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Dollar Bond, Foreign Discount and Exchange Rate Risk
Wang, Junxuan - 2023
In this paper, I examine the heterogeneous exposure of USD-denomination bonds (dollar bonds) to exchange rate risks. An … appreciation of the US dollar increases the credit spread differential, referred to as the Foreign Discount, between dollar bonds … its dollar bonds. The dollar home bias channel asserts that an appreciation of the US dollar reduces the risk …
Persistent link: https://www.econbiz.de/10014257383
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Exchange rates and the global transmission of equity market shocks
Ojea-Ferreiro, Javier; Reboredo, Juan Carlos - 2021
We assess the role played by exchange rates in buffering or amplifying the propagation of shocks across international equity markets. Using copula functions we model the joint dependence between exchange rates and two global equity markets and, from a copula framework, we obtain the conditional...
Persistent link: https://www.econbiz.de/10012549999
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Foreign-currency bonds: currency choice and the role of uncovered and covered interest parity
Habib, Maurizio Michael; Joy, Mark - 2008
-currency-denominated bonds. In particular, we investigate whether bond issuers choose their issuance currency in order to exploit the borrowing …
Persistent link: https://www.econbiz.de/10011604993
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Central bank intervention in the inflation targeting
Krušković, Borivoje D. - In: Journal of central banking theory and practice 11 (2022) 1, pp. 67-85
This paper analyses the impact of central bank interven-tions in the inflation targeting regime. The results of empirical stud-ies in this paper show if there is a shock of the exchange rate, which would lead to depreciation of the exchange rate, a central bank may decide to mush instability on...
Persistent link: https://www.econbiz.de/10012805926
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The portfolio theory of inflation and policy (in)effectiveness
Bossone, Biagio - 2019
The analysis of open macroeconomies typically assumes (implicitly or explicitly) that resource allocation decisions are taken by domestic agents. The Portfolio Theory of Inflation (PTI) developed in this study assumes that some critical allocation decisions are taken by global investors and...
Persistent link: https://www.econbiz.de/10012012446
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Housing cycles and exchange rates
Ma, Sai; Zhang, Shaojun - 2019
premia in equity and bonds, but positively with foreign currency premia. We study a model with external habit preferences …
Persistent link: https://www.econbiz.de/10012120212
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The portfolio theory of inflation (and policy effectiveness)
Bossone, Biagio - 2019
The Portfolio Theory of Inflation (PIT) proposed in this study investigates the role of global financial markets in determining the effectiveness of macroeconomic policy in open and fully financial integrated economies. The PIT adopts a modified version of the portfolio balance approach to...
Persistent link: https://www.econbiz.de/10011993031
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Can Time-Varying Currency Risk Hedging Explain Exchange Rates?
Bräuer, Leonie; Hau, Harald - 2022
Over the last decade foreign bond portfolio positions in US dollar assets have risen above the reciprocal US investor positions in foreign currencies. In periods of increased economic uncertainty, institutional investors hedge their international bond positions, which creates a net hedging...
Persistent link: https://www.econbiz.de/10014236684
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Can time-varying currency risk hedging explain exchange rates?
Bräuer, Leonie; Hau, Harald - 2022
Over the last decade foreign bond portfolio positions in US dollar assets have risen above the reciprocal US investor positions in foreign currencies. In periods of increased economic uncertainty, institutional investors hedge their international bond positions, which creates a net hedging...
Persistent link: https://www.econbiz.de/10013440410
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Exchange rate risk, distribution asymmetry and deviations from purchasing power parity
Arghyrou, Michael Georgiou; Lu, Wenna; Pourpourides, … - 2020
Firstly, we show that domestic prices of net importer countries incorporate a risk premium, driven by higher moments of future nominal exchange rate returns and secondly, using US dollar exchange rates against three currencies of major net exporting countries to the US such as Canada, Japan and...
Persistent link: https://www.econbiz.de/10012230006