EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Research Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject_exact:"Foreign exchange futures"
Narrow search

Attention

ZBW has fallen victim to a cyber attack.For this reason, EconBiz was offline for several weeks. Many EconBiz services are now online again. Please excuse the circumstances!
Details  Contact

Narrow search

Year of publication
Subject
All
Currency derivative 2,586 Währungsderivat 2,586 Theorie 1,096 Theory 1,096 Wechselkurs 553 Exchange rate 548 Foreign exchange market 425 Devisenmarkt 424 USA 400 Hedging 398 United States 398 Risikoprämie 341 Risk premium 340 Estimation 308 Schätzung 308 Derivat 293 Derivative 293 Volatilität 270 Volatility 269 Welt 264 World 264 Interest rate parity 218 Zinsparität 218 Währungsrisiko 192 US-Dollar 184 US dollar 183 Exchange rate risk 181 Optionspreistheorie 181 Option pricing theory 180 Yield curve 171 Zinsstruktur 171 Foreign exchange management 156 Währungsmanagement 156 Japan 148 Deutschland 138 Germany 136 Efficient market hypothesis 128 Effizienzmarkthypothese 128 Großbritannien 124 United Kingdom 124
more ... less ...
Online availability
All
Free 567 Undetermined 260
Type of publication
All
Article 1,443 Book / Working Paper 1,183 Journal 2
Type of publication (narrower categories)
All
Article in journal 1,337 Aufsatz in Zeitschrift 1,337 Graue Literatur 462 Non-commercial literature 462 Working Paper 449 Arbeitspapier 448 Aufsatz im Buch 86 Book section 86 Hochschulschrift 75 Thesis 70 Collection of articles of several authors 23 Lehrbuch 23 Sammelwerk 23 Textbook 21 Bibliografie enthalten 16 Bibliography included 16 Collection of articles written by one author 12 Sammlung 12 Glossar enthalten 10 Glossary included 10 Ratgeber 10 Guidebook 9 Handbook 8 Handbuch 8 Systematic review 6 Übersichtsarbeit 6 Aufsatzsammlung 5 Conference paper 5 Konferenzbeitrag 5 Konferenzschrift 5 Conference proceedings 4 Formelsammlung 4 Bibliografie 3 Amtsdruckschrift 2 Bibliographie 2 Diskette 2 Floppy disk 2 Government document 2 Nachschlagewerk 2 No longer published / No longer aquired 2
more ... less ...
Language
All
English 2,402 German 121 Spanish 29 French 27 Undetermined 20 Italian 10 Dutch 4 Polish 4 Portuguese 4 Hungarian 3 Czech 2 Finnish 2 Russian 1 Turkish 1
more ... less ...
Author
All
Broll, Udo 59 Zilcha, Itzhak 27 Wahl, Jack E. 25 Taylor, Mark P. 20 Baba, Naohiko 16 Bernoth, Kerstin 16 Hagen, Jürgen von 16 Kit, Pong Wong 16 McCurdy, Thomas H. 15 Näslund, Bertil 15 Hodrick, Robert J. 14 Jennergren, Lars Peter 14 Levich, Richard M. 14 Baillie, Richard 13 Dumas, Bernard 13 Vries, Casper G. de 13 Morgan, Ieuan G. 12 Sarno, Lucio 12 Cheung, Yin-Wong 11 Frankel, Jeffrey A. 11 Röthig, Andreas 11 Tornell, Aaron 11 Wolff, Christiaan Cornelis Petrus 11 MacDonald, Ronald 10 Moore, Michael J. 10 Tucker, Alan L. 10 Engel, Charles 9 Ghosh, Dilip K. 9 Gourinchas, Pierre-Olivier 9 Hakkio, Craig S. 9 Obstfeld, Maurice 9 Sercu, Piet 9 Thomas, Lee R. 9 Tse, Yiuman 9 Batten, Jonathan A. 8 Bekaert, Geert 8 Boucher Breuer, Janice 8 Chesney, Marc 8 Clarida, Richard H. 8 Hau, Harald 8
more ... less ...
