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Getting beyond carry trade : what makes a safe haven currency?
Habib, Maurizio Michael; Stracca, Livio - 2011
do when global risk aversion is high, as estimates are imprecise and often not stable or robust. This suggests caution in … over-interpreting exchange rate movements during financial crises. - VIX ; global risk aversion ; safe haven currencies …
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
do when global risk aversion is high, as estimates are imprecise and often not stable or robust. This suggests caution in …
Persistent link: https://www.econbiz.de/10013131638
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The existence and severity of the forward premium puzzle during tranquil and turbulent periods : developed versus developing country currencies
Shehadeh, Ali; Li, Youwei; Vigne, Samuel A.; … - In: International review of financial analysis 78 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10013252466
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Breaking par : short-term determinants of yen-dollar swap deviations
Angrick, Stefan; Nemoto, Naoko - 2018
This paper analyses deviations in yen-dollar cross-currency swap markets between 2007 and 2017. Using weekly … influenced by differences in returns and different types of risk. We study these dynamics using statedependent impulse responses …
Persistent link: https://www.econbiz.de/10011893926
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'Large' vs. 'small' players : a closer look at the dynamics of speculative attacks
Bjønnes, Geir H.; Holden, Steinar; Rime, Dagfinn; … - 2009
What is the role of large playersʺ like hedge funds and other highly leveraged institutions in speculative attacks? In recent theoretical work, large players may induce an attack by an early move, providing information to smaller agents. In contrast, many observers argue that large players are...
Persistent link: https://www.econbiz.de/10003806083
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The exchange rate effect of multi-currency risk arbitrage
Hau, Harald - 2012
This paper (i) proposes a simple multi-currency model of speculative foreign exchange (FX) trading, (ii) uses a natural experiment to identify the implied components of the optimal trading strategy, and (iii) proposes a new spectral inference method to strengthen the statistical evidence on the...
Persistent link: https://www.econbiz.de/10009558406
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The Exchange Rate Effect of Multi-Currency Risk Arbitrage
Hau, Harald - 2009
movements. The redefinition of the MSCI world equity index in December 2000 provides an ideal natural experiment identifying …. Furthermore, they actively manage the portfolio risk of their speculative positions through hedging positions in correlated … currencies. The exchange rate effect of separate risk hedging is economically significant and amounts to a return difference of 3 …
Persistent link: https://www.econbiz.de/10013155168
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Bank foreign currency funding and currency markets : the case of Mexico post GFC
Bush, Georgia - 2019
This paper examines the impact of foreign currency hedging demand on the foreign exchange market. First, the paper documents deviations from covered interest parity (CIP) for Mexico after the global financial crisis (GFC), and then it evaluates the effect of two variables in a regression-based...
Persistent link: https://www.econbiz.de/10012166177
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Financial openness of China and India : implications for capital account liberalisation
Ma, Guonan; McCauley, Robert N. - 2014
We gauge the de-facto capital account openness of the Chinese and Indian economies by testing the law of one price on the basis of onshore and offshore price gaps for three key financial instruments. Generally, the three measures show both economies becoming more financially open over time. Over...
Persistent link: https://www.econbiz.de/10010402814
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Attention to the Tail(s) : Global Financial Conditions and Exchange Rate Risks
Sokol, Andrej - 2020
We document how the distribution of exchange rate returns responds to changes in global financial conditions. We measure global financial conditions as the common component of country-specific financial condition indices, computed consistently across a large panel of developed and emerging...
Persistent link: https://www.econbiz.de/10012837758