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FX dealer constraints and external imbalances

Boer, Jantke de; Eichler, Stefan - 2024

We empirically test Gabaix and Maggiori (2015)’s prediction that currencies are repriced by the country’s external capital dependence when financial constraints of FX intermediaries change. Using solvency indicators, we develop a novel intermediary constraints index capturing riskbearing...

Persistent link: https://www.econbiz.de/10015211360

An analysis of extreme movements of exchange rates of the main currencies traded in the Foreign Exchange market

Iglesias, Emma M. - In: Applied economics 44 (2012) 34/36, pp. 4631-4637

Persistent link: https://www.econbiz.de/10009713374

Exchange market pressure in South Africa and Kenya : an analysis using parametric and non-parametric extreme value theory

Boer, Pieter-Henk; Munapo, Elias; Chanza, Martin; … - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10012018969

Foreign exchange predictability during the financial crisis : implications for carry trade profitability

Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - 2015

In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...

Persistent link: https://www.econbiz.de/10011313235

On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates

Reitz, Stefan; Ruelke, Jan-Christoph; Taylor, Mark P. - 2010

This paper applies nonlinear econometric models to empirically investigate the effectiveness of the Reserve Bank of Australia (RBA) exchange rate policy. First, results from a STARTZ model are provided revealing nonlinear mean reversion of the Australian dollar exchange rate in the sense that...

Persistent link: https://www.econbiz.de/10003964417

On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates

Reitz, Stefan; Ruelke, Jan-Christoph; Taylor, Mark P. - In: The economic record : er 87 (2011), pp. 465-479

Persistent link: https://www.econbiz.de/10009317762

On the Nonlinear Influence of Reserve Bank of Australia Interventions on Exchange Rates

Ruelke, Jan-Christoph - 2016

Persistent link: https://www.econbiz.de/10012991094

Analyzing the Structural Breaks and the Exchange Market Turbulence on Volatility Spillovers Between Exchange Rates and Tehran Stock Exchange

Gholizadeh, Mohammadmehdi; Erfani, Alireza - 2021

This article has studied several fluctuations in the Iranian currency market and multiple turmoils in the economy that have not only wiped out Iranians private savings but also affected financial market activists to provide a better understanding of fluctuations' movement between markets. To...

Persistent link: https://www.econbiz.de/10013250208

Foreign exchange market interventions and the $-Yen exchange rate in the long run

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2013

den Dollar-Yen Wechselkurs langfristig beeinflussen. Die empirische Strategie basiert auf einer Neuschätzung des …/Dollar Wechselkurs und Fundamentalfaktoren bei? 2.) Führen Interventionen zu einer schnelleren Anpassung des Wechselkurses an …, dass vor allem koordinierte Interventionen den Dollar/Yen Wechselkurs langfristig stabilisieren. …

Persistent link: https://www.econbiz.de/10009779186

Perspectives on Uncovered Interest Rate Parity and the Carry Trade : Some Recent Evidence for G10 and Emerging Markets

Villanueva, Miguel - 2012

Uncovered interest rate parity (UIRP) indicates that international yield differentials reflect expected depreciation of the high-yield currency. However high-yield currencies tend to appreciate, at least in the short run, which implies predictable currency excess returns and trading...

Persistent link: https://www.econbiz.de/10013097842