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Dealer leverage and exchange rates : heterogeneity across intermediaries
Correa, Ricardo; Pounder, Laurie - 2019
In line with a growing literature on financial intermediary asset pricing, we find that changes in the leverage of primary dealers have predictive power in forecasting exchange rates. Unlike previous studies, we find that primary dealer heterogeneity matters for their role in asset pricing. The...
Persistent link: https://www.econbiz.de/10012126161
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The pricing of FX forward contracts: Micro evidence from banks' dollar hedging
Abbassi, Puriya; Bräuning, Falk - 2018
Using transaction-level data on foreign exchange (FX) forward contracts, we document large demand-driven heterogeneity in banks' dollar hedging costs. For identification, we exploit regulatory end-of-quarter reporting that penalizes banks' currency exposure with capital surcharges. Contracts...
Persistent link: https://www.econbiz.de/10011917543
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The pricing of FX forward contracts : micro evidence from banks' dollar hedging
Abbassi, Puriya; Bräuning, Falk - 2018
Using transaction-level data on foreign exchange (FX) forward contracts, we document large demand-driven heterogeneity in banks' dollar hedging costs. For identification, we exploit regulatory end-of-quarter reporting that penalizes banks' currency exposure with capital surcharges. Contracts...
Persistent link: https://www.econbiz.de/10011916907
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Exchange rates and the speed of economic recovery : the role of financial development
Fisera, Boris - 2022
We study the influence of the exchange rate on the speed of economic recovery in a sample of 67 developed and developing economies over the years 1989-2019. First, using a cross-sectional sample of 341 economic recoveries, we study the effect of nominal depreciation and real undervaluation on...
Persistent link: https://www.econbiz.de/10013332929
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Exchange rates and the speed of economic recovery: The role of financial development
Fisera, Boris - 2022
We study the influence of the exchange rate on the speed of economic recovery in a sample of 67 developed and developing economies over the years 1989-2019. First, using a cross-sectional sample of 341 economic recoveries, we study the effect of nominal depreciation and real undervaluation on...
Persistent link: https://www.econbiz.de/10014301789
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The pass-through effect: a twofold analysis
Forte, Antonio - 2009
In this paper I analyse the pass-through effect in four big areas using different approaches. On the one hand, I inspect this issue comparing the REER (real effective exchange rate) with the WARP (weighted average relative price) in the US, the UK, Japan and the Euro area. On the other hand, I...
Persistent link: https://www.econbiz.de/10011523678
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The real exchange rate, real interest rates, and the risk premium
Engel, Charles - 2011
, another strand of the literature has documented that high real interest rate countries tend to have currencies that are strong …
Persistent link: https://www.econbiz.de/10009686193
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Risk appetite and exchange rates
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 ….S. dollar funding liquidity forecasts exchange rates because of its association with time-varying risk premia. Our empirical …
Persistent link: https://www.econbiz.de/10011399316
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Management of the external value of the renminbi
Oksanen, Heikki - 2015 - This version: 16 April 2015
stronger against the USD. Ten percentage points thus arise from changes in the cross rates of the other currencies. This effect …
Persistent link: https://www.econbiz.de/10010515474
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The pricing of FX forward contracts : micro evidence from banks' dollar hedging
Abbassi, Puriya; Bräuning, Falk - 2018 - This version: March 2018
We use transaction-level data on foreign exchange (FX) forward contracts for the period 2014 through 2016 in 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...
Persistent link: https://www.econbiz.de/10011911789