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Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity

Ranaldo, Angelo; Griffoli, Tommaso Mancini - Schweizerische Nationalbank (SNB) - 2010

Arbitrage normally ensures that covered interest parity (CIP) holds. Until recently, excess profits, if any, were … arbitrage strategy as a speculator would actually implement it, considering both unsecured and secured funding. Either way, it …

Persistent link: https://www.econbiz.de/10008925008

Crash Risk in Currency Markets

Farhi, Emmanuel; Fraiberger, Samuel P.; Gabaix, Xavier; … - C.E.P.R. Discussion Papers - 2009

How much of carry trade excess returns can be explained by the presence of disaster risk? To answer this question, we propose a simple structural model that includes both Gaussian and disaster risk premia and can be estimated even in samples that do not contain disasters. The model points to a...

Persistent link: https://www.econbiz.de/10005016245

Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity

Mancini Griffoli, Tommaso; Ranaldo, Angelo - School of Finance, Universität St. Gallen - 2012

Arbitrage ensures that covered interest parity holds. The condition is central to price foreign exchange forwards and … interbank lending rates, and reflects the efficient functioning of markets. Normally, deviations from arbitrage, if any, last … seconds and reach a few basis points. But after the Lehman bankruptcy, arbitrage broke down. By replicating exactly two major …

Persistent link: https://www.econbiz.de/10010713840

Efficiency of stock markets and exchange rates: Emerging vs.developed countries

Sensoy, Ahmet - Research Department, Borsa İstanbul - 2013

Using generalized Hurst exponent, we investigate the presence of long-range dependence in the stock markets and exchange rates (vis-a-vis US dollar) of all in ation targeting countries having oating currencies. Many studies with a data set from pre-2008 crisis and that developed markets are less...

Persistent link: https://www.econbiz.de/10011148613

Credit rating agency downgrades and the Eurozone sovereign debt crises

Baum, Christopher F; Karpava, Margarita; Schäfer, Dorothea - Narodowy Bank Polski - 2014

This paper studies of credit rating agency (CRA) downgrade announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA downgrade...

Persistent link: https://www.econbiz.de/10010793619

Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises

Baum, Christopher; Schäfer, Dorothea; Stephan, Andreas; … - Department of Economics, Boston College - 2013

This paper studies the impact of credit rating agency (CRA) downgrade announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA...

Persistent link: https://www.econbiz.de/10011019862

Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crises

Baum, Christopher; Karpava, Margarita; Schäfer, Dorothea; … - Ratioinstitutet - 2013

This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011–2012. The employed GARCH models show that CRA downgrade...

Persistent link: https://www.econbiz.de/10010704425

Intertemporal Risk-Return Trade-off in Foreign Exchange Rates

Christiansen, Charlotte - School of Economics and Management, University of Aarhus - 2010

We investigate the intertemporal risk-return trade-off of foreign ex- change (FX) rates for ten currencies quoted against the USD. For each currency, we use three risk measures simultaneously that pertain to that currency; its realized volatility, its realized skewness, and its value-at-risk. We...

Persistent link: https://www.econbiz.de/10008468124

Валютна криза в Україні в контексті сучасних моделей фінансових криз

Petrushchak, Bohdan - Volkswirtschaftliche Fakultät, … - 2010

Проаналізовано теоретичні аспекти моделей фінансових криз першого, другого та третього покоління та можливості їх застосування для пояснення логіки...

Persistent link: https://www.econbiz.de/10008805037

Iceland's Economic and Financial Crisis: Causes, Consequences and Implications

Spruk, Rok - Volkswirtschaftliche Fakultät, … - 2010

Iceland experienced a significant financial meltdown and subsequent economic downturn after the 2008/2009 financial crisis struck the country. It had been the worst crisis ever experienced by a small country from the late 20th century onwards. Since 1980s, Iceland's macroeconomic stability had...

Persistent link: https://www.econbiz.de/10008919755