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Identifying the Effects of Chinese Treasury Purchases Using High-Frequency Data

Martin, Christopher - 2014

I use a new measure of surprise foreign official Treasury purchases, high-frequency data, and identification by heteroskedasticity to estimate the effect of Chinese official purchases of US Treasury securities on Treasury yields. Over the past decade, foreign official institutions have purchased...

Persistent link: https://www.econbiz.de/10013043014

Impact of macroeconomic surprises on carry trade activity

Hutchison, Michael M.; Sushko, Vladyslav - 2010

This paper investigates market perceptions of the risk of large exchange rate movements by using information gleaned from risk reversal contracts and macroeconomic news surprises. We focus on the height of the carry trade period in Japan (March 2004 through December 2006). Concerns about sharp...

Persistent link: https://www.econbiz.de/10008698328

Common Factors and Causality in the Dynamics of Implied Volatility Surfaces : Evidence from the FX OTC Market

Chalamandaris, George - 2011

In this paper we explore the dynamics of Implied Volatility Surfaces (IVS) both in a single-currency framework, and in …

Persistent link: https://www.econbiz.de/10013118291

Exchange Rate Exposure of Sectoral Returns and Volatilities : Evidence from Japanese Industrial Sectors

Jayasinghe, Prabhath - 2014

, namely: sensitivity of stock returns to exchange rate changes; sensitivity of volatility of stock returns to volatility of … its asymmetric conditional volatility of exchange rate exposure. In addition, returns in many sectors are correlated with …

Persistent link: https://www.econbiz.de/10013051554

How Does the Daily Volatility of Foreign Exchange Rates Depend on the Time of Day at Which the Daily Returns Are Calculated?

Doman, Małgorzata - 2020

In the paper, we show how the estimates of the daily volatility of major exchange rates, EUR/USD, AUD/USD, GBP/USD, and … reason why the dynamics of volatility changes during a trading day. To analyze this feature, we consider daily returns … calculated using the exchange rates quoted at each full hour of a day. Volatility (the square root of the conditional variance …

Persistent link: https://www.econbiz.de/10012828323

Currency exposure, second-moment exchange rate exposure and asymmetric volatility of stock returns : the effects of financial crises on Taiwanese firms

Varga, René Ferenc Franck - In: Journal of applied finance & banking 3 (2013) 2, pp. 15-37

- and second-moment exchange rate exposure on individual firm value and the stock return volatility underlying exchange rate … equity financing cost. -- exchange rate exposure ; asymmetric currency exposure ; financial crises ; asymmetric volatility …

Persistent link: https://www.econbiz.de/10009743539

Impact of Macroeconomic Surprises on Carry Trade Activity

Hutchison, Michael M.; Sushko, Vladyslav - 2011

literature, we are able to identify a significant impact of macroeconomic surprises on foreign exchange volatility of JPY …

Persistent link: https://www.econbiz.de/10014190558

Analyzing nexus between crude oil, gold, dollar and equity markets with structural break : ARDL evidence from India

Saji, T. G.; Joshith, V. P.; Binoy, T. A.; Sravana, K. - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 3, pp. 572-581

Persistent link: https://www.econbiz.de/10014533474

Stock market return predictability : Google pessimistic sentiments versus fear gauge

Habibah, Ume; Rajput, Suresh Kumar Oad; Sadhwani, Ranjeeta - In: Cogent economics & finance 5 (2017) 1, pp. 1-15

(ARDL) and nonlinear ARDL models, contrary to prior literature, we find significant symmetric negative relationship between …

Persistent link: https://www.econbiz.de/10011886968

Impact of exchange rate fluctuations on US stock market returns

Bhargava, Vivek; Konku, Daniel - In: Managerial finance 49 (2023) 10, pp. 1535-1557

Persistent link: https://www.econbiz.de/10014428700

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