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Relationships between exchange rate regime, real exchange rate volatility and currency structure of government bonds in emerging markets
Dudzich, Viktar - In: Národohospodářský obzor : časopis věnovaný … 20 (2020) 1, pp. 3-22
exchange rate regime type (both de jure and de facto) and real exchange rate volatility serving as explanatory variables. The … findings reveal that fixed exchange rate regime and high real exchange rate volatility is promoting the foreign currency …
Persistent link: https://www.econbiz.de/10012242309
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Exchange Rate Dynamics and US Dollar-Denominated Sovereign Bond Prices in Emerging Markets
Hui, Cho-Hoi - 2018
Using data on Brazil, Colombia, Mexico, the Philippines, Russia and Turkey, our empirical results show that the exchange rates of their currencies have adequate explanatory power in explaining their US dollar-denominated sovereign bonds, particularly in the post-global financial crisis period....
Persistent link: https://www.econbiz.de/10012936164
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Exchange Rate Dynamics and United States Dollar-Denominated Sovereign Bond Prices in Emerging Markets
Hui, Cho-Hoi - 2018
The study conducts an empirical test on dollar-denominated sovereign credit spreads in emerging markets, including Brazil, Colombia, Mexico, the Philippines, the Russian Federation, and Turkey to examine their relationship with each country's exchange rate and the United States (US) Treasury...
Persistent link: https://www.econbiz.de/10012917815
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Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets
Hui, Cho H.; Lo, Chi-Fai; Chau, Po-Hon - In: The North American journal of economics and finance : a … 44 (2018), pp. 109-128
Persistent link: https://www.econbiz.de/10012036515
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Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets
Hui, Cho H.; Lo, Chi-Fai; Chau, Po-Hon - 2016
Persistent link: https://www.econbiz.de/10012200848
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Exchange rate dynamics and United States dollar-denominated sovereign bond prices in emerging markets
Hui, Cho H.; Lo, Chi-fai; Chau, Po-hon - 2017
The study conducts an empirical test on dollar-denominated sovereign credit spreads in emerging markets, including Brazil, Colombia, Mexico, the Philippines, the Russian Federation, and Turkey to examine their relationship with each country's exchange rate and the United States (US) Treasury...
Persistent link: https://www.econbiz.de/10011756971
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Exchange Rate Dynamics and US Dollar-Denominated Sovereign Bond Prices in Emerging Markets
Hui, Cho-Hoi - 2017
Using data on Brazil, Colombia, Mexico, the Philippines, Russia and Turkey, our empirical results show that the exchange rates of their currencies have adequate explanatory power in explaining their US dollar-denominated sovereign bonds, particularly in the post-crisis period. We develop a...
Persistent link: https://www.econbiz.de/10012966847
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Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets
Chaboud, Alain; Chiquoine, Ben; Hjalmarsson, Erik; … - 2013
certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility … without contaminating volatility estimates; bond returns may be sampled as frequently as once every 2 to 3 minutes on days … higher than those often recommended in the empirical literature on realized volatility in equity markets. The higher sampling …
Persistent link: https://www.econbiz.de/10014218882
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Signaling virtue or vulnerability? : the changing impact of exchange rate regimes on government bond yields
Barta, Zsófia; Baccaro, Lucio; Johnston, Alison - 2022
Do exchange rate regimes affect the conditions under which developed countries borrow? This paper argues that they do, but their impact on yields depends on the prevailing macroeconomic context. When investors regard inflation as the most relevant risk to bond holdings, monetary union has a...
Persistent link: https://www.econbiz.de/10013399873
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Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets
Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - 2021
certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility … with market microstructure noise. Using volatility signature plots and a recently-proposed formal decision rule to select … contaminating volatility estimates; bond returns may be sampled as frequently as once every 2 to 3 minutes on days without U …
Persistent link: https://www.econbiz.de/10014087975