Search Results - subject_exact:"Devisengeschäft"

Volatility spillover effects in foreign exchange markets among China, Japan, and South Korea

Yu, Bok-Keun; Kim, Kwon Sik - 2026

This paper analyzes the dynamic spillover effects of exchange rate volatility among the foreign exchange markets of China, Japan, and South Korea from January of 2010 to March of 2024 based on exchange rate determination theories, the GJR-GARCH model, and the TVP-VAR model. The key empirical...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654863

Fugitive or orphan? : the Shanghai yen in the early days of the Sino-Japanese war, 1938-1939

Takagi, Shinji - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015610964

Risk premiums, market volatility, and exchange rate dynamics : evidence from the Yen carry trade

Guyot, Opale; Montgomery, Heather; Yang, Peiqing - 2026

Persistent deviations from Uncovered Interest Rate Parity (UIRP) represent a central puzzle in international finance and a key source of currency risk for global investors. This study examines the UIRP puzzle in the JPY/USD market through the lens of financial risk transmission, focusing on how...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638924

Herding in the foreign exchange market

Allayioti, Anastasia; Garratt, Anthony - 2026

Using a recent and comprehensive data set covering nine of the most actively traded currencies on a monthly basis from 1995 to 2024, this paper explores the presence and potential drivers of herding behaviour in foreign exchange rate forecasts. The dataset features an average of 40-50...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015655766

Short-term forecasting of four Rand-denominated currency markets (EUR/ZAR, CHF/ZAR, BRL/ZAR, CNY/ZAR) : a comparative analysis of Support Vector Regression, XGBoost and Principal Component Regression

Fundama, Sthembile Albertinah; Ravele, Thakhani; … - 2026

Using daily data from Investing.com South Africa, this study investigates the forecasting performance of four Rand currency rate markets (EUR/ZAR, CHF/ZAR, BRL/ZAR, and CNY/ZAR) from 13 February 2018 until 24 February 2025. The predictive fitness of three competing models, Support Vector...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015656136

FX Illiquidity networks and vehicle currencies

Pantalfini, Matteo - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015647638

Assessing cross-currency predictability in forex markets : insights from limit order book data

Petrova, Yana; Vilhelmsson, Anders; Nordén, Lars L. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668675

Outlook and challenges for local currency transactions : an analysis of the trend toward dedollarization, centered on Asia

Tomizawa, Katsuyuki; Shimizu, Junko - 2026

Since the late 2010s, rising geopolitical tensions-particularly between the United States and the People's Republic of China (PRC)-have begun to affect currency choices in trade and investment across Asia. Although the US dollar remains the dominant international currency, emerging economies are...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015669071

Stablecoin flows and spillovers to FX markets

Aldasoro, Iñaki; Beltran, Paula; Grinberg, Federico - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668201

Shifting forces behind RMB internationalization : evidence from the 2025 Triennial Survey

Robbert, Juliana; Sushko, Vladyslav; Westermann, Frank - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668251

Comparison of two types of topological networks for the foreign exchange market : one based on correlation coefficients and the other on the concept of causality

Landmesser-Rusek, Joanna - 2026

Topological networks make it possible to recognize structural properties of the currency market. Such networks can be constructed on the basis of the values of correlation coefficients between currency pairs, and the popular minimum spanning tree (MST) algorithm allows an understanding of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015667604

The impact of currency market shocks on global bond fund returns and volatility

Lü, Zheng; El Khoury, Rim; Jiang, Zhuhua; Ozcelebi, Oguzhan - 2026

This study employs advanced econometric models-TVP-SV-VAR, BEKK-MGARCH, DCC)-MGARCH, and WQR models-to analyse the exchange rate sensitivity of global bond ETFs. It examines four major funds (BNDX, TPINX, MGBIX, and FGBFX) with differing exposures to Samurai, Yankee, and Bulldog bonds. The...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015664879

FX option volume

Czech, Robert; Della Corte, Pasquale; Huang, Shiyang; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015655672

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FX option volume

Czech, Robert; Della Corte, Pasquale; Huang, Shiyang; … - 2022

Book / Working Paper

FX option volume

Czech, Robert; Della Corte, Pasquale; Huang, Shiyang; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015655672

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FX option volume

Czech, Robert; Della Corte, Pasquale; Huang, Shiyang; … - 2022

Book / Working Paper

Dollar dominance: a source of dollar volatility?$Cara Bordier, Lukas Frei, Simon Stalder

Bordier, Cara; Frei, Lukas; Stalder, Simon - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015672519

