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Adrian, Tobias; Etula, Erkko M.; Shin, Hyun Song - 2015

We present evidence that the growth of U.S.-dollar-denominated banking sector liabilities forecasts appreciations of the U.S. dollar, both in-sample and out-of-sample, against a large set of foreign currencies. We provide a theoretical foundation for a funding liquidity channel in a global...

Persistent link: https://www.econbiz.de/10011399316

Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets

Ledenyov, Dimitri - 2015

exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …

Persistent link: https://www.econbiz.de/10013013057

An intermediation-based model of exchange rates

Malamud, Semyon; Schrimpf, Andreas - 2018 - This version: June 5, 2018

We develop a general equilibrium model with intermediaries at the heart of international financial markets. Global intermediaries bargain with households and extract rents for providing access to foreign claims. The behavior of intermediaries, by tilting state prices, breaks monetary neutrality...

Persistent link: https://www.econbiz.de/10011877302

Linking Net Foreign Portfolio Debt and Equity to Exchange Rate Movements

Gardberg, Malin - 2019

Many currencies, especially those of countries with negative net foreign assets, tend to depreciate during times of financial turbulence. Using a panel of 26 currencies over the period 1/1997-6/2016, I show that the composition of net foreign assets matter for the exchange rate sensitivity to...

Persistent link: https://www.econbiz.de/10012897516

The Hedging Channel of Exchange Rate Determination

Liao, Gordon; Zhang, Tony - 2022

We document the exchange rate hedging channel that connects country-level measures of net external financial imbalances with exchange rates. In times of market distress, countries with large positive external imbalances (e.g. Japan) experience domestic currency appreciation, and crucially,...

Persistent link: https://www.econbiz.de/10013405506

Detecting scapegoat effects in the relationship between exchange rates and macroeconomic fundamentals

Pozzi, Lorenzo; Sadaba, Barbara - 2017

between the theory on scapegoats and its empirical implementation. This new testing method consists of a number of steps …

Persistent link: https://www.econbiz.de/10011662005

Is exchange rate - customer order flow relationship linear? : evidence from the Hungarian FX market

Lovcha, Yuliya; Perez-Laborda, Alejandro - 2010

evolves over time and that it is different under different market conditions defined by exchange rate volatility. Further, we …

Persistent link: https://www.econbiz.de/10008746440

Heterogeneous expectations in the foreign exchange market evidence from the daily dollar

Ahrens, Ralf; Reitz, Stefan - 2003

In this study a regime switching approach is applied to estimate the chartist and fundamentalist (c&f) exchange rate model originally proposed by Frankel and Froot (1986). The c&f model is tested against alternative regime switching specifications applying likelihood ratio tests. Nested...

Persistent link: https://www.econbiz.de/10009765353

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 … general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …

Persistent link: https://www.econbiz.de/10010410031

Intertemporal Risk-Return Trade-Off in Foreign Exchange Rates

Christiansen, Charlotte - 2017

volatility, its realized skewness, and its value-at-risk. We apply monthly FX excess returns and monthly FX risk measures …

Persistent link: https://www.econbiz.de/10012976547

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