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The Behavior of Currencies During Risk-Off Episodes 规避风险时期的货币行为
ERN: Foreign Exchange Models (Topic) Pub Date : 2013-01-01 DOI: 10.2139/ssrn.2226281
R. De Bock, Irineu de Carvalho Filho
{"title":"The Behavior of Currencies During Risk-Off Episodes","authors":"R. De Bock, Irineu de Carvalho Filho","doi":"10.2139/ssrn.2226281","DOIUrl":"https://doi.org/10.2139/ssrn.2226281","url":null,"abstract":"Episodes of increased global risk aversion, also known as risk-off episodes, have become more frequent and severe since 2007. During these episodes, currency markets exhibit recurrent patterns, as the Japanese yen, Swiss franc, and U.S. dollar appreciate against other G-10 and emerging market currencies. The pattern of these moves can be explained by a combination of fundamental factors, such as the nominal interest rate, the international investment position and measures of exchange rate misalignment, and market-liquidity factors, such as bid-offer spreads and restrictions on international capital flows. We also find that currency performance in a risk-off episode has become more related to a currency?s yield and relationship to broader risks in recent years.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130756163","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
A Note on Forecasting Emerging Market Exchange Rates: Evidence of Anti‐Herding 预测新兴市场汇率:反羊群效应的证据
ERN: Foreign Exchange Models (Topic) Pub Date : 2012-11-01 DOI: 10.1111/roie.12007
Christian Pierdzioch, Jan‐Christoph Rülke, G. Stadtmann
{"title":"A Note on Forecasting Emerging Market Exchange Rates: Evidence of Anti‐Herding","authors":"Christian Pierdzioch, Jan‐Christoph Rülke, G. Stadtmann","doi":"10.1111/roie.12007","DOIUrl":"https://doi.org/10.1111/roie.12007","url":null,"abstract":"Using survey forecasts of a large number of Asian, European, and South American emerging market exchange rates, we studied empirically whether evidence of herding or antiherding behavior of exchange-rate forecasters can be detected in the cross-section of forecasts. Emerging market exchange-rate forecasts are consistent with herding (anti-herding) if forecasts are biased towards (away from) the consensus forecast. Our empirical findings provide strong evidence of anti-herding of emerging market exchange-rate forecasters.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"116 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131507109","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
Renewed Estimation of a Single Equation for the Chinese Renminbi 对人民币单一方程的重新估计
ERN: Foreign Exchange Models (Topic) Pub Date : 2012-06-05 DOI: 10.2139/ssrn.2170286
Philippe Dupuy, Jean-Etienne Carlotti
{"title":"Renewed Estimation of a Single Equation for the Chinese Renminbi","authors":"Philippe Dupuy, Jean-Etienne Carlotti","doi":"10.2139/ssrn.2170286","DOIUrl":"https://doi.org/10.2139/ssrn.2170286","url":null,"abstract":"This paper provides evidence on the consistency of the determination of the Chinese real effective exchange rate (REER) over time using Elbadawi (1994)'s model. Especially, we validate cointegration between the REER and a set of fundamentals using recent developments in model selection. Error correction model (ECM) path dependence in model selection is addressed by using the General-To-Specific (GETS) approach enabling us to obtain empirically constant and encompassing ECM. As inference in finite samples is commonly of concern, statistics' distributional properties for cointegration tests are estimated by Monte Carlo simulations. We briefly study the implications of our findings in terms of foreign exchange policy.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115665447","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
Finding a Valid FX Covariance Matrix in the BS World 在BS世界中寻找有效的FX协方差矩阵
ERN: Foreign Exchange Models (Topic) Pub Date : 2012-06-01 DOI: 10.2139/ssrn.2189941
Maxim Bouev
{"title":"Finding a Valid FX Covariance Matrix in the BS World","authors":"Maxim Bouev","doi":"10.2139/ssrn.2189941","DOIUrl":"https://doi.org/10.2139/ssrn.2189941","url":null,"abstract":"A number of methods has already been proposed for creating a valid correlation matrix in finance. However, such methods do not normally take into account additional restrictions on matrix elements imposed by specific non-arbitrage conditions in some markets, e.g. foreign exchange (FX). I suggest that taking those restrictions, known as triangular relationships, into account can lead to a more efficient method of correction of invalid correlation matrices, at least in FX markets. This paper outlines the steps of the new method.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117123000","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
Forward Exchange Rate Efficiency: A Cointegration and Error Correction Model Approach 远期汇率效率:协整与误差修正模型方法
ERN: Foreign Exchange Models (Topic) Pub Date : 2010-09-15 DOI: 10.2139/ssrn.1773212