Institution
All
National Bureau of Economic Research 51 International Monetary Fund (IMF) 7 Internationaler Währungsfonds / Research Department 5 European University Institute / Department of Economics 4 Federal Reserve Bank of Kansas City 4 Federal Reserve Bank of Atlanta 3 Federal Reserve Bank of New York 3 Bundesverband Deutscher Banken / Kommission für Bilanzierungsfragen 2 Chambre de commerce et d'industrie de Paris 2 Ekonomiska forskningsinstitutet <Stockholm> 2 Federal Reserve Board (Board of Governors of the Federal Reserve System) 2 Internationaler Währungsfonds 2 Springer Fachmedien Wiesbaden 2 University of Adelaide / School of Economics 2 Arthur Andersen und Co. <Düsseldorf> 1 Association Luxembourgeoise des Juristes de Banque 1 Banco Central de la República Dominicana <Santo Domingo> 1 Banque cantonale vaudoise 1 Banque de France / Direction des Etudes Economiques et de la Recherche 1 Basel Committee on Banking Supervision 1 Caja de Ahorros del Mediterráneo <Alicante> 1 Canadian International Futures Conference and Research Seminar <4, 1988, Toronto> 1 Canadian Securities Institute <Toronto> 1 Center for Strategic and International Studies / Freeman Chair in China Studies 1 Centre for Analytical Finance <Århus> 1 Chicago Mercantile Exchange 1 Commodity Research Bureau 1 Conference on "Currency Risk Management" <2017, Visakhapatnam> 1 Deloitte Touche Tohmatsu <New York, NY> 1 Erasmus Research Institute of Management 1 Federal Reserve Bank of Cleveland 1 Foerder Institute for Economic Research <Tēl-Āvîv> 1 GITAM Institute of Management 1 Graduate School of Business Administration 1 India / Forward Markets Commission 1 Indian Council for Research on International Economic Relations 1 Institut Universitaire International de Luxembourg 1 Institute of Financial Markets 1 Instituto Valenciano de Investigaciones Económicas 1 Instytut Finansów <Warschau> 1
more ... less ...
Published in...
All
The journal of futures markets 115 Journal of international money and finance 84 NBER working paper series 51 Working paper / National Bureau of Economic Research, Inc. 38 Journal of international financial markets, institutions & money 35 Journal of banking & finance 30 NBER Working Paper 30 Applied financial economics 23 Economics letters 23 Discussion paper / Centre for Economic Policy Research 22 Global finance journal 20 International review of economics & finance : IREF 19 Journal of financial and quantitative analysis : JFQA 19 IMF working paper 18 International review of financial analysis 16 Journal of international economics 16 Wiley trading series 16 Journal of empirical finance 15 Advances in futures and options research : a research annual 14 Discussion paper 14 Finance research letters 14 Journal of financial economics 14 Applied economics 13 The European journal of finance 13 The journal of finance : the journal of the American Finance Association 13 European economic review : EER 12 International journal of theoretical and applied finance 12 Journal of multinational financial management 12 Beiträge des Fachbereichs Wirtschaftswissenschaften der Universität Osnabrück 11 EUI working paper / ECO 11 Working paper 11 Economic modelling 10 International journal of finance & economics : IJFE 10 Journal of foreign exchange and international finance : JFEIF 10 Open economies review 10 Pacific-Basin finance journal 10 The North American journal of economics and finance : a journal of financial economics studies 10 Applied economics letters 9 Die Bank 9 Discussion papers / CEPR 9
more ... less ...
Source
All
ECONIS (ZBW) 2,586 RePEc 23 USB Cologne (EcoSocSci) 18 EconStor 1
Showing 1 - 50 of 2,628
Cover Image
Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi - 2023
Persistent link: https://ebtypo.dmz1.zbw/10013502696
Saved in:
Cover Image
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
Persistent link: https://ebtypo.dmz1.zbw/10012819558
Saved in:
Cover Image
The no-arbitrage hypothesis and inertia in forward markets
Ferreira García, José Luis; Kujal, Praveen; Rassenti, … - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013256972
Saved in:
Cover Image
Cross-currency credit spreads : harvesting the idiosyncratic basis as a source of ARP
Henide, Karim - In: Journal of derivatives and quantitative studies 30 (2022) 2, pp. 74-88
This paper identifies the "idiosyncratic basis", the residual premia computed from stripping away the hypothetical cross-currency basis (CCB) from the cross-currency credit spread (CCCS) of eligible senior corporate dollardenominated bonds relative to their hypothetical euro-denominated...
