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Year of publication
Subject
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Currency speculation 1,664 Währungsspekulation 1,664 Theorie 650 Theory 631 Devisenmarkt 480 Foreign exchange market 467 Währungskrise 457 Welt 452 World 447 Currency crisis 441 Wechselkurs 329 Exchange rate 316 Wechselkurspolitik 293 Exchange rate policy 289 Schätzung 266 Estimation 256 Währungsrisiko 246 Exchange rate risk 242 Capital income 235 Kapitaleinkommen 235 Risikoprämie 183 Risk premium 180 Zinsparität 146 Volatilität 145 Volatility 144 Interest rate parity 142 Speculation 142 Financial crisis 141 Finanzkrise 141 Spekulation 140 EU-Staaten 108 EU countries 104 Portfolio selection 104 Portfolio-Management 104 Currency derivative 98 Geldpolitik 98 Währungsderivat 98 Monetary policy 92 USA 89 United States 87
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Online availability
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Free 625 Undetermined 225
Type of publication
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Book / Working Paper 1,017 Article 708 Journal 1
Type of publication (narrower categories)
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Article in journal 603 Aufsatz in Zeitschrift 603 Working Paper 454 Graue Literatur 442 Non-commercial literature 442 Arbeitspapier 423 Aufsatz im Buch 96 Book section 96 Hochschulschrift 65 Thesis 53 Collection of articles written by one author 13 Sammlung 13 Systematic review 10 Übersichtsarbeit 10 Bibliografie enthalten 9 Bibliography included 9 Collection of articles of several authors 9 Sammelwerk 9 Guidebook 7 Ratgeber 7 Dissertation u.a. Prüfungsschriften 6 Amtsdruckschrift 5 Article 5 Government document 5 Konferenzschrift 5 Aufsatzsammlung 4 Conference proceedings 3 Glossar enthalten 3 Glossary included 3 Lehrbuch 3 Textbook 3 Bibliografie 2 Conference paper 2 Handbook 2 Handbuch 2 Konferenzbeitrag 2 Mehrbändiges Werk 2 Multi-volume publication 2 Accompanied by computer file 1 Case study 1
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Language
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English 1,572 German 110 French 18 Spanish 7 Portuguese 6 Italian 2 Dutch 2 Russian 2 Undetermined 2 Czech 1 Danish 1 Croatian 1 Hungarian 1 Polish 1 Romanian 1
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Author
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Burnside, Craig 34 Eichenbaum, Martin S. 25 Corsetti, Giancarlo 23 Rebelo, Sérgio 23 Flood, Robert P. 21 Schulmeister, Stephan 20 Heinemann, Frank 17 Schrimpf, Andreas 17 Sarno, Lucio 16 Frankel, Jeffrey A. 15 Bannier, Christina E. 14 Cheung, Yin-Wong 14 Eichenbaum, Martin 14 Shin, Hyun Song 14 Marion, Nancy Peregrim 13 Menkhoff, Lukas 13 Burnside, A. Craig 12 Cornand, Camille 12 Rime, Dagfinn 12 Röthig, Andreas 12 Kleshchelski, Isaac 11 Londono, Juan M. 11 McCauley, Robert N. 11 Morris, Stephen 11 Rebelo, Sergio T. 11 Taylor, Mark P. 11 Nitschka, Thomas 10 Panayotov, George 10 Ranaldo, Angelo 10 Allsopp, Louise 9 Orlov, Vitaly 9 Pesenti, Paolo A. 9 Prati, Alessandro 9 Roubini, Nouriel 9 Sakemoto, Ryuta 9 Velasco, Andrés 9 Christiansen, Charlotte 8 Dooley, Michael P. 8 Herrmann, Sabine 8 Jager, Henk 8
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Institution
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National Bureau of Economic Research 39 Institut für Weltwirtschaft 4 Internationaler Währungsfonds / Research Department 4 Basel Committee on Banking Supervision 2 Centre for International Economic Studies 2 Federal Reserve Bank of San Francisco / Center for Pacific Basin Monetary and Economic Studies 2 Federal Reserve System / Board of Governors 2 Banco Central do Brasil 1 Bank für Internationalen Zahlungsausgleich / Währungs- und Wirtschaftsabteilung 1 Birkbeck College / Department of Economics 1 Centre for European Policy Studies 1 Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre 1 Council on Foreign Relations 1 Deakin University 1 Federal Reserve Bank of Chicago 1 Freie Universität Berlin / Fachbereich Wirtschaftswissenschaft 1 Institut für Weltwirtschaft / Abteilung