-specific shocks spread across these countries beyond the normal channels of interdependence, taking into account common external shocks. To model such shocks, we make...
Persistent link: https://www.econbiz.de/10005858999
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Defending AgainstSpeculative Attacks : A HybridModel of ExchangeMarket Pressure and Crises
Daniëls, Tijmen; Jager, Henk; Klaassen, Franc - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
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...
Persistent link: https://www.econbiz.de/10008939789