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Monetary policy through exchange rate pegs: The removal of the Swiss franc‐Euro floor and stock price reactions
von Schweinitz, Gregor; Tonzer, Lena; Buchholz, Manuel - In: International Review of Finance 21 (2021) 4, pp. 1382-1406
The Swiss National Bank abolished the exchange rate floor versus the Euro in January 2015. Using a synthetic matching framework, we analyze the impact of this unexpected (and therefore exogenous) policy change on the stock market. The results reveal a significant level shift (decline) in asset...
Persistent link: https://www.econbiz.de/10012509433
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A no-arbitrage approach to range-based estimation of return covariances and correlations
Brandt, Michael W.; Diebold, Francis X. - 2004
We extend the important idea of range-based volatility estimation to the multivariate case. In particular, we propose a range-based covariance estimator that is motivated by financial economic considerations (the absence of arbitrage), in addition to statistical considerations. We show that,...
Persistent link: https://www.econbiz.de/10010298281
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 1999
Exchange rates typically exhibit time-varying patterns in both means andvariances. The histograms of such series indicate heavy tails. In thispaper we construct models which enable a decision-maker to analyze theimplications of such time series patterns for currency risk management.Our approach...
Persistent link: https://www.econbiz.de/10010324426
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 2001
We construct models which enable a decision-maker to analyze the implications oftypical timeseries patterns of daily exchange rates for currency risk management. Ourapproach is Bayesianwhere extensive use is made of Markov chain Monte Carlo methods. The effects ofseveral modelcharacteristics...
Persistent link: https://www.econbiz.de/10010324963
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On the Variation of Hedging Decisions in Daily Currency Risk Management
Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 2001
Internationally operating firrns naturally face the decision whether or not to hedge the currencyrisk implied by foreign investments. In a recent paper, Bos, Mahieu and van Dijk (2000) evaluatethe returns from optimal and alternative currency hedging strategies, for a series of 7 models,using...
Persistent link: https://www.econbiz.de/10010325077
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Risk management and derivatives losses
Levin-Konigsberg, Gabriel; Stein, Hillary; García … - 2023
Even though financial risk management has the ability to generate value, the use of financial derivatives among nonfinancial corporations remains limited. We identify a channel that contributes to this limited use: the decoupling of derivatives losses and operational gains. Specifically, firms...
Persistent link: https://www.econbiz.de/10014442975
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How does European integration affect the European stock markets?
Erdogan, Burcu - 2009
This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and...
Persistent link: https://www.econbiz.de/10010291779
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Cointegration of real estate stocks and REITs with common stocks, bonds and consumer price inflation: an international comparison
Westerheide, Peter - 2006
long run relationships, applying three different cointegration tests. It covers the US, Canada, Australia, Japan, the … market oriented countries in the sample (US, Australia), and also in France. Real estate securities have outperformed bond … markets on a risk adjusted basis only in the US and in Australia, while an outperformance of stock markets can be observed …
Persistent link: https://www.econbiz.de/10010297828
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The Economic Impact of Olympic Games: Evidence from Stock Markets
Dick, Christian D.; Wang, Qingwei - 2008
By means of an event study of stock market reactions to the announcement of the Olympic Games host cities, we find a significant and positive announcement effect of hosting the Summer Games, with a cumulative abnormal return of about 2% within a few days. We do not find any significant results...
Persistent link: https://www.econbiz.de/10010298071
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How does European Integration affect the European Stock Markets?
Erdogan, Burcu - 2009
This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and...
Persistent link: https://www.econbiz.de/10010300155