Narrow search
Showing 1 - 10 of 95,509
Cover Image
The evolution of trading activity in Asian foreign exchange markets
Tsuyuguchi, Yosuke; Wooldridge, Philip - Bank of Japan - 2008
The development of Asian foreign exchange markets has progressed appreciably in recent years. Data from the BIS Triennial Central Bank Survey indicate that the turnover of Asian currencies rose sharply between 2004 and 2007, financial institutions became more important customers, and the...
Persistent link: https://www.econbiz.de/10010907482
Cover Image
Getting beyond carry trade : what makes a safe haven currency?
Habib, Maurizio Michael; Stracca, Livio - 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/10008901495
Cover Image
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
Cover Image
Currency Value
Menkhoff, Lukas - 2015
We assess the properties of currency value strategies based on real exchange rates in a cross-sectional portfolio … setting. We find that real exchange rates predict currency excess returns, but in a way that is inconsistent with the notion … of currency value because a high valuation level forecasts a relative appreciation of the foreign currency going forward …
Persistent link: https://www.econbiz.de/10013032642
Cover Image
Currency Value
Menkhoff, Lukas - 2015
We assess the properties of currency value strategies based on real exchange rates in a cross-sectional portfolio … setting. We find that real exchange rates predict currency excess returns, but in a way that is inconsistent with the notion … of currency value because a high valuation level forecasts a relative appreciation of the foreign currency going forward …
Persistent link: https://www.econbiz.de/10013035463
Cover Image
The Swiss franc safety premium
Leutert, Jessica - In: Swiss journal of economics and statistics 154 (2018) 1, pp. 1-21
This paper applies a recent method proposed by Maggiori (The U.S. Dollar Safety Premium, 2013) to estimate the Swiss franc safety premium. The results show that the three-step instrumental variable approach as used by Maggiori does not work for the Swiss franc exchange rates. The price of risk...
Persistent link: https://www.econbiz.de/10011962943
Cover Image
Quantities and Covered-Interest Parity
Moskowitz, Tobias J.; Ross, Chase P.; Ross, Sharon Y.; … - National Bureau of Economic Research - 2024
Studies of intermediated arbitrage argue that bank balance sheets are an important consideration, yet little evidence exists on banks' positioning in this context. Using confidential supervisory data (covering $25 trillion in daily notional exposures) we examine banks' positions in connection...
Persistent link: https://www.econbiz.de/10014635670
Cover Image
Dollar dominance in FX trading
Somogyi, Fabricius - 2022 - This version: 1 February 2022
-dollar currency pairs can be traded indirectly by using the US dollar as an intermediate vehicle currency. I present a model of FX … show that dollar dominance increases by 7% after quasi-exogenous spikes in the liquidity of dollar currency pairs occurring …
Persistent link: https://www.econbiz.de/10012815985
Cover Image
Forward Currency Markets in Asia : Lessons from the Australian Experience
Debelle, Guy - 2013
transition to a fully convertible currency …
Persistent link: https://www.econbiz.de/10013095288
Cover Image
Trading Volume and Exchange Rate Volatility : Evidence for the Sequential Arrival of Information Hypothesis
Aggarwal, Raj - 2011
hypotheses on the possible relationship between volatility and trading volume using data for three major currency futures … to medium term currency relationships may be dominated by trading dynamics and not by fundamentals …
Persistent link: https://www.econbiz.de/10013130327