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Risk Premia in Forward Foreign Exchange Markets : A Comparison of Signal Extraction and Regression Methods
Wang, Zhiguang - 2011
We investigate possible presence of time-varying risk premia in forward pound, yen,and Euro monthly exchange rates …-varying risk premium component in yen and Euro. The same model provides evidence for the presence of risk premium in pound over a … versus the US dollar 3 over the last two decades. We study this issue using regression techniques and separately using a …
Persistent link: https://www.econbiz.de/10013122689
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Getting Beyond Carry Trade : What Makes a Safe Haven Currency?
Habib, Maurizio Michael - 2011
There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global financial stress and behave as safe havens. The main objective of this paper is to find out what the fundamentals of safe haven currencies are. We analyse a large...
Persistent link: https://www.econbiz.de/10013131638
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Modeling Exchange Rate Dependence Dynamics at Different Time Horizons
Dias, Alexandra - 2011
a dynamic specification for the correlation using the Fisher transformation. Applied to Euro/US dollar and Japanese Yen …/US dollar, our results reveal a significantly time-varying correlation, dependent on the past return realizations. We find that …
Persistent link: https://www.econbiz.de/10013132959
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Safe haven currencies : a dependence-switching copula approach
Michelis, Leo; Ning, Cathy Q.; Ponrajah, Jeremey - 2024
Persistent link: https://www.econbiz.de/10015052606
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Eurozone: Promoting risk-sharing through cross-border ownership of equity capital
Garnier, Olivier - In: Applied economics quarterly 60 (2014) 2, pp. 107-113
Persistent link: https://www.econbiz.de/10010509225
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Financial Deepening and International Monetary Stability
Wang, Shengzu; Marsh, Chris; Goyal, Rishi; Raman, Narayanan - International Monetary Fund (IMF) - 2011
Staff Discussion Notes showcase the latest policy-related analysis and research being developed by individual IMF staff and are published to elicit comment and to further debate. These papers are generally brief and written in nontechnical language, and so are aimed at a broad audience...
Persistent link: https://www.econbiz.de/10010790489
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Promoting the yen's internationalization
Sasaki, Fumiyuki - In: NRI quarterly 4 (1995) 4, pp. 20-39
Persistent link: https://www.econbiz.de/10001193502
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The internationalization of the yen : with an emphasis on East Asia
Iwami, Torū - In: International journal of social economics 23 (1996) 10, pp. 192-208
Persistent link: https://www.econbiz.de/10001334733
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Regímenes cambiarios de facto y de iure : una aplicación al tipo de cambio yen/dólar
Ledesma-Rodríguez, Francisco José; Navarro Ibáñez, … - 2004
Persistent link: https://www.econbiz.de/10002117200