Narrow search
Showing 1 - 10 of 59,527
Cover Image
The extreme risk problem for monetary policies of the Euro-candidates
Gabrisch, Hubert; Orłowski, Lucjan T. - 2010
. -- Regeln der Geldpolitik ; Tail-Risks ; Euro-Konvergenz ; weltweite Finanzkrise ; Vermögensrisiko ; Zinsrisiko …Wir argumentieren, dass die Geldpolitik in den Euro-Kandidatenländern darauf abzielen sollte, die exzessive … Instabilität in den zentralen Ziel- und Instrumentenvariablen der Geldpolitik zu mildern, insbesondere in Phasen turbulenter …
Persistent link: https://www.econbiz.de/10003969864
Cover Image
Systematic consumption risk in currency returns
Hoffmann, Mathias; Suter, Rahel - 2013
We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...
Persistent link: https://www.econbiz.de/10009752999
Cover Image
Systematic consumption risk in currency returns
Hoffmann, Mathias; Suter, Rahel - 2013
We sort currencies into portfolios by countries' consumption growth over the past year. The excess return of the highest-consumption-growth currency portfolio over the portfolio of lowest-consumption-growth currencies is positive on average, compensating investors for large negative returns...
Persistent link: https://www.econbiz.de/10009761800
Cover Image
Can Time-Varying Currency Risk Hedging Explain Exchange Rates?
Bräuer, Leonie; Hau, Harald - 2022
Over the last decade foreign bond portfolio positions in US dollar assets have risen above the reciprocal US investor positions in foreign currencies. In periods of increased economic uncertainty, institutional investors hedge their international bond positions, which creates a net hedging...
Persistent link: https://www.econbiz.de/10014236684
Cover Image
Can time-varying currency risk hedging explain exchange rates?
Bräuer, Leonie; Hau, Harald - 2022
Over the last decade foreign bond portfolio positions in US dollar assets have risen above the reciprocal US investor positions in foreign currencies. In periods of increased economic uncertainty, institutional investors hedge their international bond positions, which creates a net hedging...
Persistent link: https://www.econbiz.de/10013440410
Cover Image
Can Time-Varying Currency Risk Hedging Explain Exchange Rates?
Bräuer, Leonie; Hau, Harald - 2022
Over the last decade foreign bond portfolio positions in US dollar assets have risen above the reciprocal US investor positions in foreign currencies. In periods of increased economic uncertainty, institutional investors hedge their international bond positions, which creates a net hedging...
Persistent link: https://www.econbiz.de/10014242128
Cover Image
Beyond Incomplete Spanning : Convenience Yields and Exchange Rate Disconnect
Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno N. - 2021
We introduce convenience yields on dollar bonds into an incomplete-market equilibrium model of exchange rates and interest rates. The convenience yield enters as a stochastic wedge in the Euler equation for exchange rate determination. The model identifies a novel safe-asset convenience yield...
Persistent link: https://www.econbiz.de/10013226489
Cover Image
Monetary Policies and Destabilizing Carry Trades Under Adaptive Learning
Dell'Eva, Cyril - 2020
This paper investigates how different monetary policy designs alter the effect of carry trades on a host small open economy. Capital inflows are expansionary, leading the central bank to raise the interest rate, increasing carry trades' returns, and generating further capital inflows (carry...
Persistent link: https://www.econbiz.de/10012830933
Cover Image
The trade and FDI effects of EMU enlargement
Brouwer, Jelle; Paap, Richard; Viaene, Jean-Marie - 2007
This paper considers the nature and the distribution of trade and FDI effects of a potential enlargement of the European Monetary Union (EMU) to the 10 countries that obtained EU membership in 2004. One-way and two-way error component gravity models are estimated using a data set of unbalanced...
Persistent link: https://www.econbiz.de/10011372974
Cover Image
The Trade and FDI Effects of EMU Enlargement
Brouwer, J.; Paap, Richard; Viaene, Jean-Marie - 2021
This paper considers the nature and the distribution of trade and FDI effects of a potential enlargement of the European Monetary Union (EMU) to the ten countries that obtained EU membership in 2004. One-way and two-way error component gravity models are estimated using a dataset of unbalanced...
Persistent link: https://www.econbiz.de/10013316812