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Dynamic Conditional Currency Hedging 动态条件货币套期保值
ERN: Foreign Exchange Models (Topic) Pub Date : 2017-07-09 DOI: 10.2139/ssrn.2999463
Melk C. Bucher
{"title":"Dynamic Conditional Currency Hedging","authors":"Melk C. Bucher","doi":"10.2139/ssrn.2999463","DOIUrl":"https://doi.org/10.2139/ssrn.2999463","url":null,"abstract":"We propose a simple and dynamic approach to hedge currency risk which can directly be applied by international investors in diverse asset classes. Other than current mean-variance approaches it is robust to overfitting and can thus better anticipate optimal currency hedging for global equity, bond and commodity investors out-of-sample. Furthermore, we document that correlations between currencies, equities, and commodities vary over time and can be predicted by implied FX volatility. This allows investors to significantly reduce their risk compared to hedging alternatives without giving up on Sharpe ratio, particularly during crisis periods.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"91 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126047413","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Modeling the Volatility of Exchange Rate Returns 汇率收益波动的建模
ERN: Foreign Exchange Models (Topic) Pub Date : 2017-07-01 DOI: 10.2139/ssrn.3686622
Abdulmuhsen S. Alkhalaf
{"title":"Modeling the Volatility of Exchange Rate Returns","authors":"Abdulmuhsen S. Alkhalaf","doi":"10.2139/ssrn.3686622","DOIUrl":"https://doi.org/10.2139/ssrn.3686622","url":null,"abstract":"This paper focuses on modeling the evolution of volatility deterministically through (G)ARCH models and compares the performance of the different models, using the daily bilateral prices of one USD to 1 Euro from January 04, 1999 until June 23, 2017. It also compares the performance of these models vis-a-vis an extension of (G)ARCH models that can be obtained by allowing for t-distribution errors. It uses the maximum likelihood technique to specify the degrees of freedom parameter for the t-distribution; hence, determining the maximum likelihood estimate of the t-distribution degrees of freedom, while fixing the AR(q) model for the mean process. It shows that adjusting the AR(q) - GARCH(1,1) model to assume t-distribution for the residuals improve the fit of model.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114207733","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Illusion of Scale in Segregated Witness 《种族隔离的证人》中的尺度错觉
ERN: Foreign Exchange Models (Topic) Pub Date : 2017-06-27 DOI: 10.2139/ssrn.2993315
C. Wright
{"title":"The Illusion of Scale in Segregated Witness","authors":"C. Wright","doi":"10.2139/ssrn.2993315","DOIUrl":"https://doi.org/10.2139/ssrn.2993315","url":null,"abstract":"Money gains value through use. As a limited quantity of money chases a set value of wealth, we see the price increase linearly with the velocity of the system. The more use, the higher the price. Likewise, as use cases are limited we can expect a decline in price. This effect can be coupled together with scarcity. Bitcoin is a scarce economic good. Its value is retained from its use factor which as a settlement layer alone is severely limited. When proposed changes such as segregated witness are introduced into the system, value is not added into the system, rather than value being added, it is distributed between aspects that are detrimental to the growth of the system. This occurs because schemes such as segregated witness allow for the introduction of fractional reserve systems into bitcoin. With these, the velocity of the system is lowered and bitcoin becomes a pure settlement system such as Swift. In this, value was transferred from bitcoin into sidechains.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133189457","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
The Impact of Exchange Rate Volatility on Korea-Japan Trade Flows: An Industry Level Analysis 汇率波动对韩日贸易流动的影响:产业层面的分析
ERN: Foreign Exchange Models (Topic) Pub Date : 2017-06-21 DOI: 10.16980/JITC.13.3.201706.1
Utai Uprasen, B. Zolin
