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Interdependence of NAFTA Capital Markets : A Minimum Variance Portfolio Approach

López Herrera, Francisco - 2015

We estimate the long-run relationships among NAFTA capital market returns and then calculate the weights of a “time-varying minimum variance portfolio” that includes the Canadian, Mexican, and USA capital markets between March 2007 and March 2009, a period of intense turbulence in...

Persistent link: https://www.econbiz.de/10013011782

Euro Conversion and the Competition for Order Flow Among European Exchanges

Dewenter, Kathryn L. - 2013

We examine how euro conversion affected trading costs and volume in European equity markets. Euro conversion … deteriorated in some markets and improved in others. These effects occurred on both euro and non-euro European exchanges. Our … results are strongly consistent with the hypothesis that euro conversion boosted competition for order flow among the …

Persistent link: https://www.econbiz.de/10013077405

Predictability in Implied Volatility Surfaces : Evidence from the Euro OTC FX Market

Chalamandaris, George - 2014

volatilities from over-the-counter options on eight different currencies, quoted against the Euro. We examine implied volatility …

Persistent link: https://www.econbiz.de/10013066121

Risk-Factor Portfolios and Financial Stability

Garita, Gus - 2010

By utilizing the extreme dependence structure and the conditional probability of joint failure (CPJF) among risk factors, this paper characterizes a risk-stability index (RSI) that quantifies (i) common distress of risk factors, (ii) distress between specific risk factors, and (iii) distress to...

Persistent link: https://www.econbiz.de/10013150335

International transmission of financial stress : evidence from a GVAR

Dovern, Jonas; Roye, Björn van - 2013

We analyze the international transmission of financial stress and its effects on economic activity. We construct country specific monthly financial stress indexes (FSI) using dynamic factor models from 1970 until 2012 for 20 countries. We show that there is a strong co-movement of the FSI during...

Persistent link: https://www.econbiz.de/10009761846

Predicting financial stress events : a signal extraction approach

Christensen, Ian; Li, Fuchun - 2014

The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor...

Persistent link: https://www.econbiz.de/10010400740

Exchange rates and fundamentals

Engel, Charles; West, Kenneth David - 2003

Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...

Persistent link: https://www.econbiz.de/10009635953

Trade and the External Wealth of Nations

Lemelin, Andre - 2008

Most CGE trade models fix current account balances exogenously, in accordance with the widely accepted view that trade policy may influence trade flows, but that current accounts are constrained by symmetric capital account balances, on which trade policy has little effect. The MIRAGE-D model...

Persistent link: https://www.econbiz.de/10014216170

A Low-Risk Strategy Based on Higher Moments in Currency Markets

Zunft, Claudia - 2016

This paper is first to establish profound evidence on the existence of a low-risk anomaly in currency markets. In particular, I discover a novel strategy in currency forward markets that is long in currencies whose higher return moments are low relative to past levels and short in currencies...

Persistent link: https://www.econbiz.de/10013003415

Carry Trade Strategies with Factor Augmented Macro Fundamentals : A Dynamic Markov-Switching Factor Model

Ogruk-Maz, Gokcen - 2017

This paper evaluates the performance of carry trade strategies with macro fundamentals in a Markov switching dynamic factor augmented regression framework and compares the performance statistics with the benchmark model of a random walk and momentum strategy. I make simulations with the Japanese...

Persistent link: https://www.econbiz.de/10012963675