Similar Search Results

Foreign safe asset demand for U.S. treasurys and the Dollar

Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno - 2018

use the Treasury basis as a measure of the foreign convenience yield. Consistent with the theory, an increase in the …

Persistent link: https://www.econbiz.de/10011976268

Foreign safe asset demand and the Dollar exchange rate

Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno - 2018

We develop a theory that links the U.S. dollar's valuation in FX markets to the convenience yield that foreign … yield gap between U.S. government and currency-hedged foreign government bonds. Consistent with the theory, a widening of …

Persistent link: https://www.econbiz.de/10011980076

Covered interest parity and frictions in currency and money markets : analysis of British pound and dollar for the period 1999-2006

Warburton, Christopher E. S. - In: Applied econometrics and international development 18 (2018) 1, pp. 53-70

Persistent link: https://www.econbiz.de/10012000529

Excess comovements between the euro/US dollar and pound sterling/US dollar exchange rates

Kühl, Michael - In: Applied economics 50 (2018) 34/35, pp. 3664-3685

Persistent link: https://www.econbiz.de/10012059398

Dollar safety and the global financial cycle

Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno - 2019

We build a model of the global financial cycle with one key ingredient: the demand for safe dollar assets. The model matches patterns of dollar borrowing and currency mismatch, the U.S. external balance sheet, low U.S. interest rates and exorbitant privilege, spillovers of the U.S. monetary...

Persistent link: https://www.econbiz.de/10012065173

Forward and spot exchange rates in a multi-currency world

Hassan, Tarek A.; Mano, Rui C. - In: The quarterly journal of economics 134 (2019) 1, pp. 397-450

Persistent link: https://www.econbiz.de/10012120161

Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar

Ayala, Astrid; Blazsek, Szabolcs - In: SERIEs : Journal of the Spanish Economic Association 10 (2019) 1, pp. 65-92

In this paper we introduce new Dynamic Conditional Score (DCS) models for the Skew-Gen-t (Skewed Generalized t) and NIG (Normal-Inverse Gaussian) distributions as alternatives to the recent DCS models for the Student’s-t and EGB2 (Exponential Generalized Beta of the second kind) distributions,...

Persistent link: https://www.econbiz.de/10012033379

Financial dollarization : Trojan Horse for Ukraine?

Versal, Nataliia; Stavytskyy, Andriy - In: Mokslo darbai / Ekonomika 94 (2015) 3, pp. 21-45

Persistent link: https://www.econbiz.de/10011625201

Uncovered interest parity : the long and the short of it

Lothian, James R. - In: Journal of empirical finance 36 (2016), pp. 1-7

Persistent link: https://www.econbiz.de/10011662736

Information-theoretic approach to quantifying currency risk

Fiedor, Pawel; Holda, Artur - In: Journal of risk finance : the convergence of financial … 17 (2016) 1, pp. 93-109

Persistent link: https://www.econbiz.de/10011537513