ERN: International Finance (Topic)最新文献_第2页

Order Flows and Financial Investor Impacts in Commodity Futures Markets 商品期货市场的订单流和金融投资者影响

ERN: International Finance (Topic) Pub Date : 2019-10-30 DOI: 10.2139/ssrn.3164757

M. Ready, Robert Ready

引用次数: 4

The Dollar and Deviations from Covered Interest Parity Revisited: New Insights from Dynamic Comovements 重新审视美元与利差平价的偏离:来自动态变动的新见解

ERN: International Finance (Topic) Pub Date : 2019-10-01 DOI: 10.2139/ssrn.3513427

K. Agudze, O. Ibhagui, Bolarinwa Thompson

{"title":"The Dollar and Deviations from Covered Interest Parity Revisited: New Insights from Dynamic Comovements","authors":"K. Agudze, O. Ibhagui, Bolarinwa Thompson","doi":"10.2139/ssrn.3513427","DOIUrl":"https://doi.org/10.2139/ssrn.3513427","url":null,"abstract":"Recent findings that suggest a robust negative association between changes in the cross-currency basis and the broad dollar have taken center stage in the international finance literature. In this article, we revisit this issue, from a purely empirical, data-driven perspective, using G10 and 10 emerging market currencies, and employing dynamic correlations, rather than static correlations, at different rolling windows. Overall, results obtained do not support a consistently negative dynamic relation between changes in the basis and the dollar, even in the post-crisis era, especially at short rolling windows. At the same time, as evidenced by the negative correlations in some historical periods, a negative comovement between changes in the basis and the dollar cannot be fully ruled out, particularly at longer rolling windows. Hence the nature of the relation is dynamic, varying in direction from negative to positive or vice-versa. As such, like nearly everything else in the financial markets, the comovement between changes in the basis and the dollar is anything but directionally static. This result has broader implications for optimal positioning in the cross-currency basis swap markets.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126965787","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

Drivers of Cross-Border Banking in Sub-Saharan Africa 撒哈拉以南非洲跨境银行业务的驱动因素

ERN: International Finance (Topic) Pub Date : 2019-07-01 DOI: 10.5089/9781498321549.001

P. Mathieu, M. Pani, Shiyuan Chen, R. Maino

引用次数: 4

EDB Special Report 2019. Exchange Rate Pass-Through Effects on Inflation in EDB Member Countries 2019年教育局特别报告。汇率传递对经合组织成员国通货膨胀的影响

ERN: International Finance (Topic) Pub Date : 2019-06-25 DOI: 10.2139/ssrn.3412399

A. Kuznetsov, A. Kharitonchik, Aigul Berdigulova, K. Fyodorov

引用次数: 0

Exchange Rate Misalignment and Capital Flight from Botswana: A Cointegration Approach with Risk Thresholds 汇率失调与博茨瓦纳资本外逃:一个具有风险阈值的协整方法

ERN: International Finance (Topic) Pub Date : 2019-06-17 DOI: 10.2139/ssrn.3407841

M. Bosupeng, Janet Dzator, Andrew Nadolny

{"title":"Exchange Rate Misalignment and Capital Flight from Botswana: A Cointegration Approach with Risk Thresholds","authors":"M. Bosupeng, Janet Dzator, Andrew Nadolny","doi":"10.2139/ssrn.3407841","DOIUrl":"https://doi.org/10.2139/ssrn.3407841","url":null,"abstract":"This study investigates the impact of exchange rate misalignment on outward capital flight in Botswana over the period 1980–2015. The study uses the autoregressive distributed lag (ARDL) approach to cointegration and the Toda and Yamamoto (1995) approach to Granger causality. Botswana’s currency misalignment was caused by current account imbalances. The most important determinant of capital flight from Botswana is trade openness, which indicates that exportable commodities are misinvoiced leading to net capital outflows. Our main findings show that in the long-run, when the currency is overvalued, the volume of capital flight through trade misinvoicing declines and increasing foreign reserves does not reduce outward capital flight. However, when the currency is undervalued, the volume of capital flight through trade misinvoicing increases and foreign reserves reduce outward capital flight. Investors respond more to prospects of devaluation than to inflation. Botswana should tolerate overvaluation of the pula of only up to 5%. When the pula is overvalued beyond 5%, capital flight increases substantially. The government has to formulate trade regulations and monitor imported and exported commodities. Botswana should also implement capital controls to limit capital smuggling and maintain monetary autonomy.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128577446","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: 5

CESD Research Brief: Should We Expect a Change in the Rate of Azerbaijani Manat in Context of High Demand for US Dollar? CESD研究简报:在美元需求旺盛的背景下，我们应该期待阿塞拜疆马纳特汇率的变化吗?

