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Pricing Errors and the Geography of Trade in the Foreign Exchange Market 定价错误与外汇市场贸易地理
ERN: Foreign Exchange Models (Topic) Pub Date : 2016-03-09 DOI: 10.2139/ssrn.2446584
Louis R. Piccotti
{"title":"Pricing Errors and the Geography of Trade in the Foreign Exchange Market","authors":"Louis R. Piccotti","doi":"10.2139/ssrn.2446584","DOIUrl":"https://doi.org/10.2139/ssrn.2446584","url":null,"abstract":"Pricing errors in exchange rates are largest during Asian trading hours and decrease until European–New York overlapping trading hours at which point the cycle begins again. Substantial heterogeneity exists in this pattern across exchange rates. Currencies have smaller pricing errors during their home trading hours, which can be explained by traders facing both lower information-unrelated costs and lower information-related costs during a currency׳s home trading hours. Using methods that are able to unambiguously identify the relative importance of information-related and information-unrelated costs for pricing errors, information-unrelated costs are of first-order importance while information-related costs are of second-order importance.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128831081","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: 9
Cross-Correlations between Chinese Renminbi Onshore- and Offshore-Markets: A MF-DCCA Approach 人民币在岸和离岸市场的相互关系:一种MF-DCCA方法
ERN: Foreign Exchange Models (Topic) Pub Date : 2015-11-01 DOI: 10.2139/ssrn.2686099
Xinsheng Lu, Jing Qin, Ying Zhou
{"title":"Cross-Correlations between Chinese Renminbi Onshore- and Offshore-Markets: A MF-DCCA Approach","authors":"Xinsheng Lu, Jing Qin, Ying Zhou","doi":"10.2139/ssrn.2686099","DOIUrl":"https://doi.org/10.2139/ssrn.2686099","url":null,"abstract":"Using multifractal detrended cross-correlation analysis (MF-DCCA), this paper studies cross-correlations between Chinese Renminbi (RMB) onshore and offshore markets. The dataset consists of 2,137 closing daily prices of exchange rates from 1 January 2005 to 9 July 2013, which covers seven major RMB offshore markets, including Australia, Brazil, Hong Kong, Korea, Malaysia, Singapore, and United Kingdom. Our empirical results suggest that the cross-correlation between Chinese Yuan and British Pound is the strongest in the short term, while the cross-correlation between Chinese Yuan and Malaysian Ringgit is the strongest in the long term. In addition to MF-DCCA approach, cross-correlation statistics test and cross-correlation coefficient are carried out to confirm the existence of cross-correlations. Further, we use rolling window method to investigate the impact of RMB exchange rate reforms on cross-correlations between onshore and offshore markets. We find that enhancement of RMB exchange rate flexibility can effectively reduce the multifractality of cross-correlations, indicating that the RMB exchange rate regime reforms have significantly improved the efficiency of the currency markets.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128805366","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
Endogenous Markov Switching Regression Models for High-Frequency Data Under Microstructure Noise 微观结构噪声下高频数据的内生马尔可夫开关回归模型
ERN: Foreign Exchange Models (Topic) Pub Date : 2015-05-30 DOI: 10.2139/ssrn.2611154
Markus Leippold, Felix Matthys
{"title":"Endogenous Markov Switching Regression Models for High-Frequency Data Under Microstructure Noise","authors":"Markus Leippold, Felix Matthys","doi":"10.2139/ssrn.2611154","DOIUrl":"https://doi.org/10.2139/ssrn.2611154","url":null,"abstract":"We present a novel method in analyzing microstructure noise of high-frequency data as a measurement error problem within an endogenous Markov-switching regression model. In this model, the regression disturbance and the latent state variable controlling the regime are correlated. We show that under endogeneity the popular realized variance estimator is biased and no longer converges to the integrated regime dependent volatility. Exploring intraday return data on foreign exchange rates, we find significant endogeneity at high frequencies. Similar to the popular volatility signature plot suggested by Andersen, Bollerslev, Diebold, and Labys (2000b), we propose an endogeneity plot, which indicates as to which sampling frequency the assumption of exogeneity of the state variable controlling the regime remains valid.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129200918","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
Currency Carry Trades: The Role of Macroeconomic News and Futures Market Speculation 货币套息交易:宏观经济新闻和期货市场投机的作用