Exchange rate unification in Nigeria : volatility dynamics and short-term forecasts

Ayodeji, Idowu - 2026

Nearly two years after Nigeria's exchange rate unification policy was introduced, questions remain about its effectiveness. This study uses the Exponential GARCH model to examine: (1) the impact of the policy on exchange rate returns and volatility, (2) whether it has achieved its intended goal...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016069417

Geopolitical risk in currency markets

Melone, Alessandro; Stathopoulos, Andreas - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016071198

Triangular speculative attacks

Alaminos, David - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016083980

Central bank reserves and currency volatility

Ferreira, Alex Luiz; Gozluklu, Arie; Mainente, Joao de … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016083997

Geoeconomic Competition and Capital Reallocation in Global FX Funding

An, Yu; Huber, Amy W. - 2026

We study geoeconomic competition and capital reallocation in global financial markets, using the foreign exchange (FX) funding market as our empirical setting. FX funding, obtained by borrowing one currency while pledging another through FX swaps, is instrumental to cross-border investment and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015611212

Topography of the FX Derivatives Market : A View from London

Hacıoǧlu Hoke, Sinem; Ostry, Daniel; Rey, Hélène; … - 2026

Drawing on 100 million transactions, we show how speculators, hedgers, and market makers interact in the world's largest FX derivatives market, and that derivatives trading can affect exchange rates. Firms in the largest client sectors--pension and investment funds, insurers, and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015593787

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Topography of the FX derivatives market : a view from london

Hacıoǧlu Hoke, Sinem; Ostry, Daniel; Rey, Hélène; … - 2025

Book / Working Paper

Informal foreign currency market rate coordination and remittance flows

Gurira, Primrose; Parwada, Jerry T. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015546597

Financial Conditions Targeting in a Multi-Asset Open Economy

Caballero, Ricardo J.; Simsek, Alp - 2026

We analyze monetary policy responses to noisy financial conditions in an open economy where exchange rates and domestic asset prices affect aggregate demand. Noise traders operate in both markets, and specialized arbitrageurs have limited risk-bearing capacity. Monetary policy creates...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626303

The usefulness of the currency constraint for predicting forex

Khansalar, Ehsan - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015547138

Measuring daily systemic risk with intraday data : evidence from foreign exchange market

Zhou, Yi; Xia, Wenjing; Ye, Wuyi - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016069960

How do event studies capture impact of macroeconomic news in forex market? : a meta-analysis

Bortnikova, Kseniya; Bajzik, Josef; Kočenda, Evžen - 2025

We perform a quantitative synthesis of 807 estimates of the effect of macroeconomic news announcements on exchange rates, as reported in 25 studies. Estimates are tested for publication selection using visual examination of funnel plots, linear asymmetry tests, and recent non-linear testing...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015272007

Dynamic impact of foreign exchange trading volume on foreign exchange volatility

Kang, Jong Woo; Cabaero, Carlos - 2025

Foreign exchange (FX) trading volume is a key factor in exchange rate volatility. Given the important role of volatility in economic growth and stability, this paper investigates the dynamic nature of exchange trading volume on exchange rate volatility using hourly high-frequency data. The...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015194391

Financial Interdependence and Currency Internationalization

Jiang, Zhengyang - 2026

Does financial opening necessarily lead to currency internationalization? To study the competition between incumbent and rising powers under financial interdependence, we develop a model of asset demand with microfounded network effects. Search frictions with currency-specialized intermediaries...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016063337

La sinfonía del capital : armonizando inversión y finanzas

Valero Capilla, José Luis - 2026 - 1. edición

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015662954

Event-driven changes in volatility connectedness in global forex markets

Albrecht, Peter; Kočenda, Evžen - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015330188

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Event-driven changes in volatility connectedness in global forex markets

Albrecht, Peter; Kočenda, Evžen - 2025

Book / Working Paper

Stochastic exchange rate dynamics, intervention dynamics and the market efficiency hypothesis

Drakonakis, Emmanouil; Kotsios, Stelios - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015195774

Foreign exchange rates and international finance

Kallianiotis, Ioannis N. - 2026 - Second edition

"Foreign Exchange Rates and International Finance (Second Edition) includes updated information on economic, financial, and global events that have taken place in the past six years. It can be used by international financial market traders and practitioners, global company executives, and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015666173

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Foreign exchange rates and international finance

Kallianiotis, Ioannis N. - 2019

Book / Working Paper

Colombia : Technical Assistance Report-Foreign Exchange Market Development and Regulatory Framework Review