Moses Azege
{"title":"Forward Exchange Rate Efficiency: A Cointegration and Error Correction Model Approach","authors":"Moses Azege","doi":"10.2139/ssrn.1773212","DOIUrl":"https://doi.org/10.2139/ssrn.1773212","url":null,"abstract":"Forward rate unbiased hypothesis (FRUH) often generates mixed result in literatures. However, sophistication in econometric techniques has questioned the validity of traditional test for FRUH over the years. Consequently, this dissertation shows that exchange rates have unit root and are cointegrated with parameter near unity. Therefore, this makes regressing the level spot rate on the forward rate inappropriate. Furthermore, the forward premium regression becomes incomplete. Thus, an error correction model is proposed as a more suitable specification to test for FRUH. The results obtained did not provide support for FRUH. Additionally, evidence is shown that the forward premium puzzle has abated overtime and is subsample specific.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"105 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117171558","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
Foreign Exchange Market Mechanism 外汇市场机制
ERN: Foreign Exchange Models (Topic) Pub Date : 2008-08-18 DOI: 10.2139/SSRN.1456835
S. Bagga
{"title":"Foreign Exchange Market Mechanism","authors":"S. Bagga","doi":"10.2139/SSRN.1456835","DOIUrl":"https://doi.org/10.2139/SSRN.1456835","url":null,"abstract":"The foreign exchange market is not a physical place; it is an informal, electronically linked network of big banks, foreign exchange brokers and dealers whose function is to bring buyers and sellers together. The foreign exchange market operates on very narrow spreads between buying and selling prices; they can be smaller then a tenth of a per cent of the value of currency traded, and they are about one-fiftieth or less of the spread faced on bank notes by international travelers. Yet, because the volumes of transactions involved are huge, traders in foreign exchange market stand to make huge profits or losses.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114571691","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
A Liquidity Motivated Algorithm for Discerning Trade Direction 一种流动性驱动的交易方向识别算法
ERN: Foreign Exchange Models (Topic) Pub Date : 2008-03-01 DOI: 10.17578/12-1/2-3
D. Michayluk, Laurie Prather
{"title":"A Liquidity Motivated Algorithm for Discerning Trade Direction","authors":"D. Michayluk, Laurie Prather","doi":"10.17578/12-1/2-3","DOIUrl":"https://doi.org/10.17578/12-1/2-3","url":null,"abstract":"Most exchanges do not report trade direction thus researchers and traders must deduce whether a trade is buyer or seller initiated since this information is required to evaluate models of bid-ask spread components and to understand the market for immediacy. Algorithms that assign trade direction based on the proximity to bid or ask quotes are easily implemented but ignore information readily discernable from orders, changes in the quoted depth and subsequent price movements. Using the New York Stock Exchange Trades, Orders and Quotes database, systematic biases in existing trade direction algorithms are documented that can be rectified by recognizing that the impact on liquidity is the fundamental characteristic underlying order placement. Although this liquidity-based method is difficult to implement, it more closely captures the actual behavior of market participants.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122239149","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
Financial Contagion within a Small Country 小国内部的金融传染
ERN: Foreign Exchange Models (Topic) Pub Date : 2006-05-08 DOI: 10.6702/IJBI.2006.1.1.6
Nuttawat Visaltanachoti, H. Luo, Puspakaran Kesayan
{"title":"Financial Contagion within a Small Country","authors":"Nuttawat Visaltanachoti, H. Luo, Puspakaran Kesayan","doi":"10.6702/IJBI.2006.1.1.6","DOIUrl":"https://doi.org/10.6702/IJBI.2006.1.1.6","url":null,"abstract":"This study examines the behavior of financial contagion within the New Zealand stock market. The degree of financial contagion is measured by the coincidence of extreme stock returns. The extent of the effect and its economic significance are examined using the multinomial regression. The findings show that the contagion is highly persistent. Macroeconomic factors have a slightly stronger impact on the co-movement of extreme positive returns compared with the co-movement of extreme negative returns. There is little evidence showing that the contagion is determined by the fluctuation of foreign exchange rates, government bond yield, and the term spread.","PeriodicalId":151990,"journal":{"name":"ERN: Foreign Exchange Models (Topic)","volume":"123 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134106450","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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