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Obregon, Carlos - 2023

The main thesis in this manuscript is that a social choice theory based on aggregating individual preferences and …

Persistent link: https://www.econbiz.de/10015214328

Foreign Exchange Interventions in the New-Keynesian Model: Policy, Transmission, and Welfare

Yakhin, Yossi - 2024

The paper introduces foreign exchange interventions (FXIs) into a standard New-Keynesian small open economy model. It solves for the optimal FXI policy, suggests an implementable policy rule, and studies the transmission mechanism of FXIs. Relying on the portfolio balance channel, deviations...

Persistent link: https://www.econbiz.de/10015214600

Foreign Exchange Interventions in the New-Keynesian Model: Policy, Transmission, and Welfare

Yakhin, Yossi - 2024

Persistent link: https://www.econbiz.de/10015214935

Indian Capital Control Liberalization: Evidence from NDF Markets

Hutchison, Michael; Kendall, Jake; Pasricha, Gurnain Kaur; … - 2009

The Indian government has taken a number of incremental measures to liberalize legal and administrative impediments to international capital movements in recent years. This paper analyzes the extent to which the effectiveness of capital controls in India, measured by the domestic less net...

Persistent link: https://www.econbiz.de/10015215798

Carry Trades and Global FX Volatility

Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - 2009

return spread in five carry trade portfolios. Further analyses show that: (i) liquidity risk also matters for excess returns …

Persistent link: https://www.econbiz.de/10015216553

Carry Trade Fundamentals and the Financial Crisis

Vistesen, Claus - 2009

returns and a positive function of market volatility. In order to test this theory, an Arbitrage Pricing Theory framework is …

Persistent link: https://www.econbiz.de/10015216790

Carry Trade Fundamentals and the Financial Crisis 2007-2010

Vistesen, Claus - 2009

returns and a positive function of market volatility. In order to test this theory, an Arbitrage Pricing Theory framework is …

Persistent link: https://www.econbiz.de/10015216894

Actual factors to determine cross-currency basis swaps: An empirical study on US dollar/Japanese yen basis swap rates from the late 1990s

Shinada, Naoki - 2005

Cross-currency basis swap rates that exchange US-dollar (USD) and Japanese-yen (JPY) LIBORs have fluctuated since the … late 1990s. It is increasingly important for market participants to figure out such swap rates, but there have not been … many empirical studies about actual markets. This study addresses factors of USD/JPY swap rates from the late 1990s to the …

Persistent link: https://www.econbiz.de/10015217682

Uncovered Interest Parity: Cross-sectional Evidence

Lee, Byung-Joo - 2007

This paper proposes a different empirical approach to estimate the UIP by analyzing a large number of cross-country bilateral exchange rates using cross-section analysis. Different from conventional time-series UIP, cross-sectional UIP is examined with single equation estimation and panel...

Persistent link: https://www.econbiz.de/10015221716

Banking Performance and Speculative Attacks Under Asymmetric Information

Nabi, Mahmoud Sami - 2001

The Asian financial crisis of 1997 evolved through many stages. Although there is a consensus among economists on its "ingredients", a disagreement still exists about the exact mechanisms. This paper proposes a model explaining the triggering event of the crisis as represented by the abandon of...

Persistent link: https://www.econbiz.de/10015222710