2025

This report provides an overview of the technical assistance provided by the International Monetary Fund (IMF) to the Banco de la República to support the authorities in reviewing the regulatory framework and formulating development strategies for the foreign exchange market

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015328039

Portfolio Inertia and Expected Excess Returns in Currency Markets : Evidence from Advanced Economies

Bakker, Bas - 2025

The economic literature has long attributed non-zero expected excess returns in currency markets to time-varying risk premiums demanded by risk-averse investors. This paper, building on Bacchetta and van Wincoop's (2021) portfolio balance framework, shows that such returns can also arise when...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015328145

Unveiling the dynamic linkages between energy, forex and financial markets amidst natural and man-made outbreaks

Yadav, Miklesh Prasad; Vigg Kushwah, Silky; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015421585

Interconnectedness and idiosyncratic risks in sub-Saharan forex markets : implications for investment, portfolio management, and policy formulation

Gubareva, Mariya; Adela, Vincent; Vo Xuan Vinh - 2025

This study examines the interconnectedness and idiosyncratic risks in sub-Saharan forex markets from 1999 to 2023. Using the TVP-VAR extended joint connectedness technique, we measure both the static and dynamic extended joint connectivity. Our analysis reveals that sub-Saharan forex markets are...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015471252

Using AI in the informal currency market : evidence from Cuba

Vidal Alejandro, Pavel; Muñiz Cuza, Carlos Enrique; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015473141

Asymmetric volatility spillovers in varying market conditions and portfolio performance analysis of the south african foreign exchange market

Ntare, hamdan Bukenya; Muteba Mwamba, John; Adekambi, Franck - 2025

This paper investigates the dynamics of volatility spillovers in the South African foreign exchange market across calm and crisis periods, with particular attention paid to the pre- and post-COVID-19 eras. Employing daily exchange rate returns from 2015 to 2025, we apply a Quantile Vector...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015447876

Mispricing and risk premia in currency markets

Bartram, Söhnke M.; Djuranovik, Leslie; Garratt, Anthony; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015451376

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Mispricing and risk premia in currency markets

Bartram, Söhnke M.; Djuranovik, Leslie; Garratt, Anthony; … - 2023

Book / Working Paper

Foreign exchange order flow as a risk factor

Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015451411

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Foreign exchange order flow as a risk factor

Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2023

Book / Working Paper

Foreign exchange order flow as a risk factor

Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2020

Book / Working Paper

Foreign exchange order flow as a risk factor

Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2018

Book / Working Paper

Foreign exchange order flow as a risk factor

Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2018

Book / Working Paper

Foreign Exchange Order Flow as a Risk Factor

Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2022

Book / Working Paper

Foreign Exchange Order Flow as a Risk Factor

Burnside, Craig - 2020

Book / Working Paper

Project Meridian FX: exploring synchronised settlement in FX

2025

Project Meridian FX is an experiment led by the BIS Innovation Hub's London and Eurosystem Centres together with the Bank of England, Bank of France, Deutsche Bundesbank, Bank of Italy and European Central Bank. It builds on the original Project Meridian by focusing on foreign exchange (FX)...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015405654

Risk and return spillovers among developed and emerging market currencies

Greenwood-Nimmo, Matthew; Steenkamp, Daan; Van … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015405666

Project Rialto: improving instant cross-border payments using central bank money settlement : interim report

2025

The retail cross-border payments market is valued at more than $800 billion of transactions per year, and is growing. Despite this, retail cross-border transactions lag domestic ones in terms of cost, speed, access and transparency because of the complex processes they involve. This complexity...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015405675

Liquidity risk and currency premia

Söderlind, Paul; Somogyi, Fabricius - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015410141

Does inflation targeting track record matter for asset prices? : evidence from stock, bond, and foreign exchange markets

Zhang, Zhongxia - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015412338

Towards a neutral monetary policy in 2025

Jensen, Teis Hald - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015413699

Auction-based tests of inventory control and private information in a centralized interdealer FX market

Bonaldi, Pietro; Villamizar, Mauricio - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015432713

Has us (un)conventional monetary policy affected South African financial markets in the aftermath of COVID-19? : a quantile-frequency connectedness approach

Ngondo, Mashilana; Phiri, Andrew - 2025

The US has undertaken both unconventional and conventional monetary policy stances in response to the COVID-19 pandemic and the Ukraine-Russia conflict, and there has been much debate on the effects of these various monetary policies on global financial markets. Our study considers the debate in...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015457851