This study examines the effect of exchange rate regimes on Foreign Direct Investment (FDI) flow for WAMZ. The Arellano Panel Correction for Serial Correlation and Heteroskedaticity option of the Within Estimator for fixed effect panel data model as well as the Dynamic Panel Data Instrumental...

We study empirically the relation between currency excess returns and macro uncertainty, measured as forecast dispersion, on a wide set of economic indicators. We find that investment currencies deliver low returns whereas funding currencies offer a hedge when current account uncertainty is...

Dollar-denominated emerging market bonds are marketed to investors as a vehicle for gaining exposure to emerging fixed income markets while avoiding exposure to currency risk. However, the development literature suggests that dollarization of debt leads to increased probability of financial...

In interactive trilateral foreign exchange (FX) exposure, a company's exposures to two foreign currencies depend on the two currencies' FX rate with each other. This study uses scenario analysis to get a better understanding of interactive FX exposure and potential financial hedging solutions. A...

Since the 1970s, exchange rate volatility has increased markedly and, with it, the levels of foreign exchange risk. In fact, fluctuations in financial variables such as exchange rates and interest rates have produced capital gains and losses so large as to swamp many companies' operating...

We document that non-US global banks are increasingly heterogeneous in their dollar banking activities and dollar demand. We study the implications for dollar funding markets using data on security-level money market fund holdings. We find that funds charge higher prices to banks with weaker...

We derive and empirically test a theoretical link between exchange rate volatility and global equity correlations. Starting with option-implied currency volatilities, we use variants of existing currency models, global capital flows, international parity, the Taylor rule, and some simplifying...

We use unique firm level data from Mexico to document that non-financial corporations engage in carry trades by borrowing in foreign currency and lending in domestic currency, largely to related partners (trade credit), accumulating currency risk in the process. The interest rate differential...

We quantify the causal link between exchange rate movements and sovereign risk of 16 major emerging market economies (EMEs) by means of structural vector autoregressive models (SVARs) using data from 10/2004 through 12/2016. We apply a novel data based identification approach of the structural...