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Using Option Prices to Estimate Realignment Probabilities in the European Monetary System

Malz, Allan M. - 2000

The paper presents a method of computing the risk neutral probability distribution of future exchange rates from the prices of currency options. The method is applied to estimate the risk neutral ex ante probability of a realignment of the pound sterling against the mark in 1992. The computation...

Persistent link: https://www.econbiz.de/10014075285

Can Europe recover without credit?

Darvas, Zsolt M. - 2013

Data from 135 countries covering five decades suggests that creditless recoveries, in which the stock of real credit does not return to the pre-crisis level for three years after the GDP trough, are not rare and are characterised by remarkable real GDP growth rates: 4.7 percent per year in...

Persistent link: https://www.econbiz.de/10009745910

Foreign Exchange Markets Efficiency Under Recent Crises : Evidence from the European Markets

Wong, Yuen Meng - 2013

This study investigates the European foreign exchange markets efficiency from both the within- and across-country perspectives and subsequently compared them across several recent crises. The European foreign exchange markets are generally efficient over the whole sample period. From the...

Persistent link: https://www.econbiz.de/10013080111

Modelling European exchange rates and VAR with copula approach

Bohdalová, Maria; Greguš, Michal - 2014

Persistent link: https://www.econbiz.de/10011941378

Large sigma events in the European FX markets : stylised facts from 273 years of quarterly data

Abildgren, Kim - 2013

; realised exchange-rate volatility ; risk management ; fat tailed distributions ; kernel density estimation …

Persistent link: https://www.econbiz.de/10009743815

The interdependence of gold, US dollar and stock market in the context of COVID-19 pandemic : an insight into analysis in Asia and Europe

Oanh Kim Thi Tran; Ha Nguyen - In: Cogent economics & finance 10 (2022) 1, pp. 1-18

Using the panel data vector autoregression (PVAR) model, this study examines the correlation between the stock market, gold price and USD exchange rate in the context of the COVID-19 pandemic in 55 Asian and 32 European countries from 11 March 2021 to 29 October 2021. The results of Granger...

Persistent link: https://www.econbiz.de/10014500215

Brexit and CDS spillovers across UK and Europe

Bouoiyour, Jamal; Selmi, Refk - In: European journal of comparative economics 16 (2019) 1, pp. 105-124

dynamics of CDS volatility spillover effects surrounding the UK's EU membership referendum commonly known as "Brexit". Using a … the underlined CDS. In particular, we find that UK, Italy and Spain are the "net volatility transmitters", while France … and Germany seem the "net volatility receivers". Our findings may help in formulating appropriate regulatory policies and …

Persistent link: https://www.econbiz.de/10012259768

Economic Exchange Rate Exposure of U.S.-Based Mncs Operating in Europe

Martin, Anna D.; Madura, Jeff; Akhigbe, Aigbe - 1999

This study focuses on the economic exchange rate exposure of 168 U.S.-based multinational corporations (MNCs) with foreign operations primarily in Europe. The sampling plan and other refinements may improve the estimation of exposure and detection of relevant determinants. Operating...

Persistent link: https://www.econbiz.de/10014199791

European exchange rate adjustments in response to Covid-19, containment measures and stabilization policies

Klose, Jens - 2022

This paper estimates the effects of nine exchange rates for european coun- tries vis-a-vis the Euro in the COVID pandemic. Using data on COVID cases, three containment and two stabilization measures relative to the euro area counterparts, it is shown that a more severe spread of the virus leads...

Persistent link: https://www.econbiz.de/10013189169

Currency appreciation and "deindustrialization" : a European perspective

Tatom, John A. - 1994 - Rev

Persistent link: https://www.econbiz.de/10000897000