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~institution:"C.E.P.R. Discussion Papers"
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C.E.P.R. Discussion Papers
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1
Carry Trades and Global Foreign Exchange Volatility
Menkhoff, Lukas
;
Sarno, Lucio
;
Schmeling, Maik
; …
-
C.E.P.R. Discussion Papers
-
2011
meaningful risk-return relation in the FX market. Further analysis shows that
liquidity
risk also matters for expected FX returns …
Persistent link: https://www.econbiz.de/10008867494
Saved in:
2
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
Saved in:
3
Spread the News: How the Crisis Affected the Impact of News on the European Sovereign Bond Markets
Beetsma, Roel
;
de Jong, Frank
;
Giuliodori, Massimo
; …
-
C.E.P.R. Discussion Papers
-
2012
We investigate how "news" affected domestic interest spreads vis-à-vis Germany and how it propagated to other countries during the recent crisis period, thereby distinguishing between the so-called GIIPS countries and other European countries. We make original use of the Eurointelligence...
Persistent link: https://www.econbiz.de/10011083333
Saved in:
4
Currency Momentum Strategies
Menkhoff, Lukas
;
Sarno, Lucio
;
Schmeling, Maik
; …
-
C.E.P.R. Discussion Papers
-
2012
We provide a broad empirical investigation of momentum strategies in the foreign exchange market. We find a significant cross-sectional spread in excess returns of up to 10% p.a. between past winner and loser currencies. This spread in excess returns is not explained by traditional risk factors,...
Persistent link: https://www.econbiz.de/10011083372
Saved in:
5
Carry
Koijen, Ralph
;
Moskowitz, Tobias J
;
Pedersen, Lasse Heje
; …
-
C.E.P.R. Discussion Papers
-
2013
. Our global carry factor across markets delivers strong average returns and, while it is exposed to recession,
liquidity
…
Persistent link: https://www.econbiz.de/10011083673
Saved in:
6
Forward and Spot Exchange Rates in a Multi-currency World
Hassan, Tarek
;
Mano, Rui C.
-
C.E.P.R. Discussion Papers
-
2014
We decompose violations of uncovered interest parity into a cross-currency, a betweentime-and-currency, and a cross-time component. We show that most of the systematic violations are in the cross-currency dimension. By contrast, we find no statistically reliable evidence that currency risk...
Persistent link: https://www.econbiz.de/10011084081
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7
Home Away From Home? Safe Haven Effects and London House Prices
Badarinza, Cristian
;
Ramadorai, Tarun
-
C.E.P.R. Discussion Papers
-
2013
Historical time-series data is short relative to the frequency of political and economic crises. This makes it difficult to use pure time-series methods to identify the impacts of safe haven demand on asset prices, in the face of confounding effects from a wide range of alternative drivers. We...
Persistent link: https://www.econbiz.de/10011084288
Saved in:
8
Competing on Speed
Pagnotta, Emiliano
;
Philippon, Thomas
-
C.E.P.R. Discussion Papers
-
2012
Two forces have reshaped global securities markets in the last decade: Exchanges operate at much faster speeds and the trading landscape has become more fragmented. In order to analyze the positive and normative implications of these evolutions, we study a framework that captures (i)...
Persistent link: https://www.econbiz.de/10011084319
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9
The Impact of News and the SMP on Realized (Co)Variances in the Eurozone Sovereign Debt Market
Beetsma, Roel
;
de Jong, Frank
;
Giuliodori, Massimo
; …
-
C.E.P.R. Discussion Papers
-
2014
We use realized variances and covariances based on intraday data from Eurozone sovereign bond market to measure the dependence structure of eurozone sovereign yields. Our analysis focuses on the impact of news, obtained from the Eurointelligence newsflash, on the dependence structure. More news...
Persistent link: https://www.econbiz.de/10011084398
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10
Out-of-Sample Evidence on the Returns to Currency Trading
Accominotti, Olivier
;
Chambers, David
-
C.E.P.R. Discussion Papers
-
2014
We document the existence of excess returns to naïve currency trading strategies during the emergence of the modern foreign exchange market in the 1920s and 1930s. This era of active currency speculation constitutes a natural out-of-sample test of the performance of carry, momentum and value...
Persistent link: https://www.econbiz.de/10011084602
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