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The Future of Banking in Europe
Schmidt, Reinhard H. - 2001
Der vorliegende Beitrag stellt einen Versuch dar, die Zukunft des Bankwesens in Europa unter der spezifischen Fragestellung zu analysieren, ob sich trotz der offensichtlichen und gravierenden Änderungen informations-technologischer, regulatorischer und politischer Art im Umfeld der Banken die...
Persistent link: https://www.econbiz.de/10005844567
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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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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. The positive correlation between volume and volatility does not …
Persistent link: https://www.econbiz.de/10005867597
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In What Sense Can Intervention ReduceExchange Rate Volatility?
Bleaney, Michael F.; Francisco, Manuela - University <Nottingham> / Department of Economics - 2008
Can pegging reduce real as well as nominal, and multilateral as well as bilateralexchange rate volatility? We …
Persistent link: https://www.econbiz.de/10005868570
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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 volatility. The choice ofexchange rate regime matters... …
Persistent link: https://www.econbiz.de/10005868573
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The failure mechanics of dealer banks
Duffie, Darrell - Bank für Internationalen Zahlungsausgleich <Basel> - 2010
I explain the key failure mechanics of large dealer banks, and some policy implications. This is not a review of the financial crisis of 2007–2009. Systemic risk is considered only in passing. Both the financial crisis and the systemic...
Persistent link: https://www.econbiz.de/10005870961
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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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"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