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Volatility Transmission between Stock and Exchange-Rate Markets : A Connectedness Analysis

Fernández Rodríguez, Fernando - 2016

This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to January 2015. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire...

Persistent link: https://www.econbiz.de/10012981339

Impact of trading hours extensions on foreign exchange volatility : intraday evidence from the Moscow exchange

Frömmel, Michael; Kadioglu, Eyup - In: Financial innovation : FIN 9 (2023) 1, pp. 1-23

Using transaction-level tick-by-tick data of same- and next-day settlement of the Russian Ruble versus the US Dollar exchange rate (RUB/USD) traded on the Moscow Exchange Market during the period 2005-2013, we analyze the impact of trading hours extensions on volatility. During the sample...

Persistent link: https://www.econbiz.de/10014364050

Does Government Insolvency Imply Speculative Attacks?

Miceli, Maria-Augusta - 2016

The aim is to show how and when government insolvency implies a fixed exchange rate regime crisis. To model these issues I try to unify a stylized macroeconomic model with a standard micro agent behavior toward asset pricing. The equilibrium condition between demand and supply of public debt,...

Persistent link: https://www.econbiz.de/10013007557

Determinants of carry trades in Central and Eastern Europe

Hoffmann, Andreas - 2011

In this paper, I analyze determinants of carry trade returns in Central and Eastern Europe (CEE). I show that carry trades to CEE were lucrative due to interest rate spreads between the funding and investment currency from 2004 to 2006. They became unprofitable when liquidity risk and exchange...

Persistent link: https://www.econbiz.de/10009492096

Stabilizing rational speculation and price level targeting

Reither, Franco; Bennöhr, Lars - 2010

We analyze the contribution of speculation to exchange rate volatility using different assumptions regarding … speculation strategies and monetary policy rules. We take the DORNBUSCH (1976) model as the starting point and adopt a slight … modification of the money demand specification. With a money supply rule, rational speculation dampens the overshooting of the …

Persistent link: https://www.econbiz.de/10008661950

A fundamental connection : exchange rates and macroeconomic expectations

Stavrakeva, Vania; Tang, Jenny - 2020 - This version: December 2020

This paper presents new stylized facts about exchange rates and their relationship with macroeconomic fundamentals. We show that macroeconomic surprises explain a large majority of the variation in nominal exchange rate changes at a quarterly frequency. Using a novel present value decomposition...

Persistent link: https://www.econbiz.de/10012429208

Leveraged carry trade portfolios

Darvas, Zsolt M. (contributor) - 2008

Studying all possible pairs of eleven major currencies and eleven portfolios in 1976-2008 we show that, when there is no leverage, carry trade is significantly profitable for most currency pairs and portfolios. Positive returns do not diminish in time providing a strong case against the...

Persistent link: https://www.econbiz.de/10003774170

'Large' vs. 'small' players : a closer look at the dynamics of speculative attacks

Bjønnes, Geir H.; Holden, Steinar; Rime, Dagfinn; … - 2009

early in order to induce speculation by small players, or wait so as to benefit from a high interest rate prior to the …

Persistent link: https://www.econbiz.de/10003806083

Carry trades, order flow and the forward bias puzzle

Breedon, Francis J.; Rime, Dagfinn; Vitale, Paolo - 2015

We investigate the relation between foreign exchange (FX) order flow and the forward bias. We outline a decomposition of the forward bias according to which a negative correlation between interest rate differentials and order flow creates a time-varying risk premium consistent with that bias....

Persistent link: https://www.econbiz.de/10011396784

Defending against speculative attacks

Daniels, Tijmen R.; Jager, Henk; Klaassen, Franc - 2008

defended. In this paper we incorporate both the mechanics of speculation and a defence policy against speculation in the well …

Persistent link: https://www.econbiz.de/10011377093