{"title":"The Impact of Exchange Rate Volatility on Korea-Japan Trade Flows: An Industry Level Analysis","authors":"Utai Uprasen, B. Zolin","doi":"10.16980/JITC.13.3.201706.1","DOIUrl":"https://doi.org/10.16980/JITC.13.3.201706.1","url":null,"abstract":"The existing literature, in both theoretical and empirical viewpoints, indicates that there is no consensus regarding the effects of exchange rate volatility on bilateral trade flows. It can show the different effects across countries and industries. This article examines impact of volatility of exchange rate on 57 importing and 69 exporting industries of Korea vis-a-vis Japan. The study is conducted by employing disaggregated trade data (3-digit level of SITC product) to avoid the aggregation bias problem. The autoregressive distributed lag (ARDL) cointegration model is adopted in the empirical estimation, using annual data during 1970 to 2016. The findings indicate that the exchange rate volatility affects bilateral trade flows between Korea and Japan in both short run and long run. Nevertheless, the majority of industries are unaffected in the long run. The number of negatively affected industries are remarkably higher than the positively affected ones in both exporting and importing products. The machinery and transport equipment (SITC7) are the most negatively affected commodities of both importing and exporting products. While the effects of income on bilateral trade flows are in line with the theoretical prediction, the majority of industries are not affected by the real exchange rate in the long run.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128283355","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Gold and Currencies 黄金和货币
ERN: Foreign Exchange Models (Topic) Pub Date : 2017-02-01 DOI: 10.2139/ssrn.2908653
D. Baur
{"title":"Gold and Currencies","authors":"D. Baur","doi":"10.2139/ssrn.2908653","DOIUrl":"https://doi.org/10.2139/ssrn.2908653","url":null,"abstract":"It is well known that US dollar gold prices are negatively related to the value of the US dollar and that gold prices denominated in other currencies are negatively related to these currencies. But how strong is this relationship for each currency and what is its cause? This paper provides new evidence on the strength of the negative gold-currency association. For example, a one percent increase in the US dollar leads to a one percent decrease in the US dollar gold price and this relationship holds for all major currencies on a daily basis. The finding implies that gold is a globally traded asset. A multivariate analysis further suggests that gold functions as a global currency benchmark.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"52 73 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124625076","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Exchange Rate Pass-Through in the Euro Area 欧元区的汇率传递
ERN: Foreign Exchange Models (Topic) Pub Date : 2017-01-25 DOI: 10.2139/ssrn.2910939
Mariarosaria Comunale, Davor Kunovac
{"title":"Exchange Rate Pass-Through in the Euro Area","authors":"Mariarosaria Comunale, Davor Kunovac","doi":"10.2139/ssrn.2910939","DOIUrl":"https://doi.org/10.2139/ssrn.2910939","url":null,"abstract":"In this paper we analyse the exchange rate pass-through (ERPT) in the euro area as a whole and for four euro area members - Germany, France, Italy and Spain. For that purpose we use Bayesian VARs with identification based on a combination of zero and sign restrictions. Our results emphasize that pass-through in the euro area is not constant over time - it may depend on a composition of economic shocks governing the exchange rate. Regarding the relative importance of individual shocks, it seems that pass-through is the strongest when the exchange rate movement is triggered by (relative) monetary policy shocks and the exchange rate shocks. Our shock-dependent measure of ERPT points to a large but volatile pass-through to import prices and overall very small pass-through to consumer inflation in the euro area.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129457573","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
Does Industrial Employment React to Movements in the Real Exchange Rate? An Empirical Analysis for Colombia, 2000-2010 工业就业对实际汇率变动有反应吗?哥伦比亚2000-2010年的实证分析
ERN: Foreign Exchange Models (Topic) Pub Date : 2016-12-16 DOI: 10.7764/LAJE.53.1.39
José Peláez, Lya Sierra
{"title":"Does Industrial Employment React to Movements in the Real Exchange Rate? An Empirical Analysis for Colombia, 2000-2010","authors":"José Peláez, Lya Sierra","doi":"10.7764/LAJE.53.1.39","DOIUrl":"https://doi.org/10.7764/LAJE.53.1.39","url":null,"abstract":"To determine the effect of the real exchange rate on Colombia’s industrial employment and 59 industrial sectors for the period 2000-2010, we used the generalized method of moments of Arellano and Bond (1991) and data from the Annual Manufacturing Survey of the National Administrative Department of Statistics (DANE). Our findings reveal that a real appreciation of the Colombian peso decreases the country’s manufacturing employment, and disaggregation by industrial sector shows that a real appreciation of the Colombian peso had a negative impact on manufacturing employment in 18 industrial sectors and a positive impact in seven.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134291797","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Forward at the Money Forward Implied Volatility and Forward Underlying Move Estimations 远期隐含波动率和远期基本走势的估计