ERN: International Finance (Topic) Pub Date : 2019-03-05 DOI: 10.2139/ssrn.3485597

Cesd Research Group

引用次数: 0

Оценка финансовых операций в международной системе "хавала" в контексте предотвращения угроз национальной безопасности (Assessment of Financial Transactions through International Havala System in the Context of Preventing the Threats to National Security) 在防止国家安全威胁的背景下评估国际金融交易(《金融交易》中的金融交易)

ERN: International Finance (Topic) Pub Date : 2018-12-13 DOI: 10.2139/ssrn.3300697

T. Ignatova

{"title":"Оценка финансовых операций в международной системе \"хавала\" в контексте предотвращения угроз национальной безопасности (Assessment of Financial Transactions through International Havala System in the Context of Preventing the Threats to National Security)","authors":"T. Ignatova","doi":"10.2139/ssrn.3300697","DOIUrl":"https://doi.org/10.2139/ssrn.3300697","url":null,"abstract":"Russian Abstract: В статье авторами на основании изученного мирового опыта предлагается классификация систем переводов денег и ценностей (СПДЦ), рассматривается место системы \"хавала\", дается превентивная оценка связи системы \"хавала\" с финансированием терроризма, обобщаются финансово-экономические угрозы национальной безопасности, характерные для системы \"хавала\". English Abstract: In this article the author on the basis of international experience suggests classification of transactions carried out by the money or value transfer systems (MVTS), the author studies the role of Hawala system, the preventive assessment of the connection of the Hawala system with the terrorism financing is given, and threats to national security caused by Hawala system are summarized.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131132895","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

Understanding the International Elasticity Puzzle 理解国际弹性之谜

ERN: International Finance (Topic) Pub Date : 2018-11-27 DOI: 10.2139/ssrn.2847314

H. Yilmazkuday

引用次数: 3

Exchange Rate Solutions With Currency Crashes 汇率解决方案与货币崩溃

ERN: International Finance (Topic) Pub Date : 2018-11-26 DOI: 10.2139/ssrn.3290368

{"title":"Exchange Rate Solutions With Currency Crashes","authors":"","doi":"10.2139/ssrn.3290368","DOIUrl":"https://doi.org/10.2139/ssrn.3290368","url":null,"abstract":"We present an exchange rate model in which a currency’s exchange rate is confined in a wide moving band and a currency crash occurs when the rate breaches the lower boundary. A solution is derived from the standard log exchange rate equation for the model with a smooth-pasting condition at the lower boundary. Using an asymmetric mean-reverting fundamental shock, the solution shows the exchange rate follows a mean-reverting square-root process, which is quasi-bounded at the boundary, and generates left-skewed exchange rate distributions consistent with empirical observations. The probability leakage for the exchange rate across the boundary increases with a weakened mean-reverting force for the exchange rate, suggesting an increase in currency crash risk. The empirical results show the exchange rates of nine major currencies against the US dollar can be calibrated according to the model, where the mean reversion is negatively cointegrated with the risk reversals in currency option markets, as expected by the model, and are consistent with the positive relationship between currency crash risk and risk reversals. The leakage condition for breaching the lower boundaries was met during the 2008 global financial crisis when most of the currencies were under the disaster shock.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"1049 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120860366","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: 2

A Survey on the Determination of Nominal Exchange Rate for USD vis-à-vis INR 关于美元对-à-vis印度卢比名义汇率确定的调查

ERN: International Finance (Topic) Pub Date : 2018-09-29 DOI: 10.2139/ssrn.3257239

Punit Pillin

引用次数: 1