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Chahrour, Ryan; Cormun, Vito; De Leo, Pierre; … - National Bureau of Economic Research - 2024

We find that variation in expected U.S. productivity explains over half of U.S. dollar/G7 exchange rate fluctuations. Both correctly-anticipated changes in productivity and expectational noise, which influences the expectation of productivity but not its eventual realization, have large effects....

Persistent link: https://www.econbiz.de/10014576625

Market Expectations and Currency Crises: Theory and Empirics

Guimaraes, Bernardo - Society for Economic Dynamics - SED - 2005

Persistent link: https://www.econbiz.de/10005027229

Crises and Prices : Information Aggregation, Multiplicity and Volatility

Angeletos, George-Marios; Werning, Iván - 2005

Many argue that crises - such as currency attacks, bank runs and riots - can be described as times of non-fundamental volatility. We argue that crises are also times when endogenous sources of information are closely monitored and thus an important part of the phenomena. We study the role of...

Persistent link: https://www.econbiz.de/10014067957

Risk and Wealth in a Model of Self-Fulfilling Currency Attacks

Guimaraes, Bernardo; Morris, Stephen - 2004

Market participants' risk attitudes, wealth and portfolio composition influence their positions in a pegged foreign currency and, therefore, may have important effects on the sustainability of currency pegs. We analyze such effects in a global game model of currency crises with continuous action...

Persistent link: https://www.econbiz.de/10014068565

Risk and Wealth in a Model of Self-Fulfilling Currency Attacks

Guimaraes, Bernardo; Morris, Stephen - 2003

We analyze the effect of risk aversion, wealth and portfolios on the behavior of investors in a global game model of currency crises with continuous action choices. The model generates a rich set of striking theoretical predictions. For example, risk aversion makes currency crises significantly...

Persistent link: https://www.econbiz.de/10014075361

Exchange Rate Variability and the Riskiness of U.S. Multinational Firms : Evidence from the Breakdown of the Bretton Woods System

Bartov, Eli - 2013

We examine the relation between exchange rate variability and stock return volatility for U.S. multinational firms and decompose this relation into components of systematic and diversifiable risk. Focusing on two five-year periods around the 1973 switch from fixed to floating exchange rates, we...

Persistent link: https://www.econbiz.de/10013081564

Choices in the 11-20 Game : The Role of Risk Aversion

Li, King King - 2018

Arad and Rubinstein (2012, AER) proposed the 11-20 money request game as an alternative to the P beauty contest game for measuring the depth of thinking. In this paper, we find that choices in the 11-20 game are confounded with risk aversion; hence, the depth of thinking measured is confounded...

Persistent link: https://www.econbiz.de/10012935056

Risk Aversion and Coordination in a Simple Stag Hunt Game : Agent Based Modelling

Kean Siang, Ch'ng - 2010

I study the emergence of coordination using a simple stag hunt game at both the individual and population levels. Consistent with the conjecture that coordination is difficult to attain in the n-player game, agents play risk dominant strategy when the number of matching partners increases....

Persistent link: https://www.econbiz.de/10013142376

Uncertainty and Exchange Rate Volatility : The Case of Mexico

Bush, G. - 2019

This paper investigates the effect of domestic and global uncertainty on the volatility of the Mexican peso US dollar … estimated exchange rate volatility on domestic and global uncertainty proxies, built with data from the survey of professional … Davis global economic policy uncertainty index (EPU). A trade uncertainty index based on Google trends is incorporated in …

Persistent link: https://www.econbiz.de/10012897453

Exchange Rates and Liquidity Risk

Evans, Martin D.D. - 2020

I use Forex trading data to study how risks associated with the lack of liquidity contribute to the dynamics of 17 spot exchange rates through their time-varying contributions to risk premia. I find that liquidity risk matters. All the foreign exchange risk premia compensate investors for...

Persistent link: https://www.econbiz.de/10012824202