Entwicklungsländer und Weltwirtschaft 1 Institute for International Economics <Washington, DC> 1 Internationaler Währungsfonds / Southeast Asia and Pacific Department 1 Internationaler Währungsfonds / Treasurer's Department 1 Massachusetts Institute of Technology / Department of Economics 1 Peterson Institute for International Economics 1 Rheinische Friedrich-Wilhelms-Universität Bonn / Zentrum für Europäische Integrationsforschung 1 Sosialøkonomisk Institutt 1 Springer Fachmedien Wiesbaden 1 Stanford Institute for Economic Policy Research 1 State University of New York at Albany / Department of Economics 1 USA / Congress / House of Representatives / Committee on Small Business 1 USA / Congress / House of Representatives / Subcommittee on International Economic Policy and Trade 1 USA / Congress / Senate / Committee on Foreign Relations 1 University of Strathclyde / Department of Economics 1 Universität Hannover / Wirtschaftswissenschaftliche Fakultät 1 Verein für Socialpolitik / Ausschuss für Geldtheorie und Geldpolitik 1 Weltbank / Development Research Group / Finance 1 Weltbank / Latin America and the Caribbean Regional Office / Poverty Reduction and Economic Management Unit 1 World Bank / Development Research Group / Macroeconomics and Growth 1 World Bank / Latin America and the Caribbean Regional Office / Poverty Reduction and Economic Management Unit 1 Zentrum für Europäische Wirtschaftsforschung 1
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Published in...
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Working paper / National Bureau of Economic Research, Inc. 44 Journal of international money and finance 38 NBER working paper series 38 NBER Working Paper 36 Discussion paper / Centre for Economic Policy Research 33 Journal of international economics 20 BIS quarterly review : international banking and financial market developments 17 Journal of international financial markets, institutions & money 17 Journal of banking & finance 16 IMF working paper 14 International journal of finance & economics : IJFE 13 International review of economics & finance : IREF 12 BIS working papers 11 CESifo working papers 11 Journal of financial economics 11 Finance research letters 10 The journal of futures markets 10 WIFO working papers 10 European economic review : EER 9 International finance discussion papers 9 International review of financial analysis 9 Review of international economics 9 Wiley trading series 8 Applied financial economics 7 Discussion papers / CEPR 7 Journal of financial and quantitative analysis : JFQA 7 Kiel advanced studies working papers : advanced studies in international economic policy research 7 Research in international business and finance 7 The North American journal of economics and finance : a journal of financial economics studies 7 The journal of finance : the journal of the American Finance Association 7 BIS Working Paper 6 CESifo Working Paper 6 Journal of economic dynamics & control 6 SNB working papers 6 Volkswirtschaftliche Diskussionsbeiträge 6 Working paper 6 Working paper series / European Central Bank 6 Beiträge des Fachbereichs Wirtschaftswissenschaften der Universität Osnabrück 5 Discussion paper / Centre for International Economic Studies, University of Adelaide 5 Discussion paper / Tinbergen Institute 5
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Source
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ECONIS (ZBW) 1,676 EconStor 36 USB Cologne (EcoSocSci) 14
Showing 1 - 50 of 1,726
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Foreign exchange order flow as a risk factor
Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2023
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Macro News Effects on Exchange Rates : Difference between Carry Trade Target and Safe-haven Currencies
Wang, Wenhao; Lin, Zhitao; Hu, Bing - 2023
We compare the effects of the US macro news on the exchange rates of carry trade target currencies and safe-haven currencies in the post-GFC period. Relying on the data of 5-min changes of exchange rates, we find significant responses of currencies to the surprises of the US macro news. The...
