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estimation ; economic release ; wavelet ; high frequency …
Persistent link: https://www.econbiz.de/10008654275
exchange rates. We estimate our model to current data and find i) that countries at the periphery of the world trade network …
Persistent link: https://www.econbiz.de/10013249476
We investigate possible presence of time-varying risk premia in forward pound, yen,and Euro monthly exchange rates versus the US dollar 3 over the last two decades. We study this issue using regression techniques and separately using a signal plus noise model. Our models account for time-varying...
Persistent link: https://www.econbiz.de/10013122689
We investigate time varying risk premia in forward dollar/pound monthly exchange rates over the last two decades. We study this issue using a signal plus noise model and separately using regression techniques. Our models account for time varying volatility and non-normalities in the observed...
Persistent link: https://www.econbiz.de/10014070007
This paper investigates price discovery in foreign exchange (FX) swaps. Using data on inter-dealer transactions, we find that a 1 standard deviation increase in order flow (i.e. net pressure to obtain USD through FX swaps) increases the cost of dollar funding by up to 4 basis points after the...
Persistent link: https://www.econbiz.de/10012417506
This paper analyses deviations in yen-dollar cross-currency swap markets between 2007 and 2017. Using weekly-frequency data on money market-related and capital marketrelated financial variables, we analyse how the cross-currency basis is influenced by differences in returns and different types...
Persistent link: https://www.econbiz.de/10011893926
This paper investigates when and how the US dollar shortage problem evolved into the full crisis during the financial turmoil that started in the summer of 2007, using cross-currency swap prices between three European currencies (EUR, GBP, and CHF) and USD. We employ the dynamic global (latent)...
Persistent link: https://www.econbiz.de/10013157001
Does the primacy of the U.S. dollar affect the pricing of risks in the currency options market? Our findings rely on a daily option panel of 15 currencies. This analysis reveals that (i) put risk premiums are negative, implying across-the-board interest in hedging foreign currency depreciations;...
Persistent link: https://www.econbiz.de/10013290134
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coeffcient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...
Persistent link: https://www.econbiz.de/10009666907
We develop exact distribution-free test procedures for joint inference about the forward rate unbiasedness hypothesis (FRUH) across multiple currencies. The procedures can be applied with either levels or differences specifications. This unified approach proceeds with sign and signed rank tests...
Persistent link: https://www.econbiz.de/10013403075