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Breaking par : short-term determinants of yen-dollar swap deviations

Angrick, Stefan; Nemoto, Naoko - 2018

This paper analyses deviations in yen-dollar cross-currency swap markets between 2007 and 2017. Using weekly … balance sheet policies, relative corporate bond market performance, and general market volatility. Overall, the impulse …

Persistent link: https://www.econbiz.de/10011893926

Noise traders' trigger rates, FX options, and smiles

Pierdzioch, Christian - 2000

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

Persistent link: https://www.econbiz.de/10011476532

The hedging channel of exchange rate determination

Liao, Gordon; Zhang, Tony - 2020 - This draft: May 2020

Persistent link: https://www.econbiz.de/10012229170

The forward premium puzzle only emerges gradually

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2007

The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...

Persistent link: https://www.econbiz.de/10011372514

Peso-Dollar forward market analysis : explaining arbitrage opportunities during the financial crisis

Hernández, Juan R. - 2014

Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...

Persistent link: https://www.econbiz.de/10010370903

An Adjusted Forward Curve for Spot Rate Forecasting

Sarmiento, Camilo - 2020

In this paper, we provide adjustments for liquidity and credit risk to the forward Libor rate in order to improve accuracy of the forward rate in forecasting the 3-month Libor rate. In particular, we introduce the adjusted forward curve (AFC) that models the update in the forward curve from one...

Persistent link: https://www.econbiz.de/10012849043

The Relationship between Commodity Price and Currency Exchange Rate : Evidence from the Futures Markets

Chan, Kalok - 2016

We examine relationships among currency and commodity futures markets based on four commodity exporting countries' currency futures returns and a range of index based commodity futures returns. These four commodity linked currencies are the Australian dollar, Canadian dollar, New Zealand dollar,...

Persistent link: https://www.econbiz.de/10012995386

Using Option Prices to Estimate Realignment Probabilities in the European Monetary System

Malz, Allan M. - 2000

The paper presents a method of computing the risk neutral probability distribution of future exchange rates from the prices of currency options. The method is applied to estimate the risk neutral ex ante probability of a realignment of the pound sterling against the mark in 1992. The computation...

Persistent link: https://www.econbiz.de/10014075285

On the Forward Smile

Roos, Thomas - 2020

options for a family of stochastic volatility models with arbitrary local volatility component and time dependent (piecewise …

Persistent link: https://www.econbiz.de/10012848408

Modeling Volatility in Foreign Currency Option Pricing

Hoque, Ariful - 2016

volatility of the options prices. The approach is flexible in that different objective functions for predicting the underlying … volatility can be modified and adapted in the proposed framework. The framework is implemented empirically for four major … (MEM) of implied volatility and the GARCH(1,1). The results indicate that the proposed framework is capable of producing …

Persistent link: https://www.econbiz.de/10013004469