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The pricing of FX forward contracts : micro evidence from banks' dollar hedging

Abbassi, Puriya; Bräuning, Falk - 2018

in banks' dollar hedging costs. For identification, we exploit regulatory end-of-quarter reporting that penalizes banks …

Persistent link: https://www.econbiz.de/10011916907

The pricing of FX forward contracts : micro evidence from banks' dollar hedging

Abbassi, Puriya; Bräuning, Falk - 2018 - This version: March 2018

conjunction with supervisory balance sheet information to study the drivers of banks' dollar hedging costs. Comparing contracts of … the same maturity that are initiated during the same hour of the same day, we find large heterogeneity in banks' hedging … are important for understanding how shocks are transmitted internationally through the FX hedging market. …

Persistent link: https://www.econbiz.de/10011911789

Small Traders in Currency Futures Markets Format

Röthig, Andreas - 2010

This study examines the interrelation between small traders open interest and large hedging and speculation in the …

Persistent link: https://www.econbiz.de/10013141691

Foreign-currency bonds : currency choice and the role of uncovered and covered interest parity

Habib, Maurizio Michael; Joy, Mark - 2008

Using count-data techniques, this paper studies the determinants of currency choice in the issuance of foreign-currency-denominated bonds. In particular, we investigate whether bond issuers choose their issuance currency in order to exploit the borrowing-cost savings associated with deviations...

Persistent link: https://www.econbiz.de/10003794028

Central Bank Reserve Management and International Financial Stability-Some Post-Crisis Reflections

Jones, Bradley - 2018

Motivated by the tension first revealed during the global financial crisis between thedomestic and international financial stability obligations of central bank reserve managers,this paper offers some reflections along four main lines. First, the paper highlights howofficial reserve management...

Persistent link: https://www.econbiz.de/10012924272

Foreign-Currency Bonds : Currency Choice and the Role of Uncovered and Covered Interest Parity

Habib, Maurizio Michael; Joy, Mark - 2021

Persistent link: https://www.econbiz.de/10013316472

FX Reserve Management : Trends and Challenges

Settlements, Bank for International - 2013

The increasing size and concentration of official foreign exchange reserves after years of continued expansion, especially since the Asian crisis, have led to renewed interest in the way reserve management decisions are taken and in their possible impact on financial markets. Reserve management...

Persistent link: https://www.econbiz.de/10012753508

Is there asymmetry in forward exchange rate bias? : multi-country evidence

Zhou, Su; Kutan, Ali Mustafa - 2002

This study illustrates that the empirical rejection of the forward rate unbiasedness hypothesis is not sensitive to whether the forward U.S. dollar is quoted at a premium or a discount. It is argued that the reported finding of so-called asymmetry in forward exchange rate bias in earlier work is...

Persistent link: https://www.econbiz.de/10010515676

Currency market efficiency revisited : evidence from Korea

Kang, Min-woo - In: International Journal of Financial Studies : open … 7 (2019) 3/52, pp. 1-17

This study aims to test the efficiency of the Korean foreign exchange market and examine its determinants through several well-established methodologies based on the forward rate unbiasedness hypothesis and covered interest rate parity. The empirical findings indicate that the currency market...

Persistent link: https://www.econbiz.de/10012150302

Breaking par : short-term determinants of yen-dollar swap deviations

Angrick, Stefan; Nemoto, Naoko - 2018

spreads opening up in these markets provide an incentive for cross-border financial flows and corresponding hedging demand …

Persistent link: https://www.econbiz.de/10011893926

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