ERN: Foreign Exchange Models (Topic) Pub Date : 2015-05-01 DOI: 10.2139/SSRN.2500592
Suk-Joong Kim
{"title":"Currency Carry Trades: The Role of Macroeconomic News and Futures Market Speculation","authors":"Suk-Joong Kim","doi":"10.2139/SSRN.2500592","DOIUrl":"https://doi.org/10.2139/SSRN.2500592","url":null,"abstract":"This paper investigates carry trade opportunities in major currencies against the US dollar over the period January 2, 1999 to December 31, 2012. There is evidence of significant Australian dollar (AUD), Euro, and Japanese yen (JPY) carry trades during noncrisis periods. The AUD (JPY) was an investment (a funding) currency, and the Euro was both. However, cross currency carry trades were not present. For the AUD and JPY, carry trades were more likely with low volatility and volume. Macroeconomic news that appreciate (depreciate) the AUD (the JPY) also stimulated the AUD (the JPY) carry trades. However, there is no evidence of meaningful and consistent impact of macroeconomic news on the EUR carry trades. For weekly horizon investigations, net long futures positions in the AUD promoted carry trades in the AUD and JPY. However, net long positions in the JPY only managed to reduce JPY carry trade probability. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:1076–1107, 2016","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"124 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123159525","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
The Use of Regression Analysis in the Financial Planning of Banks, Mathematical Formalization of the Stages of Financial Planning in Banks 回归分析在银行财务规划中的应用，银行财务规划各阶段的数学形式化
ERN: Foreign Exchange Models (Topic) Pub Date : 2014-12-13 DOI: 10.2139/ssrn.2537993
O. Kuzmenko, S. Kyrkach
{"title":"The Use of Regression Analysis in the Financial Planning of Banks, Mathematical Formalization of the Stages of Financial Planning in Banks","authors":"O. Kuzmenko, S. Kyrkach","doi":"10.2139/ssrn.2537993","DOIUrl":"https://doi.org/10.2139/ssrn.2537993","url":null,"abstract":"The article deals with the basic principles of the implementation of the financial planning in a bank and formation of system of indicators to assess its effectiveness; the convolution of the relevant indicators related to the integral assessment of the financial condition on the basis of multi-objective optimization; identification of the bank’s potential based on the average weighted growth-rate characteristics of the current financial situation; the development of strategies for the planning of the bank’s activities in the context of the main development areas through the use of a matrix approach; assessment of the efficiency of financial planning in a bank on the basis of regression analysis.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"130 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123071134","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: 13
Dependence and Contagion Between Asset Prices in Poland and Abroad. A Copula Approach 波兰与国外资产价格之间的依赖与传染。Copula方法
ERN: Foreign Exchange Models (Topic) Pub Date : 2013-12-02 DOI: 10.2139/ssrn.2369256
Michael Adam, Piotr Bańbuła, Michal Markun
{"title":"Dependence and Contagion Between Asset Prices in Poland and Abroad. A Copula Approach","authors":"Michael Adam, Piotr Bańbuła, Michal Markun","doi":"10.2139/ssrn.2369256","DOIUrl":"https://doi.org/10.2139/ssrn.2369256","url":null,"abstract":"We investigate the dependence structure between Polish and foreign financial assets, including stocks, bonds and foreign exchange. Our interest is in the importance of global factors for asset valuation and on the strength of financial contagion. We work in the copula framework, which offers a full description of the dependence structure. Importantly, we assess many copula families and pay special attention to the testing procedure thereof. Polish equities, currency and to some extent long-term sovereign bonds exhibit economically significant tail dependence, while short-term bonds appear relatively unaffected. Symmetric tail behaviour characterises the majority of asset pairs, though we also find significant asymmetries in a number of cases, with assets more likely to post large losses when global conditions significantly deteriorate, rather than to gain when they improve.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-12-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125186293","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: 8
Multi-Curve Framework with Collateral 带抵押品的多曲线框架
ERN: Foreign Exchange Models (Topic) Pub Date : 2013-07-21 DOI: 10.2139/ssrn.2302278
Marc Henrard
