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Crises and Prices : Information Aggregation, Multiplicity and Volatility
Angeletos, Marios; Werning, Iván - 2005
Many argue that crises - such as currency attacks, bank runs and riots - can be described as times of non-fundamental volatility. We argue that crises are also times when endogenous sources of information are closely monitored and thus an important part of the phenomena. We study the role of...
Persistent link: https://www.econbiz.de/10014067957
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Exchange Rate Variability and the Riskiness of U.S. Multinational Firms : Evidence from the Breakdown of the Bretton Woods System
Bartov, Eli - 2013
We examine the relation between exchange rate variability and stock return volatility for U.S. multinational firms and decompose this relation into components of systematic and diversifiable risk. Focusing on two five-year periods around the 1973 switch from fixed to floating exchange rates, we...
Persistent link: https://www.econbiz.de/10013081564
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Uncertainty and Exchange Rate Volatility : The Case of Mexico
Bush, G. - 2019
This paper investigates the effect of domestic and global uncertainty on the volatility of the Mexican peso US dollar … estimated exchange rate volatility on domestic and global uncertainty proxies, built with data from the survey of professional … Davis global economic policy uncertainty index (EPU). A trade uncertainty index based on Google trends is incorporated in …
Persistent link: https://www.econbiz.de/10012897453
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Foreign Exchange Rate Uncertainty in Korea
Lee, Seojin - 2020
Applying Ismailov and Rossi (2018), I newly construct the Korea FX uncertainty based on the density distribution of … historical forecast errors. This uncertainty index properly captures the rare but significant events in the Korean currency … market and provides information distinct from other uncertainty measures in recent studies. I show that 1) FX uncertainty …
Persistent link: https://www.econbiz.de/10014095570
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Strategic flexibility and exchange rate uncertainty
Krupp, Corinne Marie - In: The Canadian journal of economics 29 (1996) 2, pp. 436-456
Persistent link: https://www.econbiz.de/10001206532
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Exchange rate variability and the riskiness of US multinational firms : evidence from the breakdown of the Bretton Woods system
Bartov, Eli; Bodnar, Gordon M.; Kaul, Aditya - In: Journal of financial economics 42 (1996) 1, pp. 105-132
Persistent link: https://www.econbiz.de/10001205753
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Exchange Rate Variability and the Riskiness of U.S. Multinational Firms : Evidence from the Breakdown of the Bretton Woods System
Bartov, Eli - 1995
This study assesses the impact of exchange rate variability on the riskiness of U.S. multinational firms by examining the relation between exchange rate variability and stock return volatility and by decomposing this relation into components of systematic and diversifiable risk. Focusing on two...
Persistent link: https://www.econbiz.de/10012473547
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Dissecting currency momentum
Zhang, Shaojun - 2020
This paper shows that currency momentum, which cannot be explained by carry and dollar factors, summarizes the autocorrelation of these factors. Carry and dollar factors are strongly autocorrelated and only earn significantly positive excess returns following positive factor returns. Currency...
Persistent link: https://www.econbiz.de/10012244553
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Policy Words and Policy Deeds : The ECB and the Euro
Bohl, Martin T.; Siklos, Pierre L. - 2007
This paper examines the role of the ECB communication activities on daily Eurodollar exchange rate and interest rates. We estimate the relationship between monetary policy and the exchange rate using a technique that explicitly recognises the joint determination of both the levels and...
Persistent link: https://www.econbiz.de/10014223730