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Peso-Dollar forward market analysis : explaining arbitrage opportunities during the financial crisis
Hernández, Juan R. - 2014
Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...
Persistent link: https://www.econbiz.de/10010370903
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Interrelations Among Cross-Currency Basis Swap Spreads : Pre-And Post-Crisis Analysis
Ibhagui, Oyakhilome - 2018
We examine the long-run relationships and short-run dynamic linkages among 9 major cross-currency swap spreads, with specific emphasis on how crisis periods have impacted the long-run relationships and short-run dynamic transmissions. The results show that the long-run relationships were...
Persistent link: https://www.econbiz.de/10012911842
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Interrelations Among Cross-Currency Basis Swap Spreads : Pre-And Post-Crisis Analysis
Ibhagui, Oyakhilome - 2018
We examine the long-run relationships and short-run dynamic linkages among 9 major cross-currency swap spreads, with specific emphasis on how crisis periods have impacted the long-run relationships and short-run dynamic transmissions. The results show that the long-run relationships were...
Persistent link: https://www.econbiz.de/10012911843
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Foreign exchange predictability during the financial crisis : implications for carry trade profitability
Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - 2015
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...
Persistent link: https://www.econbiz.de/10011313235
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Exchange Rate Dynamics and Forex Hedging Strategies
Dash, Mihir - 2009
The present study has extended the analysis of Dash et al (2008) in comparing the performance of different hedging strategies, approaching the problem from the point of view of exchange rate dynamics, using a model for exchange rate movements. Based on the results of the simulation of this...
Persistent link: https://www.econbiz.de/10013159315
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Exchange Rate Dynamics and Forex Hedging Strategies
Dash, Mihir - 2014
In the world of globalization, most business enterprises operate in more than one country, receiving foreign currency …
Persistent link: https://www.econbiz.de/10013057834
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Prominent numbers, indices and ratios in exchange rate determination and financial crashes : in Economists' models, in the field and in the laboratory
Pope, Robin; Selten, Reinhard; Kube, Sebastian; Hagen, … - 2009
laboratory. Third, nominalist heuristics are incompatible with expected utility theory which excludes the evaluation stage, and … are also incompatible with prospect theory which assumes that, while the evaluation stage can involve systematic mistakes … model and identify what is a mistake, and b) decision makers can maximise. However, contrary to prospect theory, in the …
Persistent link: https://www.econbiz.de/10003867227
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Financial Crises, Exchange Rate Linkages and Uncovered Interest-Rate Parity : Evidence from G7 Markets
Kenourgios, Dimitris - 2017
This paper examines the dynamic linkages among major exchange rates during the Global Financial Crisis and Eurozone Sovereign Debt Crisis. We extend the previous literature on volatility spillover linkages among the currencies by taking into account the uncovered interest-rate parity hypothesis...
Persistent link: https://www.econbiz.de/10012948027
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Interest rate derivative markets in Hungary between 2009 and 2012 in light of the K14 dataset
Kocsis, Zalán; Csávás, Csaba; Mák, István; Pulai, … - 2013
MNB has received daily, transaction-level data on key Hungarian interest rate derivatives markets since the beginning of 2009 with the launching of the K14 report. The dataset that has accumulated since early 2009 provides an opportunity to better comprehend the structure and functioning of...
Persistent link: https://www.econbiz.de/10010222120
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When and How US Dollar Shortages Evolved into the Full Crisis? Evidence from the Cross-Currency Swap Market
Baba, Naohiko - 2009
This paper investigates when and how the US dollar shortage problem evolved into the full crisis during the financial turmoil that started in the summer of 2007, using cross-currency swap prices between three European currencies (EUR, GBP, and CHF) and USD. We employ the dynamic global (latent)...
Persistent link: https://www.econbiz.de/10013157001