This paper investigates the drivers of foreign exchange implied volatility in Central and Eastern European (CEE) countries. Currencies in non-euro EU countries are particularly sensitive to changes in market sentiment. Risk aversion significantly impacts the implied volatility surface for FX...

We study the determinants of US dollar demand across market participants and traded instruments using survey-based exchange rate and macroeconomic expectations. Leveraging granular foreign exchange trading data, we show that forward-looking expectations accurately predict both currency returns...

This study evaluates the effectiveness of the Chiang Mai Initiative Multilateralization (CMIM) in safeguarding financial stability among members of the Association of Southeast Asian Nations (ASEAN) plus Japan, the People's Republic of China, and the Republic of Korea-particularly in response to...

Our econometric (cointegration) analysis of the Swiss franc US dollar exchange rates over the period 1974 - 2025 provides strong evidence for a negative bias of the forward rate as predictor of the spot rate for the years up to 2007, which disappears with data from 2008 onwards. This implies...

We study the determinants of US dollar demand across market participants and traded instruments using survey-based exchange rate and macroeconomic expectations. Leveraging granular FX trading data and forward looking expectations, we present three results. First, currency investors increase...