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The influences of major currencies in foreign exchange markets : a regression-based measure and its application

Kim, Soo-hyun; Lee, Kyuseok - In: International review of finance 16 (2016) 2, pp. 277-289

Persistent link: https://www.econbiz.de/10011713710

Balance Sheet Effects on Monetary and Financial Spillovers : The East Asian Crisis Plus 20

Aizenman, Joshua - 2016

We study how the financial conditions in the Center Economies [the U.S., Japan, and the Euro area] impact other …, and currency compositions of debt are significant factors. More specifically, having a higher weight on the dollar (or the … euro) makes the response of a financial variable such as the REER and exchange market pressure in the PHs more sensitive to …

Persistent link: https://www.econbiz.de/10012455943

The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited

Neely, Christopher; Lahaye, Jerome - Federal Reserve Bank of St. Louis - 2014

We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990; Melvin and Peiers Melvin, 2003; Cai, Howorka, and Wongswan, 2008). We show that recently developed estimators have very different implications for the impact of jumps on exchange rate...

Persistent link: https://www.econbiz.de/10010951615

The Impact of Central Bank Intervention on Exchange-Rate Forecast Heterogeneity

Beine, Michel; Bénassy-Quéré, Agnès; Dauchy, Estelle; … - Centre d'études prospectives et d'informations … - 2002

Persistent link: https://www.econbiz.de/10005243463

Macroeconomic Regimes and Foreign Exchange Rate Volatility in India

Tripathy, Trilochan - 2018

) Japanese yen (YEN) and the euro (EUR) for the period 1973-2012. The study makes use of GARCH family models. The results show … Indian rupee (INR) with respect to the US dollar (USD), Canadian dollar (CAD), British pound (GBP), Swiss franc (CHF …

Persistent link: https://www.econbiz.de/10012914689

Balance Sheet Effects on Monetary and Financial Spillovers : The East Asian Crisis Plus 20

Aizenman, Joshua - 2016

Persistent link: https://www.econbiz.de/10012981103

Covered Interest Parity Lost : Understanding the Cross-Currency Basis

Borio, Claudio E. V. - 2016

Covered interest parity verges on a physical law in international finance. And yet it has been systematically violated since the Great Financial Crisis. Especially puzzling have been the violations since 2014, even once banks had strengthened their balance sheets and regained easy access to...

Persistent link: https://www.econbiz.de/10012982630

Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets

Ito, Takatoshi - 2012

Using the "firm" quotes obtained from the tick-by-tick EBS (electronic broking system that is a major trading platform for foreign exchanges) data, it is found that risk-free arbitrage opportunities--free lunch--do occur in the foreign exchange markets, but it typically last only a few seconds....

Persistent link: https://www.econbiz.de/10012460119

How Does Emu Affect the Dollar and the Yen as International Reserve and Investment Currencies?

Frenkel, Michael; Sondergaard, Jens - 1999

quantify the effects that EMU may exert on the roles of the dollar and the yen as the other major international currencies …. Estimates presented indicate that the euro may indeed lead to a significant decline in the market share of the dollar as an … assumption that the euro will achieve a reputation similar to that of the deutschmark before EMU. The projected shifts can be …

Persistent link: https://www.econbiz.de/10014193257

Risk Premia in Forward Foreign Exchange Markets : A Comparison of Signal Extraction and Regression Methods

Bidarkota, Prasad V. - 2004

We investigate time varying risk premia in forward dollar/pound monthly exchange rates over the last two decades. We …

Persistent link: https://www.econbiz.de/10014070007