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Currency Value
Menkhoff, Lukas - 2015
We assess the properties of currency value strategies based on real exchange rates in a cross-sectional portfolio … setting. We find that real exchange rates predict currency excess returns, but in a way that is inconsistent with the notion … of currency value because a high valuation level forecasts a relative appreciation of the foreign currency going forward …
Persistent link: https://www.econbiz.de/10013032642
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Currency Value
Menkhoff, Lukas - 2015
We assess the properties of currency value strategies based on real exchange rates in a cross-sectional portfolio … setting. We find that real exchange rates predict currency excess returns, but in a way that is inconsistent with the notion … of currency value because a high valuation level forecasts a relative appreciation of the foreign currency going forward …
Persistent link: https://www.econbiz.de/10013035463
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The Swiss franc safety premium
Leutert, Jessica - In: Swiss journal of economics and statistics 154 (2018) 1, pp. 1-21
This paper applies a recent method proposed by Maggiori (The U.S. Dollar Safety Premium, 2013) to estimate the Swiss franc safety premium. The results show that the three-step instrumental variable approach as used by Maggiori does not work for the Swiss franc exchange rates. The price of risk...
Persistent link: https://www.econbiz.de/10011962943
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Dollar dominance in FX trading
Somogyi, Fabricius - 2022 - This version: 1 February 2022
-dollar currency pairs can be traded indirectly by using the US dollar as an intermediate vehicle currency. I present a model of FX … show that dollar dominance increases by 7% after quasi-exogenous spikes in the liquidity of dollar currency pairs occurring …
Persistent link: https://www.econbiz.de/10012815985
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Trading Volume and Exchange Rate Volatility : Evidence for the Sequential Arrival of Information Hypothesis
Aggarwal, Raj - 2011
hypotheses on the possible relationship between volatility and trading volume using data for three major currency futures … to medium term currency relationships may be dominated by trading dynamics and not by fundamentals …
Persistent link: https://www.econbiz.de/10013130327
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Foreign Exchange Volume
Cespa, Giovanni - 2020
-the-counter market. We find volume helps predict next day currency returns and is economically valuable for currency investors …. Predictability implies a stronger currency return reversal for currency pairs with abnormally low volume today, and is driven by the … exchange rate determination, in which volume helps reveal the degree of asymmetric information in currency markets. Testing …
Persistent link: https://www.econbiz.de/10012853916
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International Portfolio Rebalancing and Exchange Rate Fluctuations in Thailand
Gyntelberg, Jacob; Loretan, Mico; Subhanij, Tientip; … - 2009
We present empirical evidence that the Thai exchange rate is driven in part by international investors' cross-border portfolio rebalancing decisions. Our results are based on two comprehensive, daily-frequency datasets of foreign exchange and equity market capital flows undertaken by nonresident...
Persistent link: https://www.econbiz.de/10014204547
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Heterogeneous expectations in the foreign exchange market evidence from the daily dollar
Ahrens, Ralf; Reitz, Stefan - 2003
In this study a regime switching approach is applied to estimate the chartist and fundamentalist (c&f) exchange rate model originally proposed by Frankel and Froot (1986). The c&f model is tested against alternative regime switching specifications applying likelihood ratio tests. Nested...
Persistent link: https://www.econbiz.de/10009765353
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Zur Qualität professioneller Wechselkursprognosen : sind professionelle Wechselkursprognosen eine sinnvolle Entscheidungshilfe für Unternehmen und Investoren?/ Robert Schmidt
Schmidt, Robert - 2003
Die Berücksichtigung der zukünftigen Entwicklung des Wechselkurses ist sowohl für internationale Unternehmen als auch für international tätige Investoren unabdingbar. Allerdings ist die Erstellung von Wechsel- kursprognosen schwierig, da bis zum heutigen Zeitpunkt kein allgemein anerkanntes...
Persistent link: https://www.econbiz.de/10010498979
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Variance risk premiums in foreign exchange markets
Ammann, Manuel; Buesser, Ralf - 2013
general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …
Persistent link: https://www.econbiz.de/10010410031