franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic …This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … with extreme economic episodes and, to a lower extend, with appreciations of the US dollar. Moreover, the euro (Deutsche …

currencies can be treated as the same asset if their exchange rates vis-`a-vis the same base currency are cointegrated with a … yield that periods of strong comovements of the US dollar and Pound sterling based upon the Euro prevail during the 1990s … and periods of comovements of Euro and Pound sterling denominated in US dollar prevail since the introduction of the Euro …

carry trading or other patterns of currency trading over the recent period of the ultra-loose US monetary policy. Our …. That is, the USD, as the lower yielding currency, is associated with short positions. The payoff distributions of these … in line with uncovered interest parity trading; that is, the lower (higher) yielding currency is associated with long …

calibration matching data from the U.S. and G10 currency countries implies that persistent shocks to relative demand, reflected in … persistent interest rate differentials, account for 75% of the variance in the dollar/G10 exchange rate. Shocks to currency …

The corporate basis measures the pricing difference between dollar and foreign currency bonds issued by the same …

The aim of this paper is to discuss excess comovements for the Euro/US dollar and British pound/US dollar exchange …