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Changes in risk perceptions on yen interest rates and exchange rates observed in options markets : developments in implied probability distributions amid rate hikes in the United S...
Yoneyama, Akihito; Tsuchiya, Akitaka; Fukuma, Noritaka - In: Bank of Japan review (2024) 8, pp. 1-9
Persistent link: https://www.econbiz.de/10015187808
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Exchange rate dynamics and United States dollar-denominated sovereign bond prices in emerging markets
Hui, Cho H.; Lo, Chi-fai; Chau, Po-hon - 2017
The study conducts an empirical test on dollar-denominated sovereign credit spreads in emerging markets, including Brazil, Colombia, Mexico, the Philippines, the Russian Federation, and Turkey to examine their relationship with each country's exchange rate and the United States (US) Treasury...
Persistent link: https://www.econbiz.de/10011756971
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Testing the foreign exchange parity relations : a case analysis of UK Sterling, Japanese Yen and US Dollar
Zubairu, Ibrahim - In: International journal of economics, finance and … 2 (2014) 6, pp. 356-361
Persistent link: https://www.econbiz.de/10010508725
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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …
Persistent link: https://www.econbiz.de/10011476532
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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
Persistent link: https://www.econbiz.de/10013261076
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Covered Interest Parity in Cross-Currency Swap Bases and Demand for US Treasuries
Hui, Cho-Hoi - 2020
, an estimated short-rate premium in the yield curve tends to move in tandem with and lead the euro and Japanese yen CCS …
Persistent link: https://www.econbiz.de/10012854215
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The effectiveness of the FX market interventions of the Bundesbank during the Louvre period : an options-based analysis
Pierdzioch, Christian - 2000
period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign …
Persistent link: https://www.econbiz.de/10011476547
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The effectiveness of the FX market interventions of the Bundesbank during the Louvre period : an options-based analysis
Pierdzioch, Christian - 2000
Persistent link: https://www.econbiz.de/10001465153
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The Rise and Fall of US Dollar Interest Rate Volatility : Evidence from Swaptions
Settlements, Bank for International - 2013
Interest rate volatility, as implied by swaptions prices, rose in all major economic areas between 2001 and early 2004 … structure has flattened. The rise and fall of US dollar implied volatility reflected changes both in expectations of realized … volatility and in the compensation for volatility risk …
Persistent link: https://www.econbiz.de/10013092678
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The forward premium puzzle and latent factors day by day
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2010
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...
Persistent link: https://www.econbiz.de/10003949496