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Risk-Return Relation of Cryptocurrency Carry Trade
Fan, Zhenzhen; Jiao, Feng; Lu, Lei; Tong, Xin - 2023
This paper comprehensively examines the risk-return relation of cryptocurrency carry trade using realistic borrowing and lending interest rates. We find significant violations of the uncovered interest rate parity in the cryptocurrency market. The cross-sectional carry trade strategy yields an...
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Safe asset carry trade
Ballensiefen, Benedikt; Ranaldo, Angelo - In: Review of asset pricing studies : RAPS 13 (2023) 2, pp. 223-265
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Volatility transmitter or receiver? : investigating dynamic connectedness between the carry trade and financial markets
Nefzi, Nourhaine; Melki, Abir - In: Borsa Istanbul Review 23 (2023) 3, pp. 748-758
By examining the connectedness of carry trade currency with stock, foreign exchange (forex), and commodity markets, the paper investigates the extent to which shocks in capital flows driven by interest-rate differentials affect financial markets. Following the framework of Diebold and Yilmaz...
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Sovereign CDS and Currency Carry Trades
Calice, Giovanni; Lin, Ming-Tsung; Sickles, Robin C.; … - 2023
We investigate the link between sovereign credit default swaps (CDS) and currency carry trades. We demonstrate that the term structure of sovereign CDS exhibits a significant explanatory power for crash risk and currency risk. We show that global uncertainty shocks in developed economies have a...
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An Introduction to Bond Carry Trading Strategies
Burgess, Nicholas - 2023
Bond carry trading is a popular strategy among investors who are looking for higher returns while minimizing risks. The basic premise of this strategy is to buy a high yield bond and sell a low yield bond in the same currency and sector, with the intention of capturing the difference in yield,...
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Risk-Return Relation of Cryptocurrency Carry Trade
Fan, Zhenzhen; Jiao, Feng; Lu, Lei; Tong, Xin - 2023
This paper comprehensively examines the risk-return relation of cryptocurrency carry trade using realistic borrowing and lending interest rates. We find significant violations of the uncovered interest rate parity in the cryptocurrency market. The cross-sectional carry trade strategy yields an...
Persistent link: https://ebtypo.dmz1.zbw/10014351045
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The term structure of currency futures' risk premia
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - In: Journal of money, credit and banking : JMCB 54 (2022) 1, pp. 5-38
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Speculative attacks on the Drachma and the changeover to the Euro
Anastasatos, Tassos; Manou, Konstantina - 2022
This article examines speculative attacks against the Greek drachma from 1960 until the adoption of the euro in 2001. The analysis is preceded by a historical review. Subsequently, using monthly data on a plethora of economic, financial and political variables, a range of Limited Dependent...
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How homogenous are currency crises? A panel study using multiple - response models
Anastasatos, Tassos; Davidson, Ian - 2022
This paper presents evidence that currency episodes display heterogeneity in terms of their evolution, their impact on the inflicted economy and their links with financial, political and macroeconomic fundamentals. Limited-dependent variable models for ordered and unordered outcomes along with...
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Hoarding of International Reserves : Mrs Machlup's Wardrobe and the Joneses
Research, Hong Kong Institute for Monetary and Financial - 2022
This working paper was written by Yin-wong Cheung (University of California, Santa Cruz) and XingWang Qian (University of California, Santa Cruz).Motivated by the observed international reserve hoarding behavior in the post-1997 crisis period, we explore the Mrs Machlup’s wardrobe hypothesis...
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Foreign Currency Borrowing of Corporations as Carry Trades : Evidence from India
Acharya, Viral V.; Vij, Siddharth - 2022
We establish that macroprudential policies limiting capital flows can curb risks arising from corporate foreign currency borrowing in emerging markets. Using detailed firm-level data from India, we show that propensity to issue foreign currency debt for the same firm is higher when the...
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Capital Flows and Speculative Attacks in Prospective EU Member States
Gibson, Heather D.; Tsakalotos, Euclid - 2022
This paper examines the capital flow experience of transition economies who are also prospective EU members with a view to shedding light on the likely problems they might encounter with exchange rate policy in the run up to euro area membership. We show that they have been experiencing fairly...
