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Benefits of Wavelet-Based Carry Trade Diversification

Orlov, Vitaly - 2015

This study investigates carry trade diversification opportunities and linkages of major carry trade currencies on five different investment horizons. Using daily data on eight currencies and LIBOR rates, we examine the temporal structure of correlations and assess portfolio diversification...

Persistent link: https://www.econbiz.de/10013034047

Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies

Chan-Lau, Jorge; Méndez Morales, Armando - 2021

This paper analyzes the informational efficiency of OTC currency options on the Czech koruna and the Polish zloty correcting for the volatility risk premium and errors-in-variable problems, using state-of-the-art techniques (Chernov 2001). It finds that these markets are more efficient than...

Persistent link: https://www.econbiz.de/10013212314

Foreign Exchange Market Contagion in the Asian Crisis : A Regression-Based Approach

van Horen, Neeltje - 2011

This paper investigates whether, during the Asian crisis, contagion occurred from Thailand to the other crisis countries through the foreign exchange market, and, if so, determines the contribution of this contagion to the crisis. More specifically, we examine whether the effect of the exchange...

Persistent link: https://www.econbiz.de/10012757050

Illusory Profitability of Technical Analysis in Emerging Foreign Exchange Markets

Kuang, Pei - 2010

We conduct an extensive examination of profitability of technical analysis in ten emerging foreign exchange markets. Studying 25988 trading strategies, we find that best rules can sometimes generate an annually mean excess return of more than 30%. Based on standard tests, we find hundreds to...

Persistent link: https://www.econbiz.de/10013145070

Dollar Carry Timing

de Oliveira Souza, Thiago - 2021

Dollar carry trade risk premiums - unlike dollar-neutral or foreign exchange carry risk premiums - are positively correlated with firm-level dispersions in investment, profitability, and book-to-market in addition to the Treasury-bill rate, long term bond yield, term spread, and default spread....

Persistent link: https://www.econbiz.de/10013242806

Currency Carry Trades and Global Funding Risk

Nissinen, Juuso; Suominen, Matti; Ferreira Filipe, Sara - 2021

production. We develop a theory of currency markets under funding constraints that has several testable implications. For … instance, as funding constraints start to bind, our theory predicts that both the investment and funding currencies drop …. In line with theory, funding risk forecasts currency crashes in the carry trade long and short countries …

Persistent link: https://www.econbiz.de/10013244299

Offshore Currency Markets : Non-Deliverable Forwards (NDFs) in Asia

Schmittmann, Jochen; Teng, Chua Han - 2021

Non-deliverable forward (NDF) markets in many Asian emerging market currencies are large, rapidly growing, and often exceed onshore markets in transaction volume. NDFs tend to price significant depreciation during market stress episodes including COVID-19. Spillovers from NDFs to onshore markets...

Persistent link: https://www.econbiz.de/10013315112

Carry Trades and Monetary Conditions

Falconio, Andrea - 2021

This paper investigates the relation between monetary conditions and the excess returns arising from an investment strategy that consists of borrowing low-interest rate currencies and investing in currencies with high interest rates, so-called "carry trade". The results indicate that carry trade...

Persistent link: https://www.econbiz.de/10013315488

Price-setting in the foreign exchange swap market : evidence from order flow

Syrstad, Olav; Viswanath-Natraj, Ganesh - 2020

This paper investigates price discovery in foreign exchange (FX) swaps. Using data on inter-dealer transactions, we find that a 1 standard deviation increase in order flow (i.e. net pressure to obtain USD through FX swaps) increases the cost of dollar funding by up to 4 basis points after the...

Persistent link: https://www.econbiz.de/10012417506

Intraday effect of news on emerging European forex markets : an event study analysis

Kočenda, Evžen; Moravcová, Michala - 2018

We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011-2015. Our...

Persistent link: https://www.econbiz.de/10011902959