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The asymmetric effects of U.S. large-scale asset purchases on the volatility of the Canadian dollar futures market
Chang, Jui-chuan Della; Chang, Kuang-Liang - In: The North American journal of economics and finance : a … 46 (2018), pp. 15-28
Persistent link: https://www.econbiz.de/10012036585
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Essays on the volatility of macroeconomic and financial time series
Yu, Wei-choun - 2006
Persistent link: https://www.econbiz.de/10003973905
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The Thursday effect of the forward premium puzzle
Ding, Liang - In: International review of economics & finance : IREF 21 (2012) 1, pp. 302-318
Persistent link: https://www.econbiz.de/10009486120
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Essays in international macroeconomics and econometrics
Zhang, Xuan - 2014
Persistent link: https://www.econbiz.de/10010384427
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Three empirical essays on the informational content of financial prices
Bernoth, Kerstin - 2004
Persistent link: https://www.econbiz.de/10002524759
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The euro bloc, the dollar bloc and the yen bloc : how much monetary policy independence can exchange rate flexibility buy in an interdependent world?
Fratzscher, Marcel (contributor) - 2002
Persistent link: https://www.econbiz.de/10001702791
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The Euro Bloc, the Dollar Bloc and the Yen Bloc : How Much Monetary Policy Independence Can Exchange Rate Flexibility Buy in an Interdependent World?
Fratzscher, Marcel - 2021
force in world capital markets, although the importance of EU monetary policy decisions has been increasing and a Euro bloc …
Persistent link: https://www.econbiz.de/10013320230
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The Two-pillar policy for the RMB
Jermann, Urban J.; Wei, Bin; Yue, Vivian Z. - 2019
We document stylized facts about China's recent exchange rate policy for its currency, the renminbi (RMB). Our empirical findings suggest that a "two-pillar policy" is in place, aiming to balance RMB index stability and exchange rate flexibility. We then develop a tractable no-arbitrage model of...
Persistent link: https://www.econbiz.de/10011997655
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Exchange Rate Dynamics Under a Currency Board When Policy Rates are Zero
Hui, Cho-Hoi - 2017
In a target-zone exchange rate system, both fundamentals and exchange rate expectations, reflected in interest rate differentials between the domestic and anchor currency, determine the exchange rate. However, the scope to capture exchange rate expectations is limited when policy rates are close...
Persistent link: https://www.econbiz.de/10012947606
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The Fed’s Policy Decisions and Implied Volatility
Vähämaa, Sami - 2011
This paper examines how the Fed's monetary policy decisions affect the implied volatility of the S&P 500 index. The … that implied volatility generally decreases after FOMC meetings, while the relationship between target rate surprises and … surprises and implied volatility is mostly driven by the volatility-reducing effects of negative surprises. We further document …
Persistent link: https://www.econbiz.de/10013133764