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Cointegration in the foreign exchange market and market efficiency since the introduction of the euro : evidence based on bivariate cointegration analyses
Kühl, Michael (contributor) - 2007
the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be … adjustment to the long-run equilibrium. -- foreign exchange market ; market efficiency ; cointegration …
Persistent link: https://www.econbiz.de/10003582754
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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
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Testing uncovered interest rate parity using LIBOR
Omer, Muhammad; Haan, Jakob de; Scholtens, Bert - 2012
, Smeekes, and Urbain (2010) and cointegration techniques by Westerlund (2007), we find that UIP holds for short-term maturities … cointegration …
Persistent link: https://www.econbiz.de/10009570031
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Effective exchange rates, current accounts and global imbalances : conference paper
Beckmann, Joscha; Czudaj, Robert - 2014
This study analyzes the dynamics between real effective exchange rates and current account patterns from a novel perspective. We start by dissecting long-run and time-varying short-run dynamics between both variables. Following this, we extend our framework by including interest rates into our...
Persistent link: https://www.econbiz.de/10010483886
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Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics
Nguyen, Viet Hoang - 2011
We generalize the portfolio shifts model advanced by Evans and Lyons (2002a; b), and develop the dynamic asymmetric portfolio shifts (DAPS) model by explicitly allowing for possible market under- and overreactions and for asymmetric pricing impacts of order flows. Using the Reuters D2000-1 daily...
Persistent link: https://www.econbiz.de/10013123839
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Oil Price, Gold Price, Exchange Rate and Stock Market in Iraq Pre-During COVID-19 Outbreak : An ARDL Approach
Asaad, Zeravan - 2021
, the study results accepted the null hypothesis of no cointegration exists between the variables respectively for the (Full …
Persistent link: https://www.econbiz.de/10013215302
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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
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Analysis of the Intraday Effects of Economic Releases on the, Currency Market
Rezania, Omid; Račev, Svetlozar T.; Sun, Edward; … - 2010
Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility clusters...
Persistent link: https://www.econbiz.de/10008654275
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Carry trades, order flow and the forward bias puzzle
Breedon, Francis J.; Rime, Dagfinn; Vitale, Paolo - 2015
We investigate the relation between foreign exchange (FX) order flow and the forward bias. We outline a decomposition of the forward bias according to which a negative correlation between interest rate differentials and order flow creates a time-varying risk premium consistent with that bias....
Persistent link: https://www.econbiz.de/10011396784
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Price Discovery in Emerging Financial Markets during the Global Mortgage Crisis
Aktug, Erdem - 2011
Focusing on five major emerging markets (EM), I investigate the interactions between credit default swap (CDS) premiums, foreign exchange (FX) parities, local currency government bond (LCB) spreads, and national stock market indices over the period 4/2/2007 to 8/27/2009. Empirical analysis...
Persistent link: https://www.econbiz.de/10013128666