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The Role of Hedgers and Speculators in the Currency Futures Markets
Yoon, Jungah; Ruan, Xinfeng; Zhang, Jin E. - 2022
Kang et al. (2020) find cross-sectional evidence that short- and long-term variation of position changes are driven by liquidity demand of noncommercials and hedging demands of commercials in commodity futures markets. In this paper, we find the commercials' hedging demands drive both short-term...
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Financial intermediaries and speculation in the foreign exchange market : the role of monetary policy in Iran's economy
Sadeghi, Abdorasoul; Marzban, Hussein; Samadi, Ali Hussein - In: Journal of economic structures : JES; the official … 11 (2022), pp. 1-26
Given the high fluctuations of the general price level, the importance of investment, and accessing sufficient financial resources, we examine the effects of monetary policy on the nominal (Inflation) and real (Investment) sectors of a developing economy, like Iran, through the channel of the...
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Signaling Versus Commitment Strengthening : Exchange Rate Insurance Against Currency Attacks
Chiu, Y. Stephen - 2022
Both empirical and theoretical studies suggest that currency attacks can occur even in a fixed exchange rate regime with sound fundamentals. Can mechanisms be designed to prevent such currency attacks? To address this question, we first need a theory of currency crisis. I argue that such a...
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Sovereign Defaults and Currency Crashes : Insurance, Carry Trade, and Quanto
Georgievska, Ljubica - 2022
To what extent are currency crashes linked to sovereign defaults? Measuring their relationship is notoriously difficult because these are rare disaster events. I take a novel approach. I learn about the risk-neutral distribution of rare currency crushes from prices of far out-of-the-money (FOM)...
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Technical Trading Rule Profitability in Currencies : It’s All About Momentum
Hutchinson, Mark C.; Kyziropoulos, Panagiotis; O'Brien, John - 2022
Recent academic and practitioner attention has focused on currency momentum. In this paper we replicate technical trading rules to assess their relationship with momentum. From an investment perspective, the average out-of-sample pre-transaction cost Sharpe ratio of technical trading rules is...
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Paper Tigers? a Model of the Asian Crisis
Corsetti, Giancarlo; Pesenti, Paolo A.; Roubini, Nouriel - 2022
This paper develops an interpretation of the Asian meltdown focused on moral hazard as the common source of overinvestment, excessive external borrowing, and current account deficits. To the extent that foreign creditors are willing to lend to domestic agents against future bail-out revenue from...
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Varieties of Currency Crises
Kaminsky, Graciela - 2022
The plethora of currency crises around the world has fueled many theories on the causes of speculative attacks. The first-generation models focus on fiscal problems. The second-generation models emphasize countercyclical policies and self-fulfilling crises. In the 1990s, models pinpoint to...
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Boosting carry with equilibrium exchange rate estimates
Rubaszek, Michał; Beckmann, Joscha; Ca'Zorzi, Michele; … - 2022
We build currency portfolios based on the paradigm that exchange rates slowly converge to their equilibrium to highlight three results. First, this property can be exploited to build profitable portfolios. Second, the slow pace of convergence at short-horizons is consistent with the evidence of...
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FX liquidity risk and carry trade premia
Söderlind, Paul; Somogyi, Fabricius - 2022
The foreign exchange (FX) market is considered to be the largest and presumably most liquid financial market in the world. We show that even in this market exposure to liquidity risk commands a non-trivial risk premium of up to 3.6% per annum. In particular, systematic and currency-specific...
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Fix vs. float : evaluating the transition to a sustainable equilibrium in Bolivia
González, Andrés; Jafarov, Etibar; Rodríguez, Diego; … - 2022
Bolivia has achieved noteworthy success over the past 15 years in raising incomes, reducing poverty, and maintaining macroeconomic stability by deploying commodity revenues to finance transfers, public investment, and state-led development, using an exchange rate peg as a policy anchor. However,...
