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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
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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
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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
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Yield Curve Predictors of Foreign Exchange Returns
Ang, Andrew - 2011
In a no-arbitrage framework, any variable that affects the pricing of the domestic yield curve has the potential to predict foreign exchange risk premiums. The most widely used interest rate predictor is the difference in short rates across countries, known as carry, but the short rate is only...
Persistent link: https://www.econbiz.de/10013133966
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An Essay on Exchange Rate Dynamics
Schulmeister, Stephan - 2010
There is rarely another field in economics where the prevailing theoretical models have been contradicted so strongly by empirical evidence as exchange rate economics. This study therefore attempts to investigate exchange rate dynamics in an exploratory way. It is first demonstrated that the...
Persistent link: https://www.econbiz.de/10013135726
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The Interest Rate, the Exchange Rate and the Interaction of the Real and the Financial World
Schulmeister, Stephan - 2010
Persistent link: https://www.econbiz.de/10013135729
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Exchange Rates, Prices and Interest Rates - Reconsidering the Basic Relationships of Exchange Rate Dynamics
Schulmeister, Stephan - 2010
The first part of this paper briefly summarizes the assumptions of economic theory on the relationships between exchange rates, prices and interest rates and the same time compares these assumptions with the empirical evidence. The fact that there exist strong discrepancies, which in recent...
Persistent link: https://www.econbiz.de/10013135774
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Time-Varying Correlations and Optimal Allocation in Emerging Market Equities for the US Investors
Cha, Heung-Joo - 2010
Low correlations between asset returns increase the portfolio diversification benefits and for US investors emerging market equities are one such class of assets. Several studies indicate that the correlations between asset returns are time varying and using unconditional estimates of...
Persistent link: https://www.econbiz.de/10013138548
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A Consistent Methodology for the Calculation of the Cost of Capital in Emerging Markets
Villarreal, Julio E. - 2010
This article presents in a rigorous manner a methodological approach for the calculation of the discount rate in emerging markets. This calculation requires a robust estimation of country risk. In addition, it requires to identify explicitly and rigorously the academic relationship between the...
Persistent link: https://www.econbiz.de/10013138963
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Global Liquidity Risk in the Foreign Exchange Market
Banti, Chiara - 2011
Using a broad data set of 20 US dollar exchange rates and order flow of institutional investors over 14 years, we construct a measure of global liquidity risk in the foreign exchange (FX) market. Our FX liquidity measure may be seen as the analogue of the well-known Pastor-Stambaugh liquidity...
Persistent link: https://www.econbiz.de/10013118806