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Getting beyond carry trade : what makes a safe haven currency?
Habib, Maurizio Michael; Stracca, Livio - 2011
There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global financial stress and behave as safe havens. The main objective of this paper is to find out what the fundamentals of safe haven currencies are. We analyse a large...
Persistent link: https://www.econbiz.de/10008901495
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Getting Beyond Carry Trade : What Makes a Safe Haven Currency?
Habib, Maurizio Michael - 2011
There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global financial stress and behave as safe havens. The main objective of this paper is to find out what the fundamentals of safe haven currencies are. We analyse a large...
Persistent link: https://www.econbiz.de/10013131638
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Liquidity in the foreign exchange market : measurement, commonality, and risk premiums
Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - 2009
December 2009, suggesting that liquidity risk is priced in currency returns. Finally, we provide evidence that liquidity …
Persistent link: https://www.econbiz.de/10003971293
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Internet Appendix for 'Liquidity in the Foreign Exchange Market : Measurement, Commonality, and Risk Premiums'
Mancini, Loriano - 2013
This supplemental appendix extends the results in Mancini, Ranaldo, and Wrampelmeyer (2011), presenting additional analyses and robustness checks. It also describes the cleaning procedure of the EBS data, compares EBS to other datasets, and discusses the robust estimation of the price impact model
Persistent link: https://www.econbiz.de/10013091934
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Safe Haven Currencies : A Portfolio Perspective
Cenedese, Gino - 2015
Currency portfolios exhibit asymmetric correlations: during periods of bear, volatile world equity markets, currency … currency characteristics. This paper also illustrates how the presence of regime shifts in financial markets affects optimal … portfolio choice across currency portfolios: during bear markets, investors are better off by unwinding carry trade positions …
Persistent link: https://www.econbiz.de/10013019222
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Safe Haven Currencies : A Portfolio Perspective
Cenedese, Gino - 2015
Currency portfolios exhibit asymmetric correlations: during periods of bear, volatile world equity markets, currency … currency characteristics. This paper also illustrates how the presence of regime shifts in financial markets affects optimal … portfolio choice across currency portfolios: during bear markets, investors are better off by unwinding carry trade positions …
Persistent link: https://www.econbiz.de/10013022633
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Safe Haven Currencies
Ranaldo, Angelo - 2013
We study high-frequency exchange rates over 1993-2008. Based on the recent literature on volatility and liquidity risk premia, we use a factor model to capture linear and non-linear linkages between currencies, stock and bond markets as well as proxies for market volatility and liquidity. We...
Persistent link: https://www.econbiz.de/10012711410
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The Asia financial crises and exchange rates : had there been volatility shifts for Asian currencies?
Oga, Takashi; Polasek, Wolfgang - 2010
dynamics has changed at least once. -- Markov switching GARCH models ; Asian currency crisis 1997 ; volatility breaks …
Persistent link: https://www.econbiz.de/10009733810
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Getting beyond carry trade : what makes a safe haven currency?
Habib, Maurizio M.; Stracca, Livio - In: Journal of international economics 87 (2012) 1, pp. 50-64
Persistent link: https://www.econbiz.de/10010220043
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FX Volume During the Financial Crisis and Now
Bech, Morten L. - 2013
This special feature looks at trading activity in the foreign exchange (FX) market. By using information from surveys conducted by FX committees around the world as well as settlement data from CLS Bank, I analyze how global FX market activity was affected by the recent financial crisis. I show...
Persistent link: https://www.econbiz.de/10013090678