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Arbitraging covered interest rate parity deviations and bank lending
Keller, Lorena - 2021
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Carry trade returns and segmented risk pricing
Schulze, Gordon - In: Atlantic economic journal : AEJ 49 (2021) 1, pp. 23-40
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The relationship between carry trade and asset markets in South Africa
Bonga-Bonga, Lumengo; Maake, Tebogo - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-13
This paper investigates the extent of volatility or risk spillovers between the currency carry trade and asset markets, namely the equity and bond markets, in South Africa to infer the extent of the connectivity between the two markets. The carry trade operation examined in this paper involves...
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The pricing of unexpected volatility in the currency market
Lu, Wenna; Copeland, Laurence S.; Xu, Yongdeng - 2021
Many recent papers have investigated the role played by volatility in determining the cross-section of currency returns. This paper employs two time-varying factor models: a threshold model and a Markov-switching model to price the excess returns from the currency carry trade. We show that the...
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The cost of information in the blockchain : a discussion of Routledge and Zetlin-Jones (2018)
Sultanum, Bruno - 2021
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Global Access to Currency Speculation Through Application of Computer to the Inclusive Financial Market World
Dasel, Ribetan - 2021
The purpose of this paper is to examine the global access to currency speculation through application of computer to the inclusive financial market world. The paper discussed that advancement of technology based on the application of computer in the financial market world is quite important. The...
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Political Contagion in Currency Crises
Drazen, Allan - 2021
Existing models of contagious currency crises are summarized and surveyed, and it is argued that more weight should be put on political factors. Towards this end, the concept of political contagion introduced, whereby contagion in speculative attacks across currencies arises solely because of...
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The Mexican Peso Crisis : Sudden Death or Death Foretold?
Sachs, Jeffrey D.; Tornell, Aaron; Velasco, Andrés - 2021
We argue that allowing for the possibility of a self-fulfilling panic helps in understanding several features of the recent Mexican crisis. Self-fulfilling expectations became decisive in generating a panic only after the government ran down gross reserves and ran up short-term dollar debt. We...
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Emerging Market Currency Excess Returns
Gilmore, Stephen W.; Hayashi, Fumio - 2021
We discuss the foreign currency forward premium puzzle in the context of 20 internationally tradable emerging market currencies. We find that since the late 1990s the broad basket of emerging market currencies has provided significant equity-like excess returns against a number of major market...
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Speculative Attacks : Fundamentals and Self-Fulfilling Prophecies
Flood, Robert P.; Marion, Nancy Peregrim - 2021
We develop a modified understand better the 1994 Mexican peso crisis as well as aspects of the European currency crises in 1992-93. We introduce the assumption that the speculative attack is sterilized by the domestic monetary authority, we incorporate a stochastic risk premium, and we allow for...
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Currency Carry Trades and Global Funding Risk
Nissinen, Juuso; Suominen, Matti; Ferreira Filipe, Sara - 2021
We measure funding constraints in international currency markets by deviations in the covered interest rate parity. Our measure of funding risk is the standard deviation of the magnitude of the funding constraints. This funding risk measure appears to be driven by conditions in the financial...
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Perspectives on the Recent Currency Crisis Literature
Flood, Robert P.; Marion, Nancy Peregrim - 2021
In the 1990s, currency crises in Europe, Mexico and Southeast Asia have drawn worldwide attention to speculative attacks on government-controlled exchange rates. To improve our understanding of these events, researchers have undertaken new theoretical and empirical work. In this paper, we...
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Rational Speculation and Exchange Rates
Duarte, Margarida; Stockman, Alan C. - 2021
In this paper we develop a general equilibrium model of exchange rates where expectations of future variables directly affect the current exchange rate through an 'asset-market' term. This term, which results from the assumptions of incomplete asset markets and segmented product markets, does...
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A Model of Crises in Emerging Markets
Dooley, Michael P. - 2021
First generation models of speculative attacks show that apparently random speculative attacks on policy regimes can be fully consistent with rational and well-informed speculative behavior. Unfortunately, models driven by a conflict between exchange rate policy and other macroeconomic...
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Dollar Carry Timing
de Oliveira Souza, Thiago - 2021
Dollar carry trade risk premiums – unlike dollar-neutral or foreign exchange carry risk premiums – are positively correlated with firm-level dispersions in investment, profitability, and book-to-market in addition to the Treasury-bill rate, long term bond yield, term spread, and default...
