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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
Persistent link: https://www.econbiz.de/10012987861
. The methodology is hybrid because it combines a formaltesting procedure with volatility curve pattern recognition based …
Persistent link: https://www.econbiz.de/10011299968
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
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
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
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
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
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
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