Search Results - subject_exact:"Forward exchange market"

Demand for dollars : evidence from survey expectations

Ballensiefen, Benedikt; Somogyi, Fabricius; Winterberg, … - 2026

We study the determinants of US dollar demand across market participants and traded instruments using survey-based exchange rate and macroeconomic expectations. Leveraging granular FX trading data and forward looking expectations, we present three results. First, currency investors increase...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015605616

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Demand for dollars : evidence from survey expectations

Ballensiefen, Benedikt; Somogyi, Fabricius; Winterberg, … - 2026 - This version: 26 April 2026

Edition: This version: 26 April 2026

Book / Working Paper

Forward exchange market transitional policy modeling : the case of the Japanese yen

Hudgins, David; Crowley, Patrick M. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015550905

Volatility modelling : what drives CEE currency option prices?

Mielus, Piotr - 2026

This paper investigates the drivers of foreign exchange implied volatility in Central and Eastern European (CEE) countries. Currencies in non-euro EU countries are particularly sensitive to changes in market sentiment. Risk aversion significantly impacts the implied volatility surface for FX...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015639172

Geopolitics of central bank foreign exchange swap line networks

Horváth, Marcell - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015635682

A note on currency hedging of dollar investments of Swiss investors 1974-2025

Kugler, Peter - 2026

Our econometric (cointegration) analysis of the Swiss franc US dollar exchange rates over the period 1974 - 2025 provides strong evidence for a negative bias of the forward rate as predictor of the spot rate for the years up to 2007, which disappears with data from 2008 onwards. This implies...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015635688

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

CIP violations as functional components of the dynamic cross-currency basis curve

Borner, David; Sorg, Heiko - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015672534

Optimal currency strategies under deviations from interest parity

Viceira, Luis M.; Shen, Sally - 2026 - This version: July 1, 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015677405

Triangular speculative attacks

Alaminos, David - 2026

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

The usefulness of the currency constraint for predicting forex

Khansalar, Ehsan - 2025

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

Existing cooperation mechanisms of BRICS countries : a case study of the new development bank and currency swap agreements

Yu, Poshan; Zhang, Yupian; Wang, Yansong - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015651726

The implications of CIP deviations for international capital flows

Kubitza, Christian; Sigaux, Jean-David; Vandeweyer, Quentin - 2025

We study the implications of deviations from covered interest rate parity for international capital flows using novel data covering euro-area derivatives and securities holdings. Consistent with a dynamic model of currency risk hedging, we document that investors' holdings of USD bonds decrease...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015330343

The announcement effect on international currency choices : theory and evidence

Han, Han; Liu, Tao; Lu, Dong - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015574495

US ($) interest rate and cross currency swaps after the LIBOR funeral : a corporate treasury primer

Heidorn, Thomas; Liem, Erik; Requardt, Stefan; … - 2025

This paper examines the transition from LIBOR to SOFR in the US and maps out the consequences for European corporate treasurers by showing how the application of SOFR in cash products and derivatives differs from LIBOR. As interest rate and cross-currency swaps transition to compounded SOFR,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015333448

Assessing the readiness of the Chiang Mai Initiative Multilateralization : can it effectively address future crises?

Suk, Hyun; Kim, Seong-Hoon - 2025

This study evaluates the effectiveness of the Chiang Mai Initiative Multilateralization (CMIM) in safeguarding financial stability among members of the Association of Southeast Asian Nations (ASEAN) plus Japan, the People's Republic of China, and the Republic of Korea-particularly in response to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464794

Optimizing currency factors

Fan, Minyou; Kearney, Fearghal; Li, Youwei; Liu, Jiadong - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015470992

Mispricing and risk premia in currency markets

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

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

Liquidity risk and currency premia

Söderlind, Paul; Somogyi, Fabricius - 2025

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

Does financial innovation lead to technological innovation? : evidence from foreign exchange derivatives

Dimitrova, Lora; Eswar, Sapnoti K. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015436798

Central Bank-driven mispricing

Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015564574

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Central bank-driven mispricing

Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: August 2018

Edition: This version: August 2018

Book / Working Paper

Central bank-driven mispricing

Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: October 2018

Edition: This version: October 2018

Book / Working Paper

Enterprise risk management and foreign currency derivatives usage

Han, Xu; Laing, Elaine - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015506580

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Enterprise risk management and foreign currency derivatives usage

Han, Xu; Laing, Elaine - 2025

Article

Demand-driven risk premia in foreign exchange and bond markets

Krohn, Ingomar; Uthemann, Andreas; Vala, Rishi; Yang, Jun - 2025 - Last updated: November 3, 2025

We establish an empirical framework that causally identifies how Treasury demand shocks transmit across foreign exchange and global bond markets, providing direct validation of quantity-driven theories of international risk premia. Our identification exploits predetermined auction supply to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015607894

FX debt and optimal exchange rate hedging

Alfaro, Laura; Caballero, Julián; Hardy, Bryan - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015610385

The determinant factors of hedging and speculation with foreign exchange derivatives of Brazilian private firms

Oliveira, Fernando Nascimento de - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015597169

