Search Results - subject:"FOREIGN CURRENCY"

Carr, Peter - 2017

In this note we discuss - in what is intended to be a pedagogical fashion - FX option pricing in target zones with attainable boundaries. The boundaries must be reflecting. The no-arbitrage requirement implies that the differential (foreign minus domestic) short-rate is not deterministic. When...

Persistent link: https://www.econbiz.de/10012970528

Segmented Money Markets and Covered Interest Parity Arbitrage

Rime, Dagfinn - 2017

This paper studies the violation of the most basic no-arbitrage condition in international finance - Covered Interest Parity (CIP). To understand the CIP conundrum, it is key to (i) account for funding frictions in U.S. dollar money markets, and (ii) to study the challenges of swap...

Persistent link: https://www.econbiz.de/10012952174

Implied distributions from GBPUSD risk-reversals and implication for Brexit scenarios

Clark, Iain J.; Amen, Saeed - In: Risks : open access journal 5 (2017) 3, pp. 1-17

Much of the debate around a potential British exit (Brexit) from the European Union has centred on the potential macroeconomic impact. In this paper, we instead focus on understanding market expectations for price action around the Brexit referendum date. Extracting implied distributions from...

Persistent link: https://www.econbiz.de/10011688238

Segmented money markets and covered interest parity arbitrage

Rime, Dagfinn; Schrimpf, Andreas; Syrstad, Olav - 2017

Persistent link: https://www.econbiz.de/10011721909

Prudential regulation, currency mismatches and exchange rates in Latin America and the Caribbean

Tobal, Martín - 2017

This paper gathers and systemizes self-reported information about exchange rate flexibility and FX regulation in Latin America and the Caribbean for a period of twenty years beginning in 1992. The results show that, in countries in which the use of limits, liquidity and reserve requirements on...

Persistent link: https://www.econbiz.de/10011771945

Segmented money markets and covered interest parity arbitrage

Rime, Dagfinn; Schrimpf, Andreas; Syrstad, Olav - 2017 - This version: 25th June 2017

Persistent link: https://www.econbiz.de/10011758354

Currency matters : analyzing international bond portfolios

Burger, John D.; Warnock, Francis E.; Warnock, Veronica C. - 2017

Persistent link: https://www.econbiz.de/10011624242

Corporate currency risk and hedging in Chile : real and financial effects

Álvarez, Roberto; Hansen, Erwin - 2017

built to analyze the determinants of the use of foreign currency debt and their potential consequences for firm investment … of foreign currency debt. Also, depending on the estimation method, exports appear as an important determinant of the use … of foreign currency debt. In terms of the potential effect of holding foreign currency debt on firms' performance after …

Persistent link: https://www.econbiz.de/10011626403

Currency mismatch in the banking sector in Latin America and the Caribbean

Tobal, Martín - 2017

. I observe a reduction in long foreign currency positions, with several banking sectors taking short positions after 2006 …

Persistent link: https://www.econbiz.de/10011640562

In lands of foreign currency credit, bank lending channels run through?

Ongena, Steven; Schindele, Ibolya; Vonnák, Dzsamila - 2017

currencies. Accessing a comprehensive supervisory dataset from Hungary, we find that the supply of bank credit in a foreign … currency is less sensitive to changes in domestic monetary conditions than the equivalent supply in the domestic currency …

Persistent link: https://www.econbiz.de/10011657403