{"title":"Multi-Curve Framework with Collateral","authors":"Marc Henrard","doi":"10.2139/ssrn.2302278","DOIUrl":"https://doi.org/10.2139/ssrn.2302278","url":null,"abstract":"This note is dedicated to the impact of collateral on the multi-curve framework. The pricing formulas in presence of collateral are described in a generic way encompassing several financial realities. The collateral cases covered include cash collateral, foreign currency collateral, collateral by assets (collateral square) and collateral with haircut. The change of collateral is also described, including the convexity adjustment required. The pricing of STIR futures in this framework is analysed in detail.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133009797","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: 23
Overreaction in Survey Exchange Rates Forecasts 调查汇率预测中的过度反应
ERN: Foreign Exchange Models (Topic) Pub Date : 2013-06-11 DOI: 10.2139/ssrn.2224560
F. Pancotto, F. Pericoli, Marco Pistagnesi
{"title":"Overreaction in Survey Exchange Rates Forecasts","authors":"F. Pancotto, F. Pericoli, Marco Pistagnesi","doi":"10.2139/ssrn.2224560","DOIUrl":"https://doi.org/10.2139/ssrn.2224560","url":null,"abstract":"We use a novel database of a panel of quarterly survey of exchange rates forecasts available on the Bloomberg platform, for the following five bilateral exchange rates: EUR/GBP, EUR/JPY, EUR/USD, GBP/USD and USD/JPY, for the timespan ranging from the third quarter 2006 up to the fourth quarter of 2011. We find that forecasters are on average irrational, failing to identify the true data generating process of bilateral exchange rates and generally overreacting to past observed information. Moreover, exploring individual performance, we can state that financial analysts irrationally do not look at their past forecast errors to improve the quality of their later forecasts.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125572898","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: 3
The Pacific Speed of Growth: How Fast Can it Be and What Determines it? 太平洋的增长速度:它能有多快?是什么决定了它?
ERN: Foreign Exchange Models (Topic) Pub Date : 2013-05-01 DOI: 10.5089/9781484399040.001
Yongzheng Yang, H. Chen, S. R. Singh, Baljeet Singh
{"title":"The Pacific Speed of Growth: How Fast Can it Be and What Determines it?","authors":"Yongzheng Yang, H. Chen, S. R. Singh, Baljeet Singh","doi":"10.5089/9781484399040.001","DOIUrl":"https://doi.org/10.5089/9781484399040.001","url":null,"abstract":"This study aims to test within a relatively homogeneous group of small states what differentiates the growth performance of Pacific island countries (PICs) from their peers. We find that PICs are disadvantaged by distance and hampered by lower investment and exports compared with other small island states, but greater political stability, catch-up effects from lower initial incomes, and slower population growth have helped offset some of these disadvantages. On balance, policy-related factors, together with geography-related disadvantages, have led to growth rates in PICs that are much lower than in other small states. We also examine how real exchange rate appreciation, unfavorable developments in the external trade environment, and rising international transport costs may have contributed to PICs’ slower growth over the past decade.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"10 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121015642","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: 20
Bayesian Inference in Multivariate Stable Distributions Using Copulae 基于Copulae的多元稳定分布中的贝叶斯推断
ERN: Foreign Exchange Models (Topic) Pub Date : 2013-02-10 DOI: 10.2139/ssrn.2214612
E. Tsionas
{"title":"Bayesian Inference in Multivariate Stable Distributions Using Copulae","authors":"E. Tsionas","doi":"10.2139/ssrn.2214612","DOIUrl":"https://doi.org/10.2139/ssrn.2214612","url":null,"abstract":"In this paper we take up Bayesian inference in multivariate stable distributions through innovative multivariate stable copulae. The problem that the characteristic function is defined through a difficult object, the spectral measure is completely bypassed by our approach. The new methods are applied to major exchange rates with encouraging results. The copula-based technique is based on non-parametric margins (both data-estimated as well as Dirichlet process priors) and we compare with a multivariate stable copula whose margins can be normal, Student-t or univariate stable.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131071373","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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