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Protecting Pegged Currency Markets from Speculative Investors

Neuman, Eyal - 2020

We consider a stochastic game between a trader and a central bank in a target zone market with a lower currency peg. This currency peg is maintained by the central bank through the generation of permanent price impact, thereby aggregating an ever increasing risky position in foreign reserves. We...

Persistent link: https://www.econbiz.de/10012838399

Speculation Sentiment

Davies, Shaun - 2020

-like demand, that is, speculation sentiment. The leveraged ETFs' primary market is a novel setting that provides observable … proxies for the magnitude and direction of speculative demand shocks and I use it to form the Speculation Sentiment Index …. Using the index, I show that speculation sentiment is contrarian; For example, it is bullish in down markets. I also find …

Persistent link: https://www.econbiz.de/10012853530

Speculative Attacks and Investor Attention

Piccoli, Pedro - 2019

This paper presents the first evidence that retail investors play a central role in a speculative attack. Investigating the attacks that affected several emerging economies in the second semester of 2018, I document a strong influence of investor attention on the price and risk of the currency...

Persistent link: https://www.econbiz.de/10012857842

Speculative attacks and investor attention

Piccoli, Pedro - In: The world economy : the leading journal on … 45 (2022) 4, pp. 1294-1333

Persistent link: https://www.econbiz.de/10013188155

Currency carry trades in Latin America : report

Santaella, Julio A. (contributor) - 2015

This report seeks to shed light on the characteristics of currency carry trades in Latin America. Partly reflecting the degree of financial market integration and development, as well as the effects of regulation, carry trades in the region have typically been implemented by taking long forward...