Search Results - subject:"FOREIGN CURRENCY"

The impact of monetary conditions on bank lending to households

Gyöngyösi, Győző; Ongena, Steven; Schindele, Ibolya - 2021 - This Draft: September 13, 2021

presence of foreign currency mortgages in Hungary and study this country`s comprehensive credit registry. Changes in monetary … “bank‐lending‐to‐households” channel of monetary policy that is heterogeneous. While the availability of foreign currency … their foreign currency lending are more sensitive to changes in monetary conditions …

Persistent link: https://www.econbiz.de/10012643018

An open innovation intraday implied volatility for pricing Australian dollar options

Le, Thi; Hoque, Ariful; Hassan, Kamrul - In: Journal of open innovation : technology, market, and … 7 (2021) 1/23, pp. 1-14

This study introduces the intraday implied volatility (IV) for pricing the Australian dollar (AUD) options. The IV is estimated using the at-the-money one-month, two-month, and three-month maturity AUD options traded in the opening, midday, and closing period of a trading day. The...

Persistent link: https://www.econbiz.de/10012417927

Dollarization and macroeconomic performance in Cambodia since the first 1993 general election : a historical perspective

Hay, Chanthol - In: International journal of finance & banking studies : JJFBS 10 (2021) 2, pp. 27-46

Persistent link: https://www.econbiz.de/10012588674

Cross-border DCF valuation : discounting cash flows in foreign currency

Schüler, Andreas - In: Journal of business economics : JBE 91 (2021) 5, pp. 617-654

Persistent link: https://www.econbiz.de/10012588804

Foreign currency intermediation : systemic risk and macroprudential regulation

Bitar, Joseph - In: Latin American journal of central banking : LAJCB 2 (2021) 2, pp. 1-12

by foreign currency intermediation. We explain the trade-off between the positive effect of foreign currency … foreign currency intermediation (i.e., dedollarizing). We argue that dedollarization is a more ambitious target that must be … justified by the other inconveniences of foreign currency intermediation, and we stress that sound monetary management should be …

Persistent link: https://www.econbiz.de/10012545879

Pricing the exotic : path-dependent American options with stochastic barriers

Rojas-Bernal, Alejandro; Villamizar, Mauricio - In: Latin American journal of central banking : LAJCB 2 (2021) 1, pp. 1-24

We develop a novel pricing strategy that approximates the value of an American option with exotic features through a portfolio of European options with different maturities. Among our findings, we show that: (i) our model is numerically robust in pricing plain vanilla American options; (ii) the...

Persistent link: https://www.econbiz.de/10012545887

Currency Management by International Fixed Income Mutual Funds

Sialm, Clemens; Zhu, Qifei - National Bureau of Economic Research - 2021

Investments in international fixed income securities are exposed to significant currency risks. We collect novel data on mutual fund currency derivatives and document that around 90% of U.S. international fixed income funds use currency forwards to manage their foreign exchange exposure. Funds'...

Persistent link: https://www.econbiz.de/10012599372

The rise in foreign currency bonds : the role of US monetary policy and capital controls

Bacchetta, Philippe; Cordonier, Rachel; Merrouche, Ouarda - 2021

Persistent link: https://www.econbiz.de/10012601815

External financing risks : how important is the composition of the international investment position?

Cubeddu, Luis; Ahmed Hannan, Swarnali; Rabanal, Pau - 2021

external crisis, while higher levels of foreign-currency-denominated external debt increase the likelihood of sudden stops … strong for emerging economies, where the impact of flow and stock imbalances and foreign currency mismatches are larger and …

Persistent link: https://www.econbiz.de/10012517927

Pricing the exotic: path-dependent american options with stochastic barriers

Rojas-Bernal, Alejandro; Villamizar, Mauricio; Garriga, … - 2021

Persistent link: https://www.econbiz.de/10012804267