Econometric Modeling: International Financial Markets - Foreign Exchange eJournal最新文献_第8页

The Effects of Fair Value Reporting on Corporate Foreign Exchange Exposures 公允价值报告对企业外汇风险的影响

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2016-01-01 DOI: 10.2139/ssrn.2758283

Alain A. Krapl, R. Salyer

引用次数: 2

The US$/€ Exchange Rate: Structural Modeling and Forecasting During the Recent Financial Crises 美元/欧元汇率:近期金融危机期间的结构建模与预测

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2015-12-26 DOI: 10.2139/ssrn.2708457

Claudio Morana

{"title":"The US$/€ Exchange Rate: Structural Modeling and Forecasting During the Recent Financial Crises","authors":"Claudio Morana","doi":"10.2139/ssrn.2708457","DOIUrl":"https://doi.org/10.2139/ssrn.2708457","url":null,"abstract":"The paper investigates the determinants of the US$/â‚¬ exchange rate since its introduction in 1999, with a special focus on the recent subprime mortgage and sovereign debt financial crises. The econometric model is grounded on the asset pricing theory of exchange rate determination, which posits that current exchange rate fluctuations are determined by the entire path of current and future revisions in expectations about fundamentals. In this perspective, we innovate the literature by conditioning on Fama-French and Charart risk factors, which directly measures changing market expectations about the economic outlook, as well as on new financial condition indexes and a large set of macroeconomic variables. The macro-finance augmented econometric model has a remarkable in-sample and out of sample predictive ability, largely outperforming a standard autoregressive specification neglecting macro-financial information. We also document a stable relationship between the US$/â‚¬-Charart momentum conditional correlation (CCW) and the euro area business cycle, potentially exploitable also within a system of early warning indicators of macro-financial imbalances. Comparison with available measures of economic sentiments shows that CCW yields a more accurate assessment, signaling a progressive weakening in euro area economic conditions since June 2014, consistent with the sluggish and scattered recovery from the sovereign debt crisis and the new Greek solvency crisis exploded in late spring/early summer 2015.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116571041","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

Multi Currency Credit Default Swaps: Quanto Effects and FX Devaluation Jumps 多币种信用违约互换:定量效应与外汇贬值跳跃

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2015-12-22 DOI: 10.2139/ssrn.2703605

D. Brigo, N. Pede, A. Petrelli

{"title":"Multi Currency Credit Default Swaps: Quanto Effects and FX Devaluation Jumps","authors":"D. Brigo, N. Pede, A. Petrelli","doi":"10.2139/ssrn.2703605","DOIUrl":"https://doi.org/10.2139/ssrn.2703605","url":null,"abstract":"Credit Default Swaps (CDS) on a reference entity may be traded in multiple currencies, in that protection upon default may be offered either in the domestic currency where the entity resides, or in a more liquid and global foreign currency. In this situation currency fluctuations clearly introduce a source of risk on CDS spreads. For emerging markets, but in some cases even in well developed markets, the risk of dramatic Foreign Exchange (FX) rate devaluation in conjunction with default events is relevant. We address this issue by proposing and implementing a model that considers the risk of foreign currency devaluation that is synchronous with default of the reference entity. Preliminary results indicate that perceived risks of devaluation can induce a significant basis across domestic and foreign CDS quotes. For the Republic of Italy, a USD CDS spread quote of 440 bps can translate into a EUR quote of 350 bps in the middle of the Euro-debt crisis in the first week of May 2012. More recently, from June 2013, the basis spreads between the EUR quotes and the USD quotes are in the range around 40 bps. We explain in detail the sources for such discrepancies. Our modeling approach is based on the reduced form framework for credit risk, where the default time is modeled in a Cox process setting with explicit diffusion dynamics for default intensity/hazard rate and exponential jump to default. For the FX part, we include an explicit default-driven jump in the FX dynamics. As our results show, such a mechanism provides a further and more effective way to model credit / FX dependency than the instantaneous correlation that can be imposed among the driving Brownian motions of default intensity and FX rates, as it is not possible to explain the observed basis spreads during the Euro-debt crisis by using the latter mechanism alone.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130757059","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: 17

To Quanto or Not to Quanto? 去还是不去?

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2015-11-09 DOI: 10.2139/ssrn.2688319

Asad Sultan

引用次数: 0

Currency Risk in Global Equity Markets: Determinants, Risk, and Predictability 全球股票市场的货币风险:决定因素、风险和可预测性

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2015-11-08 DOI: 10.2139/SSRN.2807157

Chris Yost-Bremm

{"title":"Currency Risk in Global Equity Markets: Determinants, Risk, and Predictability","authors":"Chris Yost-Bremm","doi":"10.2139/SSRN.2807157","DOIUrl":"https://doi.org/10.2139/SSRN.2807157","url":null,"abstract":"This dissertation aims to understand the impact that currency movement — in particular U.S. dollar movement — has in determining the returns to individual global equities. To that end, the dissertation focuses on three main goals. First, is to identify the optimal approach for measuring the degree of local/U.S. dollar currency exposure among so many disparate firms. Second, is to use this exposure to identify avenues for stock return predictability. And third, is to test whether currency exposure is systematic in the cross-section of returns — be that cross- section a country, region, or the world.The first section focuses on the measurement of exchange rate sensitivity for global firms and associated predictability. The analysis reveals that firms that are most strongly sensitive to currency fluctuations tend to have higher stock returns over the short to medium run. In addition, the research finds that information in the forward currency rate structure can be used to improve the predictability for such firms.The second section takes a risk-based approach, and tests whether or not currency risk is a systematic risk factor worldwide. The findings suggest that currency risk is largely characterized as a regional — as opposed to global — consideration. However, firm fundamentals that tend to drive variation in currency exposure (such as firm size or profitability) are considerations that extend beyond regional boundaries. The section shows that because of that, worldwide systematic predictability as a result of currency exposure can still be achieved, even if the worldwide returns to that exposure are not homogeneous.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114819901","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

