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Investigating the cross currency basis in EURUSD and EURGBP
Heidorn, Thomas; Mamadalizoda, Nekruz - 2019
The fundamental premise upon which the pricing of major FX derivatives rests is the Covered Interest Parity (CIP), and a violation is seen as a reflection of potential capital market inefficiencies. CIP postulates that FX forward prices simply reflect the interest rate differential between the...
Persistent link: https://www.econbiz.de/10012115798
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Time varying risk premium and limited participation in financial markets
Wang, Xuedong - 2015
Persistent link: https://www.econbiz.de/10011279798
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The US Dollar-Euro Exchange Rate and US-EMU Bond Yield Differentials : A Causality Analysis
Sosvilla-Rivero, Simon - 2011
This paper test for causality between the US Dollar-Euro exchange rate and US-EMU bond yield differentials. To that end, we apply Hsiao (1981)'s sequential procedure to daily data covering the 1999-2011 period. Our results suggest the existence of statistically significant Granger causality...
Persistent link: https://www.econbiz.de/10013126999
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U.S. Dollar Currency Premium in Corporate Bonds
Caramichael, John; Gopinath, Gita; Liao, Gordon - 2022
We isolate a U.S. dollar currency premium by comparing corporate bonds issued in the dollar and the euro by firms o utside t he U .S. a nd e uro a rea. We make s everal empirical observations that dissect the perceived advantage of borrowing in the dollar. First, while the dollar dominates...
Persistent link: https://www.econbiz.de/10013306776
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Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi; Xie, Jinming - 2023
Persistent link: https://www.econbiz.de/10013502696
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Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi; Xie, Jinming - In: The journal of futures markets 43 (2023) 4, pp. 455-479
Persistent link: https://www.econbiz.de/10014293114
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Variance risk premiums in foreign exchange markets
Ammann, Manuel; Buesser, Ralf - 2013
Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums in foreign exchange markets. We find significantly negative risk premiums when realized variance is computed from intraday data with low frequency. As a likely consequence of...
Persistent link: https://www.econbiz.de/10010410031
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The Fed's international dollar liquidity facilities: new evidence on effects
Goldberg, Linda S.; Ravazzolo, Fabiola - 2021
In March 2020, the Federal Reserve eased the terms on its standing swap lines in collaboration with other central banks …, reactivated temporary swap agreements, and then introduced the new Foreign and International Monetary Authorities (FIMA) Repo … Facility. We provide new evidence on how the central bank swap lines and FIMA Repo Facility can reduce strains in global dollar …
Persistent link: https://www.econbiz.de/10012797880
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Price-setting in the foreign exchange swap market : evidence from order flow
Syrstad, Olav; Viswanath-Natraj, Ganesh - 2020
funding costs and quarter-end periods. We find central bank swap lines reduced the order flow to obtain USD through FX swaps …
Persistent link: https://www.econbiz.de/10012417506
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Breaking par : short-term determinants of yen-dollar swap deviations
Angrick, Stefan; Nemoto, Naoko - 2018
This paper analyses deviations in yen-dollar cross-currency swap markets between 2007 and 2017. Using weekly …
Persistent link: https://www.econbiz.de/10011893926