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The impact of a sovereign default within the Euro zone on the exchange rate
Breuer, Arne; Sauter, Oliver - 2012
We use quanto credit default swaps to analyze the impact of a credit event in the Euro zone on the Euro-Dollar exchange … credit event if the payment in such an event is denominated in US-Dollar rather than in Euro, because they expect the Euro to … conditional on a credit event of a member of the Euro zone. We find that the implied effect is quite heterogeneous across the …
Persistent link: https://www.econbiz.de/10012822373
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Public Debt Dynamics and Intra-Year Exchange Rate Fluctuations
Acosta Ormaechea, Santiago - 2021
The public sector, in carrying out its operations, often incurs foreign currency denominated liabilities and, as such, is exposed to exchange rate fluctuations that could affect the value of public debt to GDP ratios over time. This paper shows that converting foreign currency denominated flows...
Persistent link: https://www.econbiz.de/10013250098
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The Original Sin and Exchange Rate Dynamics : Panel Cointegration Evidence
Cain, Donneil - 2013
Developing country governments are often forced to issue debt in a foreign currency or commit the "original sin". The "original sin", regardless of exchange rate regime, exacerbates debt problems for these countries. Consequently, this paper investigates the relationship between US dollar...
Persistent link: https://www.econbiz.de/10013077545
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Fiscal policy and external adjustment: New evidence
Bouakez, Hafedh; Chihi, Foued; Normandin, Michel - In: Journal of International Money and Finance 40 (2014) C, pp. 1-20
Relatively little empirical evidence exists about countries' external adjustment to changes in fiscal policy and, in particular, to changes in taxes. This paper addresses this question by measuring the effects of tax and government spending shocks on the current account and the real exchange...
Persistent link: https://www.econbiz.de/10010719325
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The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Busch, Thomas (contributor);  … - 2008
We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables in the information set, including implied volatility backed out from option prices. Realized volatility is separated into its continuous and jump components, and the...
Persistent link: https://www.econbiz.de/10003762693
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Forecasting exchange rate volatility in the presence of jumps
Busch, Thomas (contributor);  … - 2005
We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample path and jump components, and measures based on prices of...
Persistent link: https://www.econbiz.de/10003795291
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On the value of virtual currencies
Bolt, Wilko; Oordt, Maarten R. C. van - 2016
This paper develops an economic framework to analyze the exchange rate of virtual currency. Three components are important: first, the current use of virtual currency to make payments; second, the decision of forward-looking investors to buy virtual currency (thereby effectively regulating its...
Persistent link: https://www.econbiz.de/10011526830
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Order Flows and the Exchange Rate Disconnect Puzzle
Evans, Martin D.D. - 2011
The aim of this paper is to establish the link between the high frequency dynamics of spot exchange rates and developments in the macroeconomy. To do so, I first present a theoretical model of exchange-rate determination that bridges the gap between existing microstructure and traditional...
Persistent link: https://www.econbiz.de/10013131076
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Micro Approaches to Foreign Exchange Determination
Evans, Martin D.D. - 2011
We provide an overview of micro-based research using models of currency trading set in a partial equilibrium setting, and in the general equilibrium setting of modern macroeconomic models. In so doing we aim to dispel the myth that micro-based research is solely focused on the details of...
Persistent link: https://www.econbiz.de/10013131077
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Price Transmission and Effects of Exchange Rates on Domestic Commodity Prices Via Offshore Hedging
Tantisantiwong, Nongnuch - 2011
The framework presents how trading in the foreign commodity futures and domestic forward foreign exchange markets can affect the optimal spot positions of domestic commodity producers and traders. It generalizes the models of Kawai and Zilcha (1986) and Kofman and Viaene (1991) to allow both...
Persistent link: https://www.econbiz.de/10013131263