International Yield Curves And Currency Puzzles
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International Yield Curves And Currency Puzzles
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Author : Mikhail Chernov
language : en
Publisher:
Release Date : 2018
International Yield Curves And Currency Puzzles written by Mikhail Chernov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
The depreciation rate is often computed as the ratio of foreign and domestic pricing kernels. Using bond prices alone to estimate these kernels leads to currency puzzles: the inability of models to match violations of uncovered interest parity and the volatility of exchange rates. One cannot use information in bonds alone because exchange rates are not spanned by bonds. This view of the puzzles is distinct from market incompleteness. Incorporating exchange rates into estimation of yield curve models helps with resolving the puzzles. It also allows us to connect the differences between international yield curves to characteristics of exchange rates.
International Yield Curves And Currency Puzzles
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Author : Mikhail Chernov
language : en
Publisher:
Release Date : 2018
International Yield Curves And Currency Puzzles written by Mikhail Chernov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
International Yield Curves And Currency Puzles
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Author : Mikhail Chernov
language : en
Publisher:
Release Date : 2018
International Yield Curves And Currency Puzles written by Mikhail Chernov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
The depreciation rate is often computed as the ratio of foreign and domestic pricing kernels. Using bond prices alone to estimate these kernels leads to currency puzzles: the inability of models to match violations of uncovered interest parity and the volatility of exchange rates. One cannot use information in bonds alone because exchange rates are not spanned by bonds. This view of the puzzles is distinct from market incompleteness. Incorporating exchange rates into estimation of yield curve models helps with resolving the puzzles. It also allows us to connect the differences between international yield curves to characteristics of exchange rates.
Random Walks In Fixed Income And Foreign Exchange
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Author : Jessica James
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2021-06-08
Random Walks In Fixed Income And Foreign Exchange written by Jessica James and has been published by Walter de Gruyter GmbH & Co KG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-06-08 with Business & Economics categories.
The fixed income and foreign exchange (FX) markets have never been as challenging to operate in as they are today. The post-crash combination of reduced liquidity, higher operating costs, low interest rates, flat yield curves and increased regulation means that market makers and investors alike need to work harder to generate value and remain in full understanding of the markets. Random Walks in Fixed Income and Foreign Exchange brings together the best of detailed and original practitioner-orientated market research on many specialist areas of the bond and FX markets. Written by the highly regarded FX and bonds research desk at Commerzbank, the book offers varied and in-depth insight into specific topics of vital important to dealers and investors, including the cross-currency basis and hedging, the yield curve, and overseas issuance conversion factors which will give investors a genuine edge in generating value. Written in accessible text, it is a must-read for all those interested in bonds and FX.
Exchange Rate Economics
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Author : Ronald MacDonald
language : en
Publisher: Routledge
Release Date : 2005
Exchange Rate Economics written by Ronald MacDonald and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Foreign exchange categories.
''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""
The Non U S Bank Demand For U S Dollar Assets
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Author : Mr.Tobias Adrian
language : en
Publisher: International Monetary Fund
Release Date : 2020-06-19
The Non U S Bank Demand For U S Dollar Assets written by Mr.Tobias Adrian and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-19 with Business & Economics categories.
The USD asset share of non-U.S. banks captures the demand for dollars by these investors. An instrumental variable strategy identifies a causal link from the USD asset share to the USD exchange rate. Cross-sectional asset pricing tests show that the USD asset share is a highly significant pricing factor for carry trade strategies. The USD asset share forecasts the dollar with economically large magnitude, high statistical significance, and large explanatory power, both in sample and out of sample, pointing towards time varying risk premia. It takes 2-5 years for exchange rate risk premia to normalize in response to demand shocks.
Equilibrium Yield Curve The Phillips Curve And Monetary Policy
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Author : Mitsuru Katagiri
language : en
Publisher: International Monetary Fund
Release Date : 2018-11-09
Equilibrium Yield Curve The Phillips Curve And Monetary Policy written by Mitsuru Katagiri and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-11-09 with Business & Economics categories.
Upward sloping yield curves are hard to reconcile with the positive association between income and inflation (the Phillips curve) in consumption-based asset pricing models. Using US and UK data, this paper shows inflation is negatively correlated with long-run income growth but positively correlated with cyclical income, thus enabling the model to replicate positive and sizable term premiums, along with the Phillips curve over business cycles. Quantitative analyses also emphasize the importance of monetary policy, predicting that a permanently low growth and low inflation environment would precipitate flatter yield curves due to constraints to monetary policy around the zero lower bound.
Riding The Yield Curve Risk Taking Behavior In A Low Interest Rate Environment
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Author : Mr.Ralph Chami
language : en
Publisher: International Monetary Fund
Release Date : 2020-03-13
Riding The Yield Curve Risk Taking Behavior In A Low Interest Rate Environment written by Mr.Ralph Chami and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-03-13 with Business & Economics categories.
Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with the empirical properties of cashflow valuations identified in the literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk. Capital losses are amplified when interest rates increase and risk averse investors have taken positions on instruments with longer maturity, expecting instead interest rates to revert back to their historical average.
Currencies Commodities And Consumption
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Author : Kenneth W. Clements
language : en
Publisher: Cambridge University Press
Release Date : 2013-01-31
Currencies Commodities And Consumption written by Kenneth W. Clements and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-31 with Business & Economics categories.
Discusses economic issues associated with exchange rates, commodity prices, the economic size of countries and alternatives to PPP exchange rates.
Nber Macroeconomics Annual 2000
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Author : Ben Bernanke
language : en
Publisher: Mit Press
Release Date : 2001-02-19
Nber Macroeconomics Annual 2000 written by Ben Bernanke and has been published by Mit Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-02-19 with Macroeconomics categories.
The NBER Macroeconomics Annual presents, extends, and applies pioneering work in macroeconomics and stimulates work by macroeconomists on important policy issues. Each paper in the Annual is followed by comments and discussion.