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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

Strong comovements of exchange rates : theoretical and empirical cases when currencies become the same asset

Kühl, Michael (contributor) - 2008

The aim of this paper is to detect periods in which two currencies can be classified as being theʺsameʺ asset. Two currencies can be treated as the same asset if their exchange rates vis-`a-vis the same base currency are cointegrated with a cointegration vector that is consistent with the...

Persistent link: https://www.econbiz.de/10003776194

Foreign Exchange Swap Liquidity

Kloks, Peteris; Mattille, Edouard; Ranaldo, Angelo - 2023

This paper presents the first comprehensive examination of liquidity in the global foreign exchange (FX) swap market. Our analysis employs effective measures that assess both the tightness and depth of the global market. We identify three main findings: First, FX swap liquidity is fragmented...

Persistent link: https://www.econbiz.de/10014351476

Demand Effects in the FX Forward Market : Micro Evidence from Banks’ Dollar Hedging

Abbassi, Puriya - 2020

Using contract-level supervisory data, we show that dollar forward sales by non-US banks that are initiated at the end of a quarter and mature shortly after it concludes trade at higher prices and higher volumes. These effects are driven by banks with large net on-balance-sheet dollar assets...

Persistent link: https://www.econbiz.de/10012852939

Price-Setting in the Foreign Exchange Swap Market : Evidence from Order Flow

Syrstad, Olav; Viswanath-Natraj, Ganesh - 2022

Using transaction level data from the inter-dealer market, we find that the price impact of one standard deviation change in FX swap order flow has increased from less than one basis point prior to 2008 to about five basis points after 2008. However, the increase in price impact is confined to...

Persistent link: https://www.econbiz.de/10013406893

The Coordination Channel of Foreign Exchange Intervention : A Nonlinear Microstructural Analysis

Reitz, Stefan - 2016

Persistent link: https://www.econbiz.de/10012991195

Profits and speculation in intra-day foreign exchange trading

Mende, Alexander (contributor); Menkhoff, Lukas (contributor) - 2006

This study examines profits and speculation in the USD/EUR trading of a bank in Germany over a four-month period …. Dealing activity at the bank generates profits but speculation does not seem to contribute to this. We find that speculative … reveals that there is hardly any room for revenues from speculation. …

Persistent link: https://www.econbiz.de/10003327198

Exchange rate expectations of chartists and fundamentalists

Dick, Christian D.; Menkhoff, Lukas - 2012

This paper provides novel evidence on exchange rate expectations of both chartists and fundamentalists separately. These groups indeed form expectations differently. Chartists change their expectations more often; however, all professionals' expectations vary considerably as they generally...

Persistent link: https://www.econbiz.de/10009521123

McCallum rules, exchange rates, and the term structure of interest rates

Díez de los Ríos, Antonio (contributor) - 2008

McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle. We estimate this monetary policy reaction function within the framework of an affine term structure model to find that, contrary to...

Persistent link: https://www.econbiz.de/10003775749

Noise-Trader auf Devisenmärkten : viel Lärm um nichts?

Stadtmann, Georg - 2002

Persistent link: https://www.econbiz.de/10001645211

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