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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

Interdependence between foreign exchange markets and stock markets in selected European countries

Islami, Mevlud - 2008

In this analysis the interdependence between foreign exchange markets and stock markets for selected accession and cohesion countries is discussed. This includes basic theoretical approaches. Monthly data for the nominal stock market indices and nominal exchange rates are used, where Ireland,...

Persistent link: https://www.econbiz.de/10010291121

Excess comovements between the Euro/US dollar and British pound/US dollar exchange rates

Kühl, Michael - 2009

The aim of this paper is to discuss excess comovements for the Euro/US dollar and British pound/US dollar exchange rates, i.e. we look for comovements of exchange rates which are stronger than implied by fundamentals. The results of the empirical analysis give evidence that excess comovements...

Persistent link: https://www.econbiz.de/10010302725

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

Bank of England interest rate announcements and the foreign exchange market

Melvin, Michael; Saborowski, Christian; Sager, Michael; … - 2009

Since 1997, the Bank of England Monetary Policy Committee (MPC) has met monthly to set the UK policy interest rate. We examine evidence of systematic patterns in exchange rate movements on MPC days over the first decade of operation of the MPC. Daily data reveal significant differences in...

Persistent link: https://www.econbiz.de/10010264608

What drives investors’ behaviour in different FX market segments? A VAR-based return decomposition analysis

Castrén, Olli; Osbat, Chiara; Sydow, Matthias - 2006

We apply the Campbell-Shiller return decomposition to exchange rate returns and fundamentals in a stationary panel vector autoregression framework. The return decomposition is then used to analyse how different investor segments react to news as captured by the different return components. The...

Persistent link: https://www.econbiz.de/10011604752

Defending against Speculative Attacks

Daniels, Tijmen R.; Jager, Henk; Klaassen, Franc - 2008

defended. In this paper we incorporate both the mechanics of speculation and a defence policy against speculation in the well …

Persistent link: https://www.econbiz.de/10010326005

Leveraged Carry Trade Portfolios

Darvas, Zsolt - 2008

Studying all possible pairs of eleven major currencies and eleven portfolios in 1976-2008 we show that, when there is no leverage, carry trade is significantly profitable for most currency pairs and portfolios. Positive returns do not diminish in time providing a strong case against the...

Persistent link: https://www.econbiz.de/10010494390

Stabilizing rational speculation and price level targeting

Reither, Franco; Bennöhr, Lars - 2010

We analyze the contribution of speculation to exchange rate volatility using different assumptions regarding … speculation strategies and monetary policy rules. We take the DORNBUSCH (1976) model as the starting point and adopt a slight … modification of the money demand specification. With a money supply rule, rational speculation dampens the overshooting of the …

Persistent link: https://www.econbiz.de/10010289025

Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses

Kühl, Michael - 2007

The aim of this paper is to investigate the market efficiency on the foreign exchange market since the introduction of the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure of the global foreign exchange market to the extent...

Persistent link: https://www.econbiz.de/10010300150

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