Persistent link: https://ebtypo.dmz1.zbw/10013202388
Saved in:
Cover Image
A new test for market efficiency and uncovered interest parity
Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - 2022 - This draft: November 3, 2022
Persistent link: https://ebtypo.dmz1.zbw/10013502181
Saved in:
Cover Image
Market-based monetary policy uncertainty
Bauer, Michael D.; Lakdawala, Aeimit; Mueller, Philippe - In: The economic journal : the journal of the Royal … 132 (2022) 644, pp. 1290-1308
Persistent link: https://ebtypo.dmz1.zbw/10013253928
Saved in:
Cover Image
Demand-supply imbalance risk and long-term swap spreads
Hanson, Samuel G.; Malkhozov, Aytek; Venter, Gyuiri - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013172797
Saved in:
Cover Image
FX option volume
Czech, Robert; Della Corte, Pasquale; Huang, Shiyang; … - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013185961
Saved in:
Cover Image
India's external commercial borrowings : determinants and optimal hedge ratio
Ranjeev - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013399884
Saved in:
Cover Image
Lending relationships and currency hedging
Leão, Sérgio; Schiozer, Rafael Felipe; Oliveira, Raquel F. - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013461211
Saved in:
Cover Image
Oil and GCC foreign exchange forward markets : a wavelet analysis
Al-Maskati, Nawaf - In: Borsa Istanbul Review 22 (2022) 5, pp. 1039-1044
We examine the relationship between oil as a major export for the member countries of the Gulf Cooperation Council (GCC) and the forward levels of all GCC currencies using wavelet analysis. We find that oil and GCC forward markets have significant but weak relationships at high frequencies. We...
Persistent link: https://ebtypo.dmz1.zbw/10013426760
Saved in:
Cover Image
Foreign exchange markets, behavior of options volatility and bid-ask spread around macroeconomic announcements
Ishfaq, Muhammad; Muhammad Usman Arshad; Durrani, … - In: Cogent economics & finance 10 (2022) 1, pp. 1-28
The purpose of this study is to examine the role of options volatility and bid-ask spread as microstructural variables in determining whether the foreign exchange market’s price formation process in response to macroeconomic announcements is characterised by changes in risk perception and...
Persistent link: https://ebtypo.dmz1.zbw/10013431442
Saved in:
Cover Image
Investigation on transition of RMB forward exchange rate pricing mechanism based on error correction model with structural mutation
Wang, Hua; Zhu, Junjun - In: International journal of financial engineering 9 (2022) 3, pp. 2250006-1-2250006-17
Persistent link: https://ebtypo.dmz1.zbw/10013367623
Saved in:
Cover Image
Central bank swap lines : micro-level evidence
Ferrara, Gerardo; Mueller, Philippe; Viswanath-Natraj, … - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013272068
Saved in:
Cover Image
King U.S. Dollar, Global Risks, and Currency Option Premiums
Bakshi, Gurdip; Londono, Juan M. - 2022
Does the primacy of the U.S. dollar affect the pricing of risks in the currency options market? Our findings rely on a daily option panel of 15 currencies. This analysis reveals that (i) put risk premiums are negative, implying across-the-board interest in hedging foreign currency depreciations;...
Persistent link: https://ebtypo.dmz1.zbw/10013290134
Saved in:
Cover Image
Establishing a Foreign Exchange Futures Market in China
Jin, Zhongxia; Zhao, Yue; Wang, Haobin - 2022
During China’s transition toward a more flexible exchange rate, it is essential to further develop its foreign exchange (FX) derivatives markets to meet the growing hedging needs associated with greater exchange rate fluctuations. Although over-the-counter (OTC) FX derivatives markets already...
Persistent link: https://ebtypo.dmz1.zbw/10013306726
Saved in:
Cover Image
Foreign Currency Futures
Hodrick, Robert J.; Srivastava, Sanjay - 2022
The theoretical nature of risk premiums in foreign currency futures markets is derived and studied empirically. Estimation problems encountered in using futures data are discussed. Since forward rates and futures prices are demonstrated to be approximately equal, and because risk premiums in...
Persistent link: https://ebtypo.dmz1.zbw/10013324642
Saved in:
Cover Image
Foreign Exchange Swaps and Cross-Currency Swaps
Ranaldo, Angelo - 2022
In the first part of this chapter, we explain the main characteristics of foreign exchange (FX) swap and cross-currency swap contracts. We emphasize the importance of the valuation adjustment (XVA) approach and then map the FX swap market in terms of currencies, parties, maturities, and size....