The hedging of currency risk for U.S. equity investors

Conover, C. Mitchell; Garcia-Feijoo, Luis; Silverstein, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015482932

Heterogeneous strategies and financial (under)development: unintended consequences of FX policy and regulation on firms hedging

Medellín, Juan Camilo; Restrepo-Ángel, Sergio - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015560925

Is foreign exchange intervention through derivative instruments effective? : an analysis of the Peruvian case

Abanto Salcedo, Flavio - 2024

This paper presents an empirical analysis of the effectiveness of foreign exchange (FX) intervention in Peru, with emphasis on the intervention carried out through derivative instruments. I use two different but related approaches to estimate the impact of these kind of interventions between...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015053909

Real consequences of shocks to intermediaries supplying corporate hedging instruments

Jung, Hyeyoon - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015371012

Constructing high-frequency monetary policy surprises from SOFR futures

Acosta, Miguel; Brennan, Connor M.; Jacobson, Margaret M. - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015055664

Exchange rates, uncovered interest parity, and time-varying fama regressions

Fu, Bowen; Li, Mengheng; Haque, Qazi - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015372763

Search frictions in over-the-counter foreign exchange markets : theory and evidence

Lu, Dong; Puzzello, Daniela; Zhu, Aiyong - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015473025

Dynamics of foreign exchange futures trading volumes in Thailand

Woradee Jongadsayakul - 2024

Following the introduction of EUR/USD futures and USD/JPY futures on 31 October 2022, Thailand Futures Exchange first entered the top 11 list of derivatives exchanges based on foreign exchange derivative volumes in 2022. This paper investigates the dynamics of foreign exchange futures trading...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015066375

Foreign exchange fixings and returns around the clock

Krohn, Ingomar; Mueller, Philippe; Whelan, Paul - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014486428

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Foreign exchange fixings and returns around the clock

Krohn, Ingomar; Mueller, Philippe; Whelan, Paul - 2021 - Last updated: October 6, 2021

Edition: Last updated: October 6, 2021

Book / Working Paper

Foreign Exchange Fixings and Returns Around the Clock

Krohn, Ingomar - 2020

Book / Working Paper

Unconventional monetary policies and foreign exchange swaps : the case of Turkey

Eksi, Ozan; Stetsyuk, Ivan - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015447330

Macro-financial models of Canadian dollar interest rate swap yields

Akram, Tanweer; Mamun, Khawaja - 2024

This paper analyzes the dynamics of Canadian dollar-denominated (CAD) interest rate swap yields. It applies autoregressive distributive lag (ARDL) models, using monthly time series data, to estimate the effects of the current short-term interest rate and other relevant macro-financial variables...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015152683

Foreign exchange derivatives

Fabozzi, Frank J.; Konstantinov, Gueorgui; Vohra, Suprita - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015434548

Application of FX options in portfolio management

Vohra, Suprita - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015434672

Does the interest parity puzzle hold for Central and Eastern European economies?

Da̜browski, Marek A.; Janus, Jakub - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015127077

The price discovery in the renminbi/USD market : two spot, two swap, and three forward FX rates

Kitamura, Yoshihiro - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015149283

FX forward contracts for portfolio management applications

Elkamhi, Redouane; Lee, Jacky S. H.; Salerno, Marco - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015434673

Currency hedging with a derivatives overlay

Vatanen, Kari - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015434683

Hunting for dollars

Kloks, Pēteris; Mattille, Edouard; Ranaldo, Angelo - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015115169

Foreign exchange hedging using regime-switching models : the case of pound sterling

Lee, Taehyun; Moutzouris, Ioannis C.; Papapostolou, Nikos C. - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015337841

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Foreign exchange hedging using regime-switching models : the case of pound sterling

Lee, Taehyun; Moutzouris, Ioannis C; Papapostolou, Nikos C - 2023

Book / Working Paper

Do currency interventions affect corporate hedging? : firm-level evidence from India

Sikarwar, Ekta - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015444897

The pass-through of macro variable to volatility co-movement among US currency and commodity futures markets system

Dai, Xingyu; Yousaf, Imran; Wang, Jiqian; Wang, Qunwei; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015426509

Changes in risk perceptions on yen interest rates and exchange rates observed in options markets : developments in implied probability distributions amid rate hikes in the United States and Europe from 2022 to 2023

Yoneyama, Akihito; Tsuchiya, Akitaka; Fukuma, Noritaka - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015187808

FX Open Forward

Hok, Julien; Tse, Alex S. L. - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015196869

Yields : the Galapagos syndrome of cryptofinance

Meister, Bernhard K.; Price, Henry C. W. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015426673

Forward looking exporters

Soyres, François de; Frohm, Erik; Highkin, Emily; Mix, … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015556747

The predictability of technical analysis in foreign exchange market using forward return : evidence from developed and emerging currencies

Ghanem, Seri; Harasheh, Murad; Sbaih, Qays; Ajmal, T. K. - 2024

Technical analysis in the foreign exchange (Forex) market has yielded mixed results, particularly regarding its effectiveness over different holding periods in swing trading. This study addresses this gap by evaluating 497 technical trading rules across 10 currencies over 22 years (January 2000...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015449178