Search Results - subject:"Exchange Rate Uncertainty"

Optimization-based tail risk hedging of the S&P 500 index

He, Yuehuan; Kwon, Roy - In: The engineering economist : a journal devoted to the … 68 (2023) 3, pp. 153-168

Persistent link: https://www.econbiz.de/10014390620

Georgiadis, Georgios; Müller, Gernot J.; Schumann, Ben - 2023

The dollar is a safe-haven currency and appreciates when global risk goes up. We investigate the dollar’s role for the transmission of global risk to the world economy within a Bayesian proxy structural vectorautoregressive model. We identify global risk shocks using high-frequency asset-price...

Persistent link: https://www.econbiz.de/10014438127

Exploring the relationship between exchange rate misalignment uncertainty and economic growth in South Africa

Buthelezi, Eugene Msizi - In: Cogent economics & finance 11 (2023) 2, pp. 1-30

between exchange rate uncertainty and short-term economic growth, while the long-term effects yield mixed results. Moreover … South Africa. While previous literature has provided valuable insights into the relationship between exchange rate … uncertainty and economic growth, there is a dearth of studies focusing on the particular issue of exchange rate misalignment …

Persistent link: https://www.econbiz.de/10014501136

The information content of currency option-implied volatilities : implications for ex-ante forecasts of global equity correlations

Figueiredo, Antonio; Parhizgari, Ali M.; Dupoyet, Brice - In: The European journal of finance 29 (2023) 18, pp. 2128-2153

Persistent link: https://www.econbiz.de/10014418133

Exchange rate shocks and equity prices : the role of currency denomination

Baeriswyl, Romain; Oktay, Alex; Ramelet, Marc-Antoine - 2023

Persistent link: https://www.econbiz.de/10014442459

Exchange rate uncertainty and the connectedness of inflation

Çitçi, Sadettin Haluk; Kaya, Hüseyin - In: Borsa Istanbul Review 23 (2023) 3, pp. 723-735

In this study, we examine the connectedness of exchange rate uncertainty and inflation. In an economy with a flexible … by increasing consumer prices. This pricing behavior provides a channel between exchange rate uncertainty and overall … price level. We empirically analyze the impact of exchange rate uncertainty on inflation by using panel data from 149 …

Persistent link: https://www.econbiz.de/10014308839

Granular corporate hedging under dominant currency

Alfaro, Laura; Calani, Mauricio; Varela, Liliana - 2023

Persistent link: https://www.econbiz.de/10014309407

Pricing currency risks

Chernov, Mikhail; Dahlquist, Magnus; Lochstoer, Lars A. - In: The journal of finance : the journal of the American … 78 (2023) 2, pp. 693-730

Persistent link: https://www.econbiz.de/10014311375

From dominant to producer currency princing: dynamics of chilean exports

De Gregorio, Jose; García, Pablo; Luttini, Emiliano; … - 2023

Persistent link: https://www.econbiz.de/10014259169

Upside and downside correlated jump risk premia of currency options and expected returns

He, Jie-Cao; Chang, Hsing-Hua; Chen, Ting-Fu; Lin, Shih-kuei - In: Financial innovation : FIN 9 (2023) 1, pp. 1-58

This research explores upside and downside jumps in the dynamic processes of three rates: domestic interest rates, foreign interest rates, and exchange rates. To fill the gap between the asymmetric jump in the currency market and the current models, a correlated asymmetric jump model is proposed...

Persistent link: https://www.econbiz.de/10014289112