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The extreme risk problem for monetary policies of the Euro-candidates
Gabrisch, Hubert; Orłowski, Lucjan T. - 2010
. -- Regeln der Geldpolitik ; Tail-Risks ; Euro-Konvergenz ; weltweite Finanzkrise ; Vermögensrisiko ; Zinsrisiko …Wir argumentieren, dass die Geldpolitik in den Euro-Kandidatenländern darauf abzielen sollte, die exzessive … Instabilität in den zentralen Ziel- und Instrumentenvariablen der Geldpolitik zu mildern, insbesondere in Phasen turbulenter …
Persistent link: https://www.econbiz.de/10003969864
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The Forward Premium Bias, Carry Trade Return and the Risks of Volatility and Liquidity
Shehadeh, Ali - 2016
In this paper, we analyse the relationship between the currency carry return and volatility and liquidity risk factors. We find that both categories of risk factors are relevant to understanding and explaining carry return, with an outperformance for volatility ones especially the global FX...
Persistent link: https://www.econbiz.de/10012989965
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Excess comovements between the Euro/US dollar and British pound/US dollar exchange rates
Kühl, Michael - 2009
The aim of this paper is to discuss excess comovements for the Euro/US dollar and British pound/US dollar exchange rates, i.e. we look for comovements of exchange rates which are stronger than implied by fundamentals. The results of the empirical analysis give evidence that excess comovements...
Persistent link: https://www.econbiz.de/10003905664
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Nexus between Crude Oil Price, Exchange Rate and Stock Market : Evidence from Oil Exporting and Importing Economies
Am, Muhammad Ashiq - 2017
The relationship between stock prices and macroeconomic variables like crude oil price, exchange rate, gold price, GDP, Inflation etc. have been widely studied in the context of developed countries and few studies on emerging and developing countries are also done. An attempt is made here to...
Persistent link: https://www.econbiz.de/10012963642
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Excess Comovements between the Euro/US Dollar and British Pound/US Dollar Exchange Rates
Kuehl, Michael - 2009
The aim of this paper is to discuss excess comovements for the Euro/US dollar and British pound/US dollar exchange rates, i.e. we look for comovements of exchange rates which are stronger than implied by fundamentals. The results of the empirical analysis give evidence that excess comovements...
Persistent link: https://www.econbiz.de/10013154177
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Distant or Close Cousins : Connectedness Between Cryptocurrencies and Traditional Currencies Volatilities
Andrada Félix, Julián - 2019
This paper examines the volatility interconnection between the main cryptocurrencies and traditional currencies during the period of February 2014-September 2018 using both a framework proposed by Diebold and Yilmaz (2014) and the modified approach of Antonakakis and Gabauer (2017). Our results...
Persistent link: https://www.econbiz.de/10012865339
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Beyond Incomplete Spanning : Convenience Yields and Exchange Rate Disconnect
Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno N. - 2021
We introduce convenience yields on dollar bonds into an incomplete-market equilibrium model of exchange rates and interest rates. The convenience yield enters as a stochastic wedge in the Euler equation for exchange rate determination. The model identifies a novel safe-asset convenience yield...
Persistent link: https://www.econbiz.de/10013226489
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Survey of volatility and spillovers on financial markets
Kočenda, Evžen - 2017
In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets via spillovers. We document how new approaches or improved existing methodologies lead to results that offer richer insights than those derived from standard econometric...
Persistent link: https://www.econbiz.de/10011598902
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A fundamental connection : exchange rates and macroeconomic expectations
Stavrakeva, Vania; Tang, Jenny - 2020 - This version: December 2020
This paper presents new stylized facts about exchange rates and their relationship with macroeconomic fundamentals. We show that macroeconomic surprises explain a large majority of the variation in nominal exchange rate changes at a quarterly frequency. Using a novel present value decomposition...
Persistent link: https://www.econbiz.de/10012429208
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Volatility Transmission between Stock and Exchange-Rate Markets : A Connectedness Analysis
Fernández Rodríguez, Fernando - 2016
This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to January 2015. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire...
Persistent link: https://www.econbiz.de/10012981339