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Defending against Speculative Attacks : The Policy Maker's Reputation

Huang, Chong - 2016

This paper studies how the interaction between policy maker's reputation for defending against speculative attacks and speculators' learning of the policy maker's type determines the emergence of speculative attacks and the outcome of regime change. If speculators receive conditionally...

Persistent link: https://www.econbiz.de/10013008412

Can Technical Trading Beat the Foreign Exchange Market in times of Crisis?

Yamani, Ehab Abdel-Tawab - 2020

I examine the profitability of three simple foreign exchange technical trading rules (moving average, momentum, and relative strength index) before, during and after the 2007-2008 global financial crisis. The overall findings reveal that these technical indicators could produce statistically...

Persistent link: https://www.econbiz.de/10012851671

Currency matching and carry trade by non-financial corporations

Kátay, Gábor; Harasztosi, Péter - 2017

The paper investigates firms' willingness to match the currency composition of their assets and liabilities and their incentives to deviate from perfect matching. Using detailed information at the loan contract level for the Hungarian non-financial corporate sector, the paper provides strong...

Persistent link: https://www.econbiz.de/10012054577

Safe Asset Carry Trade

Ballensiefen, Benedikt - 2020

We provide the first systematic asset pricing analysis of one of the main safe asset categories, the repurchase agreement (repo). A standard, no-arbitrage model with a market and a carry factor prices these near-money assets. While the market factor determines the short-term interest rate level,...

Persistent link: https://www.econbiz.de/10012848481

European Banks' US Dollar Funding Pressures

Fender, Ingo - 2013

With major central banks having re-established temporary foreign exchange swap facilities to alleviate growing strains in short-term funding markets, European banks' US dollar funding patterns are back in the news. This article documents the persistence of these banks' aggregate US dollar...

Persistent link: https://www.econbiz.de/10013094594

Toward a Global Risk Map

Cecchetti, Stephen G. - 2013

Global risk maps are unified databases that provide risk exposure data to supervisors and the broader financial market community worldwide. We think of them as giant matrices that track the bilateral (firm-level) exposures of banks, non-bank financial institutions and other relevant market...

Persistent link: https://www.econbiz.de/10013094603

Systemic risk and sentiment : chapter contribution to handbook on systemic risk ; [edited by Jean-Pierre Fouque and Joe Langsam]

Barone-Adesi, Giovanni; Mancini, Loriano; Shefrin, Hersh - 2011

Regulators charged with monitoring systemic risk need to focus on sentiment as well as narrowly defined measures of systemic risk. This chapter describes techniques for jointly monitoring the co-evolution of sentiment and systemic risk. To measure systemic risk, we use Marginal Expected...

Persistent link: https://www.econbiz.de/10009375111

The speculation bubble on the real estate market in the USA in view of selected overinvestment theories

Bochenek, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 1, pp. 73-87

This paper offers a specific analysis of speculation bubbles in the economic history of the world, and then tries to … identify the causes and effects of the speculation bubble on the real estate market in the USA, which was the main cause of the … subprime crisis. The first part of the paper aims at defining the phenomenon of economic fluctuations and speculation bubble …

Persistent link: https://www.econbiz.de/10009510785

Rock around the clock: an agent-based model of low- and high-frequency trading

Leal, Sandrine Jacob; Napoletano, Mauro; Roventini, Andrea - 2014

We build an agent-based model to study how the interplay between low- and high- frequency trading affects asset price dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash crashes. In the model, low-frequency agents adopt...

Persistent link: https://www.econbiz.de/10010243948

Market stability vs. market resilience : regulatory policies experiments in an agent based model with low- and high-frequency trading

Jacob Leal, Sandrine; Napoletano, Mauro - 2016

We investigate the effects of different regulatory policies directed towards high-frequency trading (HFT) through an agent-based model of a limit order book able to generate flash crashes as the result of the interactions between low- and high-frequency (HF) traders. We analyze the impact of the...

Persistent link: https://www.econbiz.de/10011457384