The fundamental premise upon which the pricing of major FX derivatives rests is the Covered Interest Parity (CIP), and a violation is seen as a reflection of potential capital market inefficiencies. CIP postulates that FX forward prices simply reflect the interest rate differential between the...

In the context of the recent slump in global oil prices, the paper investigates the effect of oil price shocks on the economic performance of 51 individual OECD and OPEC economies. We propose an error correction model which allows us to differentiate between short- and longrun price effects. For...

After the onset of the subprime crisis and the European debt crisis, credit default swaps (CDS) have seen a strong increase in usage. Particularly sovereign CDS protection has been sought after, paralleling the rise in sovereign debt levels, slumps in GDP growth and political tensions in...

This paper investigates the managing strategies of a bank's liquidity reserve in the broader context of the role of asset-liability management according to the liquidity issues of a banking organisation. Several types of liquidity are presented and how these are interconnected and how they might...

In der Öffentlichkeit wurden Befürchtungen geäußert, dass Basel II den Mittelstand benachteilige, indem die Kreditverfügbarkeit für die Unternehmen eingeschränkt und ihre Zinskosten steigen würden. Für Dr. Werner Müller, Bundeswirtschaftsminister, ist diese Frage »derzeit noch nicht...