We examine the influence of Quantitative Easing (QE) on hedging effectiveness and performance (E&P) of international bond portfolios. During the QE period, the bond portfolios have significantly lower excess returns and variances, and their excess return and variance sensitivities are positive...

We start by documenting large differences in bitcoin prices across exchanges located in different countries, or for different fiat currency pairs. For the most reputable exchanges, and after carefully accounting for all the transaction costs and limitations to trade, we find that costly...

I examine the profitability of three simple foreign exchange technical trading rules (moving average, momentum, and relative strength index) before, during and after the 2007-2008 global financial crisis. The overall findings reveal that these technical indicators could produce statistically...

Frequent, yet uninformed, fund flows in Chilean pension plans generate substantial trading in currency markets due to the high allocation to international securities. These non-fundamental flows have a significant impact on the Chilean peso, which is estimated to have a relatively low price...

In distilling a vast literature spanning the rational — irrational divide, this paper offers reflections on why asset bubbles continue to threaten economic stability despite financial markets becoming more informationally-efficient, more complete, and more heavily influenced by sophisticated...

Reserve portfolios prior to the Global Financial Crisis provided positive (low) returns for central banks or had extremely low probabilities of earning negative returns. In the wake of the crisis, expansionary monetary policy created a low yield environment at a scale that was never seen before....

This paper reconsiders the determinants of the exchange rate by studying the historical episode after the fall of the Iron Curtain. Testing a modified portfolio balance model, we attribute the strength of the deutschmark in the early nineties and the puzzling decline of the euro during its...

Currencies play an important role in facilitating trade and economic growth. Shifts in currency values may lead to economic dislocations hindering trade and growth. Most currencies are issued by government central banks. These central banks hold assets in the form of government debt and gold...

In recent years, issues related to the management of foreign exchange reserves have gained prominence, and reserve management practices have evolved rapidly. Against this background, the Monetary and Economic Department of the Bank for International Settlements organised an ad hoc meeting of...

This paper explores empirically whether Asian investors, and in particular foreign reserve managers, respond to capital gains or losses by rebalancing their portfolios of US Treasury securities. For a sample of 10 Asian countries from 1990 to end 2004, we find that capital losses, stemming from...