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Variance risk premium and expected currency return : the story is different at the tails of the distribution
Sahin, Baki Cem - In: Spanish journal of finance & accounting : the official … 50 (2021) 4, pp. 409-422
Persistent link: https://www.econbiz.de/10012649519
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The dynamic impact of FX interventions on financial markets
Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias - 2019
Evidence on the effectiveness of FX interventions in the prevailing higher frequency approaches leaves a gap at horizons going beyond a few days. This is addressed by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Using Japanese data, we...
Persistent link: https://www.econbiz.de/10012232128
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The dynamic impact of FX interventions on financial markets
Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias - 2020
Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Generally, we find, for freely...
Persistent link: https://www.econbiz.de/10012179576
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The dynamic impact of FX interventions on financial markets
Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias - 2020
Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Generally, we find, for freely...
Persistent link: https://www.econbiz.de/10012180848
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The dynamic impact of FX interventions on financial markets
Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias - 2019
shocks significantly affect exchange rates and that this impact persists for months. We show for Japan and the US that …
Persistent link: https://www.econbiz.de/10012138448
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Quantitative easing policy, exchange rates and business activity by industry in japan from 2001 to 2006
Ijiri, Hiroyuki; Matsubayashi, Yoichi - In: The Singapore economic review 68 (2023) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10014279081
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Can risk-rebalancing explain the negative correlation between stock return differential and currency? : or, does source status drive it?
Ülkü, Numan; Fatullayev, Sabutay; Diachenko, Daria - In: Journal of financial markets 27 (2016), pp. 28-54
Persistent link: https://www.econbiz.de/10011722217
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Uncovered return parity : equity returns and currency returns
Djeutem, Edouard; Dunbar, Geoffrey R. - 2018
between the US dollar and six countries (Australia, Canada, Japan, Norway, Switzerland and the UK) at the monthly frequency …
Persistent link: https://www.econbiz.de/10011844179
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Impact of TED spread, bond spread, and implied volatility on stock market returns, oil prices, home prices and exchange rates
Dania, Akash; Malhotra, Davinder Kumar - In: International journal of bonds and derivatives 2 (2016) 4, pp. 329-343
Persistent link: https://www.econbiz.de/10011807737
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Study on return and volatility spillover effects among stock, CDS, and foreign exchange markets in Korea
I, Taly - In: Journal of East Asian economic integration 19 (2015) 3, pp. 275-322
Persistent link: https://www.econbiz.de/10011376190