Persistent link: https://ebtypo.dmz1.zbw/10013405554
Saved in:
Cover Image
Sovereign Credit Default Swaps and the Currency Forward Bias
Calice, Giovanni; Lin, Ming-Tsung - 2022
We study the links between sovereign credit risk and the currency forward bias. In a setting of defaultable sovereign bonds, we show that the forward bias can be linked negatively to sovereign credit risk. We confirm empirically that the forward bias is negatively associated to sovereign CDS...
Persistent link: https://ebtypo.dmz1.zbw/10013289311
Saved in:
Cover Image
Forward Premium Anomaly Resolved
Chakraborty, Nilanjana; Elgammal, Mohammed; McMillan, … - 2022
This paper propounds that the Forward Premium Anomaly (FPA) arises due to misspecification in the extant empirical models, where ratios of the concerned variables are studied instead of their levels themselves. We study these variables directly instead of their ratios for 22 currency pairs from...
Persistent link: https://ebtypo.dmz1.zbw/10013492365
Saved in:
Cover Image
A New Testable Theory on Deviations from Covered Interest Rate Parity
Babatunde Salako, Abdul-Muttolib - 2022
Suppose a rational agent can invest in domestic bonds (Euro (EUR) corporates) and foreign bonds (Dollar (USD) corporates) hedged into EUR using cross-currency swaps. Let xccy represent the cross-currency basis spread of the FX hedging, where xccy measures deviations from covered interest parity...
Persistent link: https://ebtypo.dmz1.zbw/10013403972
Saved in:
Cover Image
Price-Setting in the Foreign Exchange Swap Market : Evidence from Order Flow
Syrstad, Olav; Viswanath-Natraj, Ganesh - 2022
Using transaction level data from the inter-dealer market, we find that the price impact of one standard deviation change in FX swap order flow has increased from less than one basis point prior to 2008 to about five basis points after 2008. However, the increase in price impact is confined to...
Persistent link: https://ebtypo.dmz1.zbw/10013406893
Saved in:
Cover Image
Multiple Testing of the Forward Rate Unbiasedness Hypothesis Across Currencies
Fu, Hsuan; Luger, Richard - 2022
We develop exact distribution-free test procedures for joint inference about the forward rate unbiasedness hypothesis (FRUH) across multiple currencies. The procedures can be applied with either levels or differences specifications. This unified approach proceeds with sign and signed rank tests...
Persistent link: https://ebtypo.dmz1.zbw/10013403075
Saved in:
Cover Image
Foreign Exchange Options on Heston-CIR Model Under Levy Process Framework
ASCIONE, GIACOMO; Mehrdoust, Farshid; Orlando, Giuseppe; … - 2022
In this paper, we consider the Heston-CIR model with Levy process for pricing in the foreign exchange (FX) market by providing a new formula that better fits the distribution of prices. To do that, first, we study the existence and uniqueness of the solution to this model. Second, we examine the...
Persistent link: https://ebtypo.dmz1.zbw/10013403184
Saved in:
Cover Image
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...
Persistent link: https://ebtypo.dmz1.zbw/10013403384
Saved in:
Cover Image
The impact of exchange rate futures fluctuations on macroeconomy : evidence from ten trading market
Yang, Hao-Chang; Syarifuddin, Ferry; Chang, Chun Ping; … - In: Emerging markets, finance and trade : EMFT 58 (2022) 8, pp. 2300-2313
Persistent link: https://ebtypo.dmz1.zbw/10013190360
Saved in:
Cover Image
Dynamic currency hedging with ambiguity
Polak, Pawel; Ulrych, Urban - 2021 - This version: August 2021
Persistent link: https://ebtypo.dmz1.zbw/10012614590
Saved in:
Cover Image
Export under risk and expectation dependence
Broll, Udo; Pelster, Matthias; Kit, Pong Wong - 2021
Abstracting from self-protection and self-insurance e ects of export produc-tion choices, exporting rms usually have access to a number of risk sharingmarkets that have an efficient risk management role. Two of the most strikingresults achieved from the existence of risk sharing markets are the...
Persistent link: https://ebtypo.dmz1.zbw/10012514017
Saved in:
Cover Image
The dynamics of foreign exchange derivative use in China
Sun, Yidi; Morley, Bruce - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-18
The aim of this study is to determine the main factors affecting the use of foreign exchange hedging instruments by Chinese firms, following their regulatory changes in the derivative markets. The original contributions to this literature include the use of a panel dataset of 316 Chinese firms...
