Search Results - subject:"FOREIGN CURRENCY"

Applying the local martingale theory of bubbles to cryptocurrencies

Choi, Soon Hyeok; Jarrow, Robert A. - In: International journal of theoretical and applied … 25 (2022) 3, pp. 1-25

Persistent link: https://www.econbiz.de/10013371053

Why Do Emerging Economies Borrow in Foreign Currency? The Role of Exchange Rate Risk

Lee, Annie Soyean - 2022

Borrowing in foreign currency has historically induced a large currency mismatch on emerging economies' balance sheets … amount in foreign currency. In fact, in this paper, we find empirically that emerging market sovereigns borrow even more in … foreign currency when exchange rate volatility is higher, precisely when it is riskier for them to do so. This paper builds a …

Persistent link: https://www.econbiz.de/10013312397

Foreign Exchange Options on Heston-CIR Model Under Levy Process Framework

ASCIONE, GIACOMO; Mehrdoust, Farshid; Orlando, Giuseppe; … - 2022

In this paper, we consider the Heston-CIR model with Levy process for pricing in the foreign exchange (FX) market by providing a new formula that better fits the distribution of prices. To do that, first, we study the existence and uniqueness of the solution to this model. Second, we examine the...

Persistent link: https://www.econbiz.de/10013403184

Why does currency denomination in external liabilities of small island developing states matter? : evidence from Fiji

Jain, Devendra Kumar; Rup Singh; Kumar, Henali; Kumar, … - In: Asia & the Pacific policy studies 9 (2022) 3, pp. 447-464

Persistent link: https://www.econbiz.de/10013472004

Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities

Muck, Matthias - In: Review of derivatives research 25 (2022) 3, pp. 293-314

Persistent link: https://www.econbiz.de/10013457626

The economics of green debt

Bongaerts, Dion; Schoenmaker, Dirk - 2022

Persistent link: https://www.econbiz.de/10013253498

The dominant currency financing channel of external adjustment

Casas, Camila; Meleshchuk, Sergii; Timmer, Yannick - 2022

Persistent link: https://www.econbiz.de/10013268001

FX option volume

Czech, Robert; Della Corte, Pasquale; Huang, Shiyang; … - 2022

Persistent link: https://www.econbiz.de/10013185961

The cost of foreign-currency lending

Delēs, Manthos D.; Politsidis, Panagiotis N.; Sarno, Lucio - 2022

Persistent link: https://www.econbiz.de/10013188204

On Wars, Sanctions and Sovereign Default

Bianchi, Javier; Sosa Padilla, César - National Bureau of Economic Research - 2022

This paper explores the role of restrictions on the use of international reserves as economic sanctions. We develop a simple model of the strategic game between a sanctioning (creditor) country and a sanctioned (debtor) country. We show how the sanctioning country should impose restrictions...

Persistent link: https://www.econbiz.de/10013191083