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The pricing of FX forward contracts: Micro evidence from banks' dollar hedging
Abbassi, Puriya; Bräuning, Falk - 2018
Using transaction-level data on foreign exchange (FX) forward contracts, we document large demand-driven heterogeneity … in banks' dollar hedging costs. For identification, we exploit regulatory end-of-quarter reporting that penalizes banks …
Persistent link: https://www.econbiz.de/10011917543
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The pricing of FX forward contracts: Micro evidence from banks' dollar hedging
Abbassi, Puriya; Bräuning, Falk - 2018
conjunction with supervisory balance sheet information to study the drivers of banks' dollar hedging costs. Comparing contracts of … the same maturity that are initiated during the same hour of the same day, we find large heterogeneity in banks' hedging … are important for understanding how shocks are transmitted internationally through the FX hedging market. …
Persistent link: https://www.econbiz.de/10012059597
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Arbitrage in foreign exchange markets within the context of a transactional algebra
Apreda, Rodolfo - 2005
This paper sets forth the foundations for a transactional approach for the performance of arbitrage in foreign exchange markets. Firstly, we review both the standard model of financial arbitrage and the so-called covered-interest arbitrage environment, and we also lay bare striking shortcomings...
Persistent link: https://www.econbiz.de/10010323288
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Do China and oil exporters influence major currency configurations?
Fratzscher, Marcel; Mehl, Arnaud - 2008
This paper analyses the impact of the shift away from a US dollar focus of systemically important emerging market economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US dollar exchange rate regimes remain pervasive and...
Persistent link: https://www.econbiz.de/10011605019
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Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset
Kühl, Michael - 2008
The aim of this paper is to detect periods in which two currencies can be classified as being the'same' asset. Two currencies can be treated as the same asset if their exchange rates vis-à-vis the same base currency are cointegrated with a cointegration vector that is consistent with the...
Persistent link: https://www.econbiz.de/10010300152
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Time variation in asset price response to macro announcements
Goldberg, Linda S.; Grisse, Christian - 2013
Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....
Persistent link: https://www.econbiz.de/10010333621
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Zur Effektivität der Politik der Quantitativen Lockerung am Beispiel des QE1-Programms der US-Fed
Belke, Ansgar; Osowski, Thomas - In: Credit and Capital Markets – Kredit und Kapital 50 (2017) 2, pp. 131-149
Gegenteil, die Bilanz der EZB hat einen höheren Erklärungsgehalt für die Verläufe von Wechselkurs und Inflation als diejenige …
Persistent link: https://www.econbiz.de/10014523155
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McCallum rules, exchange rates, and the term structure of interest rates
Diez de los Rios, Antonio - 2008
, Germany and the U.K. respond to nominal exchange rate movements. Our model is also able to replicate the forward premium …
Persistent link: https://www.econbiz.de/10010279999
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Is exchange rate - customer order flow relationship linear? Evidence from the Hungarian FX market
Lovcha, Yuliya; Perez-Laborda, Alejandro - 2010
Over the last decade, the microstructure approach to exchange rates has become very popular. The underlying idea of this approach is that the order flows at different levels of aggregation contain valuable information to explain exchange rate movements. The bulk of empirical literature has...
Persistent link: https://www.econbiz.de/10010322440
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Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market
Frömmel, Michael; Kiss M., Norbert; Pintér, Klára - 2009
central bank communication is an important determinant of the EUR/HUF rate. …
Persistent link: https://www.econbiz.de/10010322449