Persistent link: https://ebtypo.dmz1.zbw/10012622444
Saved in:
Cover Image
Establishing a foreign exchange futures market in China
Jin, Zhongxia; Zhao, Yue; Wang, Haobin - 2021
During China's transition toward a more flexible exchange rate, it is essential to further develop its foreign exchange (FX) derivatives markets to meet the growing hedging needs associated with greater exchange rate fluctuations. Although over-the-counter (OTC) FX derivatives markets already...
Preview
Preview
Persistent link: https://ebtypo.dmz1.zbw/10012796195
Saved in:
Cover Image
Deviations from covered interest parity in the emerging markets after the 2008 global financial crisis
Geyikçi, Utku Bora; Özyıldırım, Süheyla - 2021
Persistent link: https://ebtypo.dmz1.zbw/10013169965
Saved in:
Cover Image
The frequency of one-day abnormal returns and price fluctuations in the FOREX
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - In: Journal of applied economics 24 (2021) 1, pp. 401-415
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX over the period 1994-2019. The following hypotheses are tested: frequency of abnormal returns is asignificant driver of price movements (H1); it does not exhibit seasonal patterns (H2); it is stable over...
Persistent link: https://ebtypo.dmz1.zbw/10013174306
Saved in:
Cover Image
A macroeconomic perspective on Brazilian FX swaps
Costa Filho, Adonias Evaristo da - In: Brazilian review of econometrics : BRE ; the review of … 41 (2021) 1, pp. 101-124
Persistent link: https://ebtypo.dmz1.zbw/10013382019
Saved in:
Cover Image
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors : A Step Beyond
Clarida, Richard; Sarno, Lucio; Taylor, Mark P.; … - 2021
A large literature suggests that standard exchange rate models cannot outperform a random walk forecast and that the forward rate is not an optimal predictor of the spot rate. However, there is evidence that the term structure of forward premia contains valuable information for forecasting...
Persistent link: https://ebtypo.dmz1.zbw/10013220936
Saved in:
Cover Image
Central Bank Participation in Currency Options Markets
2021
This paper analyzes whether and how central banks can use currency options to lower exchange rate volatility and maintain (implicit) target zones in foreign exchange markets. It argues that selling rather than buying options will result in market makers dynamically hedging their long option...
Persistent link: https://ebtypo.dmz1.zbw/10013212109
Saved in:
Cover Image
Exchange Rate Dynamics, Learning and Misperception
Gourinchas, Pierre-Olivier; Tornell, Aaron - 2021
We propose a new explanation for the forward-premium and the delayed-overshooting puzzles. Both puzzles arise from a systematic under-reaction of short-term interest rate forecasts to current innovations. Accordingly, the forward premium is always a biased predictor of future depreciation; the...
Persistent link: https://ebtypo.dmz1.zbw/10013214581
Saved in:
Cover Image
Exchange Rate Dynamics and Learning
Gourinchas, Pierre-Olivier; Tornell, Aaron - 2021
Interest rate expectations are essential for exchange rate determination. Using a unique Survey data set on interest rate forecasts from 1986 to 1995 for G7 countries, we find that interest rate shocks were significantly more persistent in sample than expected by the market. This is consistent...
Persistent link: https://ebtypo.dmz1.zbw/10013247648
Saved in:
Cover Image
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...
Persistent link: https://ebtypo.dmz1.zbw/10013247678
Saved in:
Cover Image
An Empirical Analysis of the Relationship between Currency Futures Andcurrency Exchange Rate, Economical Formulas, Prediction Models and Volatility in India with Reference to US Do...
Nagarajan, G; Subburao, Nagaraj; KR, Lasya - 2021
One of the world's largest financial markets is the “global foreign exchange market,” with average daily trades in trillions of dollars. The forex market is the backbone of international trade, global investing, and is critical to support imports and exports. The exchange rate is one of the...
Persistent link: https://ebtypo.dmz1.zbw/10013248473
Saved in:
Cover Image
Realignment Risk and Currency Option Pricing in Target Zones
Dumas, Bernard; Jennergren, L. Peter; Näslund, Bertil - 2021
This paper extends the Krugman target zone model by including a realignment mechanism. Various properties of that realignment mechanism are discussed. The movement of the exchange rate is governed both by a Wiener process on fundamental and by a Poisson jump process with endogenous realignment...
