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This paper examines the effects of the foreign exchange market interventions by the Bank of Japan on the ex ante correlations between the JPY/USD, EUR/USD, and GBP/USD exchange rates. The correlation estimates used in the analysis are derived from the market prices of OTC currency options. The...
Persistent link: https://www.econbiz.de/10013131457
This paper examines the impact of inflation and economic growth expectations and perceived stock market uncertainty on the time-varying correlation between stock and bond returns. The results indicate that stock and bond prices move in the same direction during periods of high inflation...
Persistent link: https://www.econbiz.de/10013131459
This paper re-examines the performance of the "Dogs of the Dow" (DoD) investment strategy in a different market setting and over a different time period. In particular, we use Finnish data over the period 1988-2008 to examine whether the DoD strategy can be successfully replicated in different...
Persistent link: https://www.econbiz.de/10013131463
This paper examines the cross-dynamics of volatility term structures implied by foreign exchange options. The data used in the empirical analysis consist of daily observations of implied volatilities for OTC options on the euro, Japanese yen, British pound, Swiss franc, and Canadian dollar,...
Persistent link: https://www.econbiz.de/10013318310
This paper focuses on the cross-dynamics of exchange rate expectations over different time-scales. We use over-the-counter currency options on the euro, Japanese yen, and British pound vis-à-vis the U.S. dollar to extract expected probability density functions of future exchange rates, and...
Persistent link: https://www.econbiz.de/10014352436