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Deviations from Covered Interest Parity : The Role Played by Fundamentals, Nancial and Political Turmoils and Market Frictions

Costa, Marisa - 2019

Recent works for mature markets on covered interest parity suggest that deviations are mean reverting but persistent particularly after 2008 crisis. (Du et al. (2018)) Our study aims to contribute to the literature by modelling the deviations from covered interest rate parity (CIP) of an...

Persistent link: https://www.econbiz.de/10012871838

Financial Crises, Exchange Rate Linkages and Uncovered Interest-Rate Parity : Evidence from G7 Markets

Kenourgios, Dimitris - 2017

This paper examines the dynamic linkages among major exchange rates during the Global Financial Crisis and Eurozone Sovereign Debt Crisis. We extend the previous literature on volatility spillover linkages among the currencies by taking into account the uncovered interest-rate parity hypothesis...

Persistent link: https://www.econbiz.de/10012948027

Liquidity in the foreign exchange market : measurement, commonality, and risk premiums

Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - 2009

Using a novel and comprehensive dataset, we provide the first systematic study of liquidity in the foreign exchange (FX) market. Contrary to common perceptions, we find significant variation in liquidity across exchange rates, substantial costs due to FX illiquidity, and strong commonality in...

Persistent link: https://www.econbiz.de/10003971293

Internet Appendix for 'Liquidity in the Foreign Exchange Market : Measurement, Commonality, and Risk Premiums'

Mancini, Loriano - 2013

This supplemental appendix extends the results in Mancini, Ranaldo, and Wrampelmeyer (2011), presenting additional analyses and robustness checks. It also describes the cleaning procedure of the EBS data, compares EBS to other datasets, and discusses the robust estimation of the price impact model

Persistent link: https://www.econbiz.de/10013091934

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

Crash Risk in Currency Markets

Farhi, Emmanuel; Fraiberger, Samuel P.; Gabaix, Xavier; … - C.E.P.R. Discussion Papers - 2009

How much of carry trade excess returns can be explained by the presence of disaster risk? To answer this question, we propose a simple structural model that includes both Gaussian and disaster risk premia and can be estimated even in samples that do not contain disasters. The model points to a...

Persistent link: https://www.econbiz.de/10005016245

Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity

Mancini Griffoli, Tommaso; Ranaldo, Angelo - School of Finance, Universität St. Gallen - 2012

Arbitrage ensures that covered interest parity holds. The condition is central to price foreign exchange forwards and … interbank lending rates, and reflects the efficient functioning of markets. Normally, deviations from arbitrage, if any, last … seconds and reach a few basis points. But after the Lehman bankruptcy, arbitrage broke down. By replicating exactly two major …

Persistent link: https://www.econbiz.de/10010713840

Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity

Ranaldo, Angelo; Griffoli, Tommaso Mancini - Schweizerische Nationalbank (SNB) - 2010

Arbitrage normally ensures that covered interest parity (CIP) holds. Until recently, excess profits, if any, were … arbitrage strategy as a speculator would actually implement it, considering both unsecured and secured funding. Either way, it …

Persistent link: https://www.econbiz.de/10008925008

A detrimental feedback loop : deleveraging and adverse selection

Bertsch, Christoph - 2013

Market distress can be the catalyst of a deleveraging wave, as in the 2007/08 financial crisis. This paper demonstrates how market distress and deleveraging can fuel each other in the presence of adverse selection problems in asset markets. At the core of the detrimental feedback loop is agents'...

Persistent link: https://www.econbiz.de/10010202960

M&As, investment and financing constraints

Stiebale, Joel; Wößner, Nicole - 2017

We use a panel data set of European firms to analyse the effects of domestic and international M&As on target firms' investment, growth and financial constraints. Combining propensity score matching with a difference-in-differences estimator, our results indicate that upon acquisition, target...

Persistent link: https://www.econbiz.de/10011671647