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Foreign exchange market efficiency: Empirical results for the USD/EUR market
Czech, Katarzyna Anna; Waszkowski, Adam - In: e-Finanse: Financial Internet Quarterly 8 (2012) 3, pp. 1-9
The aim of the paper is to verify whether the USD/EUR exchange rate market is efficient. The fundamental parity condition for testing foreign exchange market efficiency is represented by the uncovered interest-rate parity (UIP). Therefore, the UIP hypothesis verification accounts for the crucial...
Persistent link: https://www.econbiz.de/10011551371
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Estimating and analysing currency options implied risk-neutral density functions for the largest new EU member states
Castrén, Olli - 2005
This paper uses data on currency options prices for the exchange rates of the three largest new EU member states Poland … systematic changes. Regarding the HUF/EUR currency pair, monetary policy news have a significant impact on all moments, while …
Persistent link: https://www.econbiz.de/10011604486
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Foreign exchange option and returns based correlation forecasts: evaluation and two applications
Castrén, Olli; Mazzotta, Stefano - 2005
-the-counter (OTC) currency option prices to a set of return-based correlation measures and assess the relative quality of the … effective exchange rate index, and to analyse the impact on cross-currency co-movement of interventions on the JPY/USD exchange …
Persistent link: https://www.econbiz.de/10011604493
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A factor risk model with reference returns for the US dollar and Japanese yen bond markets
Bernadell, Carlos; Coche, Joachim; Nyholm, Ken - 2006
This paper develops a new methodology for simulating fixed-income return distributions. It is shown that a traditional factor risk model, when augmented with reference returns, is capable of generating visually consistent return distributions for a broad range of fixed income instruments such as...
Persistent link: https://www.econbiz.de/10011604687
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A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
Hillebrand, Eric; Schnabl, Gunther - 2006
While up to the late 1990s Japanese foreign exchange intervention was fully sterilized, Japanese monetary authorities left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous research on foreign exchange intervention, unsterilized...
Persistent link: https://www.econbiz.de/10011604696
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Optimal currency shares in international reserves: the impact of the euro and the prospects for the dollar
Papaioannou, Elias; Portes, Richard; Siourounis, Gregorios - 2006
exchange rates and the status of the dollar as the dominant international currency. We develop a dynamic mean … currencies. Making various assumptions on expected currency returns and the variance-covariance structure, we assess how the euro … has changed this allocation. We then perform simulations for the optimal currency allocations of four large emerging …
Persistent link: https://www.econbiz.de/10011604740
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What drives investors’ behaviour in different FX market segments? A VAR-based return decomposition analysis
Castrén, Olli; Osbat, Chiara; Sydow, Matthias - 2006
equity investors and speculative money market investors while investors in currency option markets react strongly to expected …
Persistent link: https://www.econbiz.de/10011604752
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The role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US
Kaufmann, Sylvia; Valderrama, Maria Teresa - 2007
We analyze the interaction between credit and asset prices in the transmission of shocks to the real economy. We estimate a Markov switching VAR for the euro area and the US, including additionally GDP, CPI and a short-term interest rate. We find evidence for two distinct states in both regions....
Persistent link: https://www.econbiz.de/10011604862
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Assessing the compensation for volatility risk implicit in interest rate derivatives
Fornari, Fabio - 2008
Volatilities implied from interest rate swaptions are used to assess the size and the sign of the compensation for volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of the volatility risk premium rests on a simple model...
Persistent link: https://www.econbiz.de/10011604905
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Optimal reserve composition in the presence of sudden stops: the euro and the dollar as safe haven currencies
Beck, Roland; Rahbari, Ebrahim - 2008
currency debt has very little importance for optimal reserve portfolios. …
Persistent link: https://www.econbiz.de/10011604962