In the present paper we examine whether financial markets could have helped predict exchange rates in three selected Central and Eastern European (CEE) economies of the EU, namely the Czech Republic, Hungary and Poland, during the current financial crisis. To this end, we derive risk-neutral...

In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...

Within the scope of this paper, causalities of the US stock market returns and volatilities on stock market volatilities in Group of 7 (G-7) economies between 2000-2013 have been analysed with Granger causality tests. All volatilities are obtained from conditional variance of returns in stock...

In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...

Utilizing VAR-DCC-MVGARCH model and volatility spillover index, we examine international spillovers and spillbacks between SMICs and the U.S. Results show that SMICs and the U.S. present dynamic and asymmetric volatility spillovers and spillbacks during and beyond financial crisis. The effects...

On September 3-4, 2009 SUERF and Utrecht University School of Economicsorganized the Colloquium "The Quest for Stability" in Utrecht, the Netherlands. The papers included in this SUERF Study are based on contributions to the Colloquium.

In this paper we investigate 3 important properties of global currencies: misalignments measured by the deviations from equilibrium (real effective) exchange rates, crash sensitivity captured by the copula tail dependence to the global market, and moment risk premia using a model-free method --...

On September 3-4, 2009, SUERF and Utrecht University School of Economics jointly organized the 28th SUERF Colloquium on "The Quest for Stability" in Utrecht, the Netherlands. The papers contained in this SUERF Study jointly published with DNB and Rabobank are based on contributions to this...

On September 3-4, 2009 SUERF and Utrecht University School of Economicsorganized the Colloquium "The Quest for Stability" in Utrecht, the Netherlands. The papers included in this SUERF Study are based on contributions to the Colloquium.

In the aftermath of the global financial crisis, the issue of how best to identify speculative asset bubbles (in real-time) remains in flux. This owes to the difficulty of disentangling irrational investor exuberance from the rational response to lower risk based on price behavior alone. In...