Global Imbalances and Currency Wars at the ZLB ZLB的全球失衡和货币战争

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2015-10-01 DOI: 10.3386/w21670

Ricardo J. Caballero, E. Farhi, Pierre-Olivier Gourinchas

引用次数: 120

FX Modelling in Collateralized Markets: Foreign Measures, Basis Curves, and Pricing Formulae 抵押市场中的外汇模型:国外的度量、基准曲线和定价公式

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2015-08-18 DOI: 10.2139/ssrn.2646516

N. Moreni, A. Pallavicini

引用次数: 4

The Dynamics and Stochastics of Currency Betas Based on the Unbiasedness Hypothesis in Foreign Exchange Markets 基于无偏假设的外汇市场货币贝塔系数的动态与随机

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2015-07-07 DOI: 10.17578/6-3/4-2

Winston T. Lin, Hong-Jen Lin, Yueh‐Hsin Chen

{"title":"The Dynamics and Stochastics of Currency Betas Based on the Unbiasedness Hypothesis in Foreign Exchange Markets","authors":"Winston T. Lin, Hong-Jen Lin, Yueh‐Hsin Chen","doi":"10.17578/6-3/4-2","DOIUrl":"https://doi.org/10.17578/6-3/4-2","url":null,"abstract":"This article examines the dynamic and stochastic behavior of the beta coefficient (to be referred to as the currency beta) of the unbiasedness hypothesis (UH) in foreign exchange markets. We argue that the dynamics and stochastics of currency betas can be attributed to the dynamic behavior of various macroeconomic variables from different sectors of an economy, in addition to the trend variable considered in previous research. Incorporating four macroeconomic variables from the financial, real, and external sectors into the currency betas of eight currencies (developed and emerging) under a logarithmic change specification used to test the UH, we attempt to simultaneously test the behavior of currency betas in terms of nonstationarity, shifts in the mean and variance, and randomness. The vast quantity of empirical tests and results strongly suggests that the changing characteristics of currency betas are readily apparent and have important implications for the reconciliation of the controversies surrounding the legitimacy of the UH, for government exchange rate policies, and for the forecasting of future spot rates, across the developed and emerging economies under study. We also find different tales from developed and developing countries.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"120 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128132914","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

Toxic Currency Options in Poland as a Consequence of the 2008 Financial Crisis 2008年金融危机导致的波兰有毒货币期权

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2015-04-20 DOI: 10.2139/SSRN.2669391

Kamil Liberadzki

{"title":"Toxic Currency Options in Poland as a Consequence of the 2008 Financial Crisis","authors":"Kamil Liberadzki","doi":"10.2139/SSRN.2669391","DOIUrl":"https://doi.org/10.2139/SSRN.2669391","url":null,"abstract":"The paper is on toxic foreign exchange options problem which occurred in Poland just prior to - and after the outbreak of the recent crisis. Especially Polish enterprises were severely stroke by transactions on fx - and interest rate - derivatives contracted with their banks. Poland was the only EU country which did not precipitated into recession during the financial crisis beginning in 2008. However, the toxic fx and interest rate derivatives transmitted the shockwaves from global financial markets into Poland. Huge dimensions of losses resulted in conflicts between banks and their customers, who claimed just being cheated by the financial institutions. The article deeply researches into reasons for such developments on Polish fx over-the-counter derivatives market. As a case study an authentic risk reversion strategy has been presented. The contract was concluded between the construction company and one of the biggest commercial banks in Poland. Because the case study may be representative for many other cases, the analysis includes exact pricing of risk reversal option strategy and therefore reveals inequality of the contract. The consequences of non-implementing the MiFID Directive in the context of derivatives offering to non-financial customers were also touched in the paper.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130855978","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

Market Sentiment and Exchange Rate Directional Forecasting 市场情绪与汇率方向预测

Econometric Modeling: International Financial Markets - Foreign Exchange eJournal Pub Date : 2015-04-13 DOI: 10.3233/AF-150044

Vasilios Plakandaras, Theophilos Papadimitriou, Periklis Gogas, K. Diamantaras

{"title":"Market Sentiment and Exchange Rate Directional Forecasting","authors":"Vasilios Plakandaras, Theophilos Papadimitriou, Periklis Gogas, K. Diamantaras","doi":"10.3233/AF-150044","DOIUrl":"https://doi.org/10.3233/AF-150044","url":null,"abstract":"The microstructural approach to the exchange rate market claims that order flows on a currency can accurately reflect the short-run dynamics of its exchange rate. In this paper, instead of focusing on order flows analysis we employ an alternative microstructural approach: We focus on investors' sentiment on a given exchange rate as a possible predictor of its future evolution. As a proxy of investors' sentiment we use StockTwits posts, a message board dedicated to finance. Within StockTwits investors are asked to explicitly state their market expectations. We collect daily data on the nominal exchange rate of four currencies against the U.S. dollar and the extracted market sentiment for the year 2013. Employing econometric and machine learning methodologies we develop models that forecast in out-of-sample exercise the future direction of the four exchange rates. Our empirical findings reject the Efficient Market Hypothesis even in its weak form for all four exchange rates. Overall, we find evidence that investors' sentiment as expressed in public message boards can be an additional source of information regarding the future directional movement of the exchange rates to the ones proposed by economic theory.","PeriodicalId":413816,"journal":{"name":"Econometric Modeling: International Financial Markets - Foreign Exchange eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-04-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130585507","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