ERN: Foreign Exchange Models (Topic) Pub Date : 2016-07-11 DOI: 10.2139/ssrn.2808168
Didier Youmbi
{"title":"Forward at the Money Forward Implied Volatility and Forward Underlying Move Estimations","authors":"Didier Youmbi","doi":"10.2139/ssrn.2808168","DOIUrl":"https://doi.org/10.2139/ssrn.2808168","url":null,"abstract":"Ahead of the 23rd June UK referendum on \"Brexit\", this note provides a technique for estimating the Forward (at referendum date) At The Money Forward (ATMF) implied volatility for equity or FX Indexes. We provide a closed form formula for the forward underlying expected moves (for short terms maturities) post the referendum date. We provide a closed form formula for the forward underlying expected moves conditional to the adverse event (vote in favour of 'leaving' the European Union (EU) area) happening. We finally provide a closed form formula for the forward underlying expected moves conditional to the adverse event not happening. More generally the framework here can be used to estimate forward implied volatility and forward asset price moves post a potentially adverse event to come in the future.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"204 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124724767","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Term-Structure of Consumption Risk Premia in the Cross Section of Currency Returns 货币收益横截面上消费风险溢价的期限结构
ERN: Foreign Exchange Models (Topic) Pub Date : 2016-07-04 DOI: 10.2139/ssrn.2497177
Irina Zviadadze
{"title":"Term-Structure of Consumption Risk Premia in the Cross Section of Currency Returns","authors":"Irina Zviadadze","doi":"10.2139/ssrn.2497177","DOIUrl":"https://doi.org/10.2139/ssrn.2497177","url":null,"abstract":"I quantify the risk-return relationship in the foreign-exchange (FX) market across different countries and investment horizons by focusing on the role of multiple sources of consumption risk. I estimate a flexible structural model of the joint dynamics of US aggregate consumption, inflation, nominal yield, and stochastic variance with cross-equation restrictions implied by recursive preferences. I identify four sources of consumption risk: short-run, long-run, inflation, and variance shocks. The long-run consumption risk plays a prominent role in the FX market: it contributes to the spread in returns between high and low interest rate currencies across multiple investment horizons from one to five quarters. The short-run consumption risk affects currencies only at the quarterly horizon, where it explains 40% of the spread. The difference in returns between high and low yield currencies disappears for horizons longer than four quarters.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127386152","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 25
Reinventing Bitcoin 重塑比特币
ERN: Foreign Exchange Models (Topic) Pub Date : 2016-04-04 DOI: 10.2139/ssrn.2922656
F. Olleros
{"title":"Reinventing Bitcoin","authors":"F. Olleros","doi":"10.2139/ssrn.2922656","DOIUrl":"https://doi.org/10.2139/ssrn.2922656","url":null,"abstract":"Most digital platforms are inherently versatile partly because their software code can be modified, but primarily because they are designed as open-ended modular stacks whose affordances increase with the variety of functionalities provided by the upper layers, without needing to rewire or reprogram the lower layers. This is plainly true of platforms that were specifically designed to be versatile - e.g., the Internet, the Web and the iPad - but it can be no less true of platforms that were initially designed to be rigid and specialized. This paper argues that frequent dismissals of the Bitcoin project by economic and business analysts reveal a failure to grasp this important property of modular stacks. As we shall see, recent developments in the Bitcoin ecosystem are transforming Bitcoin into a much more versatile and consequential platform than was originally intended, by enabling a wide variety of modular application layers to be superposed on the Bitcoin infrastructure. If successful, this reinvention of Bitcoin could turn the controversial currency and its blockchain into pillars of the emerging cryptoeconomy.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121501432","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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