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Carry Trades and Global Foreign Exchange Volatility

Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - C.E.P.R. Discussion Papers - 2011

We investigate the relation between global foreign exchange (FX) volatility risk and the cross-section of excess … FX volatility and thus deliver low returns in times of unexpected high volatility, when low interest rate currencies … provide a hedge by yielding positive returns. Our proxy for global FX volatility risk captures more than 90% of the cross …

Persistent link: https://www.econbiz.de/10008867494

The Use of Flow Analysis in Foreign Exchange: Explanatory Analysis

Gehrig, Thomas; Menkhoff, Lukas - C.E.P.R. Discussion Papers - 2002

This Paper provides questionnaire evidence on the role of flow analysis for professional traders and fund managers. This evidence suggests that besides fundamental information and technical analysis, the analysis of flows provides an independent third type of information for professionals. The...

Persistent link: https://www.econbiz.de/10005666449

Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles

Peel, David; Sarno, Lucio; Taylor, Mark P - C.E.P.R. Discussion Papers - 2001

We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods period, consistent with a theoretical literature on transaction costs in international arbitrage. The half lives of real exchange rate shocks, calculated through Monte Carlo integration, imply...

Persistent link: https://www.econbiz.de/10005666576

Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?

Sarno, Lucio; Taylor, Mark P - C.E.P.R. Discussion Papers - 2001

In this Paper we assess the progress made by the profession in understanding whether and how exchange rate intervention works. To this end, we review the theory and evidence on official intervention, concentrating primarily on work published within the last decade or so. Our reading of the...

Persistent link: https://www.econbiz.de/10005666659

Systemic Risk and International Portfolio Choice

Das, Sanjiv Ranjan; Uppal, Raman - C.E.P.R. Discussion Papers - 2002

Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at the same time across countries leading to systemic risk .In this Paper, we evaluate whether systemic risk reduces substantially the gains from international diversification. First, in order to...

Persistent link: https://www.econbiz.de/10005504252

Wealth Transfers, Contagion and Portfolio Constraints

Pavlova, Anna; Rigobon, Roberto - C.E.P.R. Discussion Papers - 2005

This paper examines the co-movement among stock market prices and exchange rates within a three-country Centre-Periphery dynamic equilibrium model in which agents in the Centre country face portfolio constraints. In our model, international transmission occurs through the terms of trade, through...

Persistent link: https://www.econbiz.de/10005504325

Endogenous Realignments and the Sustainability of a Target Zone

Corbae, P Dean; Neely, Christopher J; Weller, Paul - C.E.P.R. Discussion Papers - 1995

We examine the effects of endogenously determined realignment expectations in a model of a target zone with sluggish price adjustment. We allow these expectations to be based on a policy rule which attaches differing weights to output and price stability. We find that for realistic parameter...

Persistent link: https://www.econbiz.de/10005504430

More Evidence on the Dollar Risk Premium in the Foreign Exchange Market

Bams, Dennis; Walkowiak, Kim; Wolff, Christian C - C.E.P.R. Discussion Papers - 2003

In this article, we develop and estimate an econometric panel data model to capture the common dynamics in dollar risk premia in various forward foreign exchange rates. The common component in the dollar risk premia is highly significant and embodies a common pattern of positive serial...

Persistent link: https://www.econbiz.de/10005497706

A Transaction Level Study of the Effects of Central Bank Intervention of Exchange Rates

Payne, Richard; Vitale, Paolo - C.E.P.R. Discussion Papers - 2001

event study analysis we find that intervention has important short-run effects on exchange ate returns and volatility. In …

Persistent link: https://www.econbiz.de/10005497953

International Liquidity and Exchange Rate Dynamics

Gabaix, Xavier; Maggiori, Matteo - C.E.P.R. Discussion Papers - 2014

their required compensation for holding currency risk, thus impacting both the level and volatility of exchange rates. Our …

Persistent link: https://www.econbiz.de/10011083240