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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

Carry

Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013

, and volatility risks, its performance presents a challenge to asset pricing models. …

Persistent link: https://www.econbiz.de/10011083673

The Exchange Rate Effect of Multi-Currency Risk Arbitrage

Hau, Harald - C.E.P.R. Discussion Papers - 2009

This paper documents how currency speculators trade when international capital flows generate predictable exchange rate movements. The redefinition of the MSCI world equity index in December 2000 provides an ideal natural experiment identifying exogenous capital flows of index tracking equity...

Persistent link: https://www.econbiz.de/10005034758

Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?

Bacchetta, Philippe; van Wincoop, Eric - C.E.P.R. Discussion Papers - 2003

the other hand, the recent ‘microstructure approach to exchange rates’ has shown that most exchange rate volatility at …

Persistent link: https://www.econbiz.de/10005662225

The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself

Jordà, Òscar; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2009

strategies. When we do so, some questions are resolved: negative skewness is purged, and market volatility (VIX) is uncorrelated …

Persistent link: https://www.econbiz.de/10008491718

Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities

Jondeau, Eric; Rockinger, Michael - C.E.P.R. Discussion Papers - 1998

's stochastic volatility model. We apply those models on FF/DM OTC exchange rate options for various dates ranging between May 1996 …

Persistent link: https://www.econbiz.de/10005124117

Arbitrage in the Foreign Exchange Market: Turning on the Microscope

Akram, Farooq; Rime, Dagfinn; Sarno, Lucio - C.E.P.R. Discussion Papers - 2008

This paper provides real-time evidence on the frequency, size, duration and economic significance of arbitrage opportunities in the foreign exchange market. We investigate deviations from the covered interest rate parity (CIP) condition using a unique data set for three major capital and foreign...

Persistent link: https://www.econbiz.de/10005124143

Learning and Complementarities: Implications for Speculative Attacks

Goldstein, Itay; Ozdenoren, Emre; Yuan, Kathy - C.E.P.R. Discussion Papers - 2010

large currency attacks and introducing non-fundamental volatility into exchange rates and policy decisions. We show that the …

Persistent link: https://www.econbiz.de/10008468601

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

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