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Dollar Carry Timing
de Oliveira Souza, Thiago - 2021
Dollar carry trade risk premiums - unlike dollar-neutral or foreign exchange carry risk premiums - are positively correlated with firm-level dispersions in investment, profitability, and book-to-market in addition to the Treasury-bill rate, long term bond yield, term spread, and default spread....
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When are Fixed Exchange Rates Really Fixed?
Velasco, Andrés - 2021
This paper analyzes the sustainability of fixed exchange rates by extending the Barro-Gordon framework to a fully dynamic context in which the level of a state variable (in this case debt) determines the payoffs available to the government at each point in time. The model yields the following...
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Why Clashes between Internal and External Stability Goals End in Currency Crises, 1797-1994
Bordo, Michael D.; Schwartz, Anna J. - 2021
We argue that recent currency crises reflect clashes between fundamentals and pegged exchange rates, just as did crises in the past. We reject the view that crises reflect self-fulfilling prophecies that are not closely related to measured fundamentals. Doubts about the timing of a market attack...
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The Long or Short of it : Determinants of Foreign Currency Exposure in External Balance Sheets
Lane, Philip R.; Shambaugh, Jay - 2021
A major focus of the recent literature on the determination of optimal portfolios in open-economy macroeconomic models has been on the role of currency movements in determining portfolio returns that may hedge various macroeconomic shocks. However, there is little empirical evidence on the...
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Carry Trade and Precautionary Saving of Foreign Currency Debt : Evidence from Korean Firms
Wu, Steve Pak Yeung; Lee, Annie Soyean - 2021
Substantially increased global corporate debt in the past decade revives macro stability concerns of foreign currency liability in emerging countries. Due to data unavailability, there is limited understanding of how the debt proceeds are used. We empirically study the use of proceeds of debt...
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Foreign Currency Borrowing of Corporations as Carry Trades : Evidence from India
Acharya, Viral V.; Vij, Siddharth - 2021
We establish that macroprudential controls limiting capital flows can curb risks arising from foreign currency borrowing by corporates in emerging markets. Firm-level data show that Indian firms issue more foreign currency debt when the interest rate differential between India and the United...
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The Forward Exchange Market, Speculation, and Exchange Market Intervention
Eaton, Jonathan; Turnovsky, Stephen J. - 2021
This paper develops a stochastic equilibrium model of an open economy incorporating speculation in the forward exchange market. The model is used to examine two issues. The first is the role of speculation in stabilizing the economy against stochastic disturbances. Much risk averse speculation...
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Policy Forum : Carrying on About Carrying on Business: A Response to 'The GST/HST Obligations of Non-Resident E-Commerce Firms'
Halpern-Shavim, Zvi - 2021
Non-resident suppliers of digital products and services are not required to collect and remit goods and services tax (GST)/harmonized sales tax (HST) if they are not "carrying on business" in Canada. The term "carrying on business" in Canada is not defined in the legislation. Leaving aside...
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Prospective Deficits and the Asian Currency Crisis
Burnside, A. Craig; Eichenbaum, Martin; Rebelo, Sergio T. - 2021
This paper argues that the recent Southeast Asian currency crisis was caused by large prospective deficits associated with implicit bailout guarantees to failing banking systems. We articulate this view using a simple dynamic general equilibrium model whose key feature is that a speculative...
Persistent link: https://ebtypo.dmz1.zbw/10013310547
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Carry Trades and Monetary Conditions
Falconio, Andrea - 2021
This paper investigates the relation between monetary conditions and the excess returns arising from currency carry trades. The results indicate that carry trade average return, Sharpe ratio and downside risk differ substantially across monetary conditions before the onset of the financial...
Persistent link: https://ebtypo.dmz1.zbw/10013310704
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Carry Trades and Monetary Conditions
Falconio, Andrea - 2021
This paper investigates the relation between monetary conditions and the excess returns arising from an investment strategy that consists of borrowing low-interest rate currencies and investing in currencies with high interest rates, so-called "carry trade". The results indicate that carry trade...
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