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Adrian, Tobias; Etula, Erkko M.; Shin, Hyun Song - 2015

We present evidence that the growth of U.S.-dollar-denominated banking sector liabilities forecasts appreciations of the U.S. dollar, both in-sample and out-of-sample, against a large set of foreign currencies. We provide a theoretical foundation for a funding liquidity channel in a global...

Persistent link: https://www.econbiz.de/10011399316

Forecast in Capital Markets

Ledenyov, Dimitri - 2016

Persistent link: https://www.econbiz.de/10012987861

A hybrid joint moment ratio test for financial time series

Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998

. The methodology is hybrid because it combines a formaltesting procedure with volatility curve pattern recognition based …

Persistent link: https://www.econbiz.de/10011299968

Transaction Taxes and Traders with Heterogeneous Investment Horizons in an Agent-Based Financial Market Model

Campanella, Edoardo - 2010

due to taxation and how emergent properties from the interaction of traders like bubbles and crashes, excess volatility …, excess kurtosis and volatility clustering change. Numerical simulations reveal that under taxation traders abstain from short …-term trading in favour of longer investment horizons. This change in behavior leads to less excess volatility and diminishing …

Persistent link: https://www.econbiz.de/10013135077

Financial Intermediation and New Technology : Theoretical and Regulatory Implications of Digital Financial Markets

Trapanese, Maurizio; Lanotte, Michele - 2023

Technological progress in finance has been accelerating over the last decade. In the future, it is likely that financial intermediaries may undergo significant challenges as regards their traditional business model and functions, since an increasing share of payments may be settled without...

Persistent link: https://www.econbiz.de/10014354345

Repo Market Frictions and Intermediation in Electronic Bond Markets

Valseth, Siri - 2023

This paper studies the drivers of primary dealers' repo activity and the effect of repo market frictions on bond market liquidity. It separates the two tiers of the bond market, the electronic limit order book (LOB) and the over-the-counter (OTC) market. The results, based on dealer-specific...

Persistent link: https://www.econbiz.de/10014254586

A possible explanation of the 'exchange rate disconnect puzzle' : a common solution to three major macroeconomic puzzles?

Horioka, Charles; Ford, Nicholas - 2016

Meese and Rogoff (1983) and subsequent studies find that economic fundamentals are apparently not able to explain exchange rate movements, but we argue that this so-called "Exchange Rate Disconnect Puzzle" arose because researchers such as Meese and Rogoff (1983) did not use the right...

Persistent link: https://www.econbiz.de/10011502367

Survey of volatility and spillovers on financial markets

Kočenda, Evžen - 2017

In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets …

Persistent link: https://www.econbiz.de/10011598902

Do Financial Market Variables Show (Symmetric) Indicator Properties Relative to Exchange Rate Returns?

Castrén, Olli - 2021

This paper assesses the contemporaneous, leading and lagging indicator properties of financial market variables relative to movements in six major developed country currency pairs. As indicator variables changes in various relative asset prices, short-term portfolio flows and currency options...

Persistent link: https://www.econbiz.de/10013319183

Exchange Rate Flexibility, Financial Market Openness and Economic Growth

Lee, Il Houng - 2017

With global recovery not in sight, along with calls for stronger structural reform, international policy coordination is again under spotlight. Correcting global imbalance would contribute towards closing the demand gap. Emerging economies in particular should allow greater exchange rate...

Persistent link: https://www.econbiz.de/10012969380