Search Results - subject_exact:"Devisenmarkt"

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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656136

FX Illiquidity networks and vehicle currencies

Pantalfini, Matteo - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015647638

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015664879

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015667604

Stablecoin flows and spillovers to FX markets

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

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015668251

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

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

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015669071

Informal foreign currency market rate coordination and remittance flows

Gurira, Primrose; Parwada, Jerry T. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015546597

The usefulness of the currency constraint for predicting forex

Khansalar, Ehsan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015547138

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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015194391

Event-driven changes in volatility connectedness in global forex markets

Albrecht, Peter; Kočenda, Evžen - 2025

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195774

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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015447876

Mispricing and risk premia in currency markets

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

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015405675

Liquidity risk and currency premia

Söderlind, Paul; Somogyi, Fabricius - 2025

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015412338

Towards a neutral monetary policy in 2025

Jensen, Teis Hald - 2025

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015457851

Dollar funding fragility and non-US global banks

Bacchetta, Philippe; Davis, Scott; Van Wincoop, Eric - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015445606

Constrained liquidity provision in currency markets

Huang, Wenqian; Ranaldo, Angelo; Schrimpf, Andreas; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015564650

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Constrained liquidity provision in currency markets

Huang, Wenqian; Ranaldo, Angelo; Schrimpf, Andreas; … - 2024

Book / Working Paper

Constrained liquidity provision in currency markets

Huang, Wenqian; Ranaldo, Angelo; Schrimpf, Andreas; … - 2023

Book / Working Paper

Foreign exchange markets, climate risks and contextual news : an intraday analysis

Ayadi, Mohamed; Ben Omrane, Walid; Panah, Pari Gholi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015607750

Exchange and solidarity

Maguire, Barry - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015550279

Project Rio fast-paced market monitoring : technical white paper

2025

Project Rio is a real-time market monitoring platform developed by the BIS Innovation Hub in collaboration with central banks to address the challenges of fast-paced electronic markets, particularly in foreign exchange (FX). It leverages modern, open-source technology to stream, process, and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015551640

The dynamic relationship between digital currency and other financial assets in developed and emerging markets

Bonga-Bonga, Lumengo; Muhammad Khalique - 2025

This paper investigates the relationship between cryptocurrencies and other financial assets, with a particular focus on the dynamics of information flow between developed and emerging markets. To achieve this objective, the study applies a combined methodology of spillover index analysis and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015585231

Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model

Mignot, Sarah; Westerhoff, Frank H. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015589980

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Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model

Mignot, Sarah; Westerhoff, Frank H. - 2023

Book / Working Paper

Economic policy uncertainty and exchange market pressure : panel evidence

Gilal, Muhammad Akram; Abdul Rahman Nizamani; Khushik, … - 2025

Controlling for macroeconomic indicators and trade openness, this study examined the impact of economic policy uncertainty on exchange market pressure for a panel of 25 countries from 2003Q2 to 2021Q3. The pooled mean group estimator, which allows for variation in short-run estimates and error...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015481195

The trade imbalance network and currency returns

Hou, Ai Jun; Sarno, Lucio; Ye, Xiaoxia - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015573260

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The trade imbalance network and currency returns

Hou, Ai Jun; Sarno, Lucio; Ye, Xiaoxia - 2025

Book / Working Paper

Intraday volatility connectedness on the forex market : the role of uncertainty

Rubaszek, Michał; Szafranek, Karol; Uddin, Mohammed … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015573402

Electronic foreign exchange trading (e-FX) : developments in and implications for the Tokyo FX market

Onishi, Fuyuko; Hirai, Yuichiro; Aruga, Ryo; Bessho, Hidemi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015573413

Dollar upheaval: this time is different

Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno; … - 2025

What can we learn from the high-frequency responses in bond and currency markets to the recent tariff announcement about the status of the U.S. dollar as the global reserve currency? The dollar depreciated by 6.5% after April 1 in spite of rising U.S. interest rates and market volatility, which...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015399743

Long-run interest rate differentials and the profitability of currency carry

Kaebi, Mohammed Mehdi; Martins, Igor Ferreira Batista - 2025

This paper examines the role of long-run and cyclical components of interest rate differentials in explaining the returns to currency carry strategies. We show that long-run differentials account for most of the profitability, while cyclical differentials play only a limited role. A simple...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015533358

Global currency hedging with ambiguity

Ulrych, Urban; Vasiljević, Nikola - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015558551

Media tone is a priced risk factor in currency markets

Lehkonen, Heikki; Heimonen, Kari; Kuntara Pukthuanthong - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015558910

Foreign exchange market herd behaviour : empirical study in ASEAN-5 countries

Danila, Nevi; Aggarwal, Priyanka - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015402899