Showing 1 - 10 of 3,572
In this paper we derive the measure of position-unwinding risk of currency carry trade portfolios from the currency option pricing model. The position-unwinding likelihood indicator is in nature driven by interest rate differential and currency volatility, and highly correlated with global...
Persistent link: https://www.econbiz.de/10013007414
This note draws an analogy between deviations from no-arbitrage forward-spot relationships in currency and in commodity markets. The key is to notice that the U.S. dollar acts as a commodity in foreign exchange (FX) markets. In the physical commodity space, if the spot price is too high relative...
Persistent link: https://www.econbiz.de/10012947461
I show that volatility risk of the dollar factor --- an equally weighted basket of developed U.S. dollar exchange rates --- carries a significant risk premium and that it is priced in the cross-section of currency volatility excess returns. The dollar factor volatility risk premium is negative...
Persistent link: https://www.econbiz.de/10012920214
Using actual over the counter (OTC) foreign exchange derivative trading data, this paper studies the relationship between trading volume and volatility for the OTC market and futures markets for the Canadian dollar over the period January 1998 to September 2005. Pair-wise regressions are...
Persistent link: https://www.econbiz.de/10013119894
We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward slopes - volatility carry strategy - generates...
Persistent link: https://www.econbiz.de/10012902489
We discuss the idea of a purely algorithmic universal world iCurrency set forth in: "https://ssrn.com/abstract=2542541" https://ssrn.com/abstract=2542541 and expanded in: "https://ssrn.com/abstract=3059330" https://ssrn.com/abstract=3059330 in light of recent developments, including Libra. Is...
Persistent link: https://www.econbiz.de/10012847994
I link deviations from forward-spot parity for currencies and commodities. The key is to think of the U.S. dollar as a “commodity.” When commodity spot prices are too high compared to futures, arbitrageurs will short the commodity and bank dollars. When physical scarcity constrains commodity...
Persistent link: https://www.econbiz.de/10013404850
This paper constructs risk-free interest rates implicit in index option prices for ten of the major G11 currencies. We compare these rates to the yields of government bonds to provide international estimates of the convenience yield earned by safe assets. Average convenience yields across...
Persistent link: https://www.econbiz.de/10013363650
The sovereign credit default swap (CDS) spreads and exchange rates of the developed economies including the US, Japan, Switzerland and the eurozone with the first three countries' currencies conventionally considered as safe-haven varied in a wide range during the financial crises since late...
Persistent link: https://www.econbiz.de/10013037380
The deepening of the recent crisis was driven by the simultaneous devaluation of stock wealth, housing wealth and commodity wealth. The potential for this devaluation process had been “built up” during the boom of stock prices, house prices and commodity prices between 2003 and 2007. Hence,...
Persistent link: https://www.econbiz.de/10013135724