Persistent link: https://ebtypo.dmz1.zbw/10013243380
Saved in:
Cover Image
Jumpstarting an International Currency
Bahaj, Saleem; Reis, Ricardo - 2021
Monetary and financial policies that lower the cost of credit for working capital in a currency outside of its country can provide the impetus for that currency to be used in international trade. This paper shows this in theory, by exploring the complemen-tarity in the currency used for...
Persistent link: https://ebtypo.dmz1.zbw/10013243897
Saved in:
Cover Image
Fixes : Of the Forward Discount Puzzle
Flood, Robert P.; Rose, Andrew Kenan - 2021
Regressions of ex post changes in floating exchange rates on appropriate interest differentials typically imply that the high- interest rate currency tends to appreciate, the `forward discount puzzle.' Using data from the European Monetary System, we find that a large part of the forward...
Persistent link: https://ebtypo.dmz1.zbw/10013310558
Saved in:
Cover Image
Interest Rate Markets & The Forward Rate - Discount Factor Relationship Explained
Burgess, Nicholas - 2021
In this paper we illustrate and explain the relationship between interest rates (or forward rates) and discount factors. We present the forward-discount factor relationship, which is popular and widely used in financial markets for yield curve construction, and derive the exact formulae using a...
Persistent link: https://ebtypo.dmz1.zbw/10013310589
Saved in:
Cover Image
Offshore Currency Markets : Non-Deliverable Forwards (NDFs) in Asia
Schmittmann, Jochen; Teng, Chua Han - 2021
Non-deliverable forward (NDF) markets in many Asian emerging market currencies are large, rapidly growing, and often exceed onshore markets in transaction volume. NDFs tend to price significant depreciation during market stress episodes including COVID-19. Spillovers from NDFs to onshore markets...
Persistent link: https://ebtypo.dmz1.zbw/10013315112
Saved in:
Cover Image
The Forward Premium Puzzle Revisited
Meredith, Guy; Ma, Yue - 2021
The forward premium is a notoriously poor predictor of exchange rate movements. This failure must reflect deviations from risk neutrality and/or rational expectations. In addition, a mechanism is needed that generates the appropriate correlation between the forward premium and shocks arising...
Persistent link: https://ebtypo.dmz1.zbw/10013317944
Saved in:
Cover Image
Cross-Dynamics of Volatility Term Structures Implied by Foreign Exchange Options
Krylova, Elizaveta; Nikkinen, Jussi; Vähämaa, Sami - 2021
This paper examines the cross-dynamics of volatility term structures implied by foreign exchange options. The data used in the empirical analysis consist of daily observations of implied volatilities for OTC options on the euro, Japanese yen, British pound, Swiss franc, and Canadian dollar,...
Persistent link: https://ebtypo.dmz1.zbw/10013318310
Saved in:
Cover Image
Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution
Pesaran, Bahram; Pesaran, M. Hashem - 2021
This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...
Persistent link: https://ebtypo.dmz1.zbw/10013316934
Saved in:
Cover Image
Covered Interest Arbitrage : Then vs. Now
Juhl, Ted; Miles, William; Weidenmier, Marc - 2021
We introduce a new weekly database of spot and forward US-UK exchange rates as well as interest rates to examine the integration of forward exchange markets during the classical gold standard period (1880-1914). Using threshold autoregressions (TAR), we estimate the transactions cost band of...
Persistent link: https://ebtypo.dmz1.zbw/10013223800
Saved in:
Cover Image
On Biases in the Measurement of Foreign Exchange Risk Premiums
Bekaert, Geert; Hodrick, Robert J. - 2021
The hypothesis that the forward rate is an unbiased predictor of the future spot rate has been consistently rejected in recent empirical studies. This paper examines several sources of measurement error and misspecification that might induce biases in such studies. Although previous inferences...
Persistent link: https://ebtypo.dmz1.zbw/10013218821
Saved in:
Cover Image
Exchange Rate Expectations and the Risk Premium : Tests for a Cross- Section of 17 Currencies
Chinn, Menzie David; Frankel, Jeffrey A. - 2021
Survey data on a broad cross section of 17 currencies are used to determine whether the forward discount moves primarily in response to changes in expectations of depreciation, or in the risk premium. We find that changes in expected depreciation are quantitatively significant. However we also...
Persistent link: https://ebtypo.dmz1.zbw/10013226178
Saved in:
  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...