Uncovered Interest Parity And Carry Trades
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Uncovered Interest Parity And Carry Trades
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Author : Torsten Abendroth
language : en
Publisher: GRIN Verlag
Release Date : 2017-01-18
Uncovered Interest Parity And Carry Trades written by Torsten Abendroth and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-18 with Business & Economics categories.
Master's Thesis from the year 2016 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,0, University of Frankfurt (Main) (Goethe Business School), language: English, abstract: The aim of this thesis is to test UIP by implementing an OLS regression analysis for five currency pairs which, according to CFTC data, global turnover data and carry-to-risk ratios, were among the most popular in the investor community. To increase the significance of this thesis for practitioners, the work will use one-month forward contracts which are used frequently by investors and include bid and ask rates in order to account for transaction costs. In addition, all currency pairs include the US Dollar for reasons of better liquidity, and therefore tighter bid-ask spreads. Moreover, this thesis will present recent findings in literature which try to explain deviations from UIP. Approaches can be separated by the focus on a risk premium, by irrational market behavior or by learning problems and market inefficiency. While most focus is laid on an explanation by a risk premium, it will be shown that it is crucial to combine the different scientific disciplines in order to solve the forward premium puzzle. In addition to this, the thesis will provide an outlook on the future attractiveness of carry trade strategies.
Exchange Rate Economics
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Author : Norman C. Miller
language : en
Publisher: Edward Elgar Publishing
Release Date : 2014-09-26
Exchange Rate Economics written by Norman C. Miller and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-09-26 with Business & Economics categories.
The Uncovered Interest Parity (UIP) puzzle has remained a moot point since it first circulated economic discourse in 1984 and, despite a number of attempts at a solution, the UIP puzzle and other anomalies in Exchange Rate Economics continue to perplex
Poland And The Eurozone
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Author : J. Hölscher
language : en
Publisher: Palgrave Macmillan
Release Date : 2014-10-17
Poland And The Eurozone written by J. Hölscher and has been published by Palgrave Macmillan this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-10-17 with Business & Economics categories.
Poland is one of Europe's economic out-performers. The country's history and geography encourage it to be in favour of deeper European integration. This book aims to contribute to discussions on the future shape of EMU and the next steps ahead.
Innovations In Quantitative Risk Management
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Author : Kathrin Glau
language : en
Publisher: Springer
Release Date : 2015-01-09
Innovations In Quantitative Risk Management written by Kathrin Glau and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-01-09 with Mathematics categories.
Quantitative models are omnipresent –but often controversially discussed– in todays risk management practice. New regulations, innovative financial products, and advances in valuation techniques provide a continuous flow of challenging problems for financial engineers and risk managers alike. Designing a sound stochastic model requires finding a careful balance between parsimonious model assumptions, mathematical viability, and interpretability of the output. Moreover, data requirements and the end-user training are to be considered as well. The KPMG Center of Excellence in Risk Management conference Risk Management Reloaded and this proceedings volume contribute to bridging the gap between academia –providing methodological advances– and practice –having a firm understanding of the economic conditions in which a given model is used. Discussed fields of application range from asset management, credit risk, and energy to risk management issues in insurance. Methodologically, dependence modeling, multiple-curve interest rate-models, and model risk are addressed. Finally, regulatory developments and possible limits of mathematical modeling are discussed.
International Financial Markets
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Author : Hung-Gay Fung
language : en
Publisher: Emerald Group Publishing
Release Date : 2013-09-06
International Financial Markets written by Hung-Gay Fung and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-06 with Business & Economics categories.
This volume contributes to a fresh perspective on the economic and finance research on international financial markets and also the commodity markets by examining various factors that affect information transmission and pricing relation in the spot and derivatives markets in the United States and internationally.
Covered Interest Parity Deviations Macrofinancial Determinants
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Author : Mr.Eugenio M Cerutti
language : en
Publisher: International Monetary Fund
Release Date : 2019-01-16
Covered Interest Parity Deviations Macrofinancial Determinants written by Mr.Eugenio M Cerutti 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 2019-01-16 with Business & Economics categories.
For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial drivers of the variation in CIP deviations have also become significant. The variation in CIP deviations seems to be associated with multiple factors, not only regulatory changes. Most of these do not display a uniform importance across currency pairs and time, and some are associated with possible temporary considerations (such as asynchronous monetary policy cycles).
Handbook Of Exchange Rates
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Author : Jessica James
language : en
Publisher: John Wiley & Sons
Release Date : 2012-05-29
Handbook Of Exchange Rates written by Jessica James and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-29 with Business & Economics categories.
Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.
Foreign Exchange
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Author : Adam S. Iqbal
language : en
Publisher: Springer Nature
Release Date : 2022-02-22
Foreign Exchange written by Adam S. Iqbal and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-02-22 with Business & Economics categories.
One of the great challenges that many participants in foreign exchange (FX) markets face is sifting through the often overwhelming amount of information that is available. Media outlets stream updates on international politics, economics, and other factors that move FX prices twenty-four hours a day. It is difficult to work out what is and what is not important. This book helps its reader overcome these challenges by combining the insights gained from a market practitioner who has traded FX at Goldman Sachs, PIMCO, and Barclays Investment Bank, with textbook-level modern financial macroeconomic theory. The book covers macroeconomics relating to exchange rate determination. While you could obtain this information from a disparate set of sources―textbooks, academic literature, industry research notes, conversations with other market practitioners, and theories cited in media reports―this book brings all of these sources together to translate the information into concrete FX views that are firmly rooted in the macroeconomic theory of risk premiums, interest rates, and inflation, among other topics. The book promotes time consistent thought that avoids the daily temptation to jump from that day’s economic narrative to the next. Of particular interest to buy- and sell-side industry practitioners, finance and economics graduate students, academics, and others interested in FX markets, this book teaches its readers how to do this and improve their own trading and understanding of the FX markets.
Currency Carry Trades
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Author : Blake Mitchell
language : en
Publisher:
Release Date : 2023-09-20
Currency Carry Trades written by Blake Mitchell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-09-20 with Business & Economics categories.
Carry Trading Mastery: Your Roadmap to Profiting from Forex and Interest Rates Unleash the potential of the Forex market and interest rates with "Carry Trading Mastery." This comprehensive guide takes you on a journey to understand and master the art of carry trading, where you can profit from the differentials in interest rates. Here's why this book is a game-changer: ���� Chapter 1: Fundamentals of Forex Trading and Interest Rates (Page 12) Build a strong foundation by learning the basics of Forex trading and how interest rates impact currency markets. ���� Chapter 2: The Concept of Carry Trade Strategy (Page 18) Dive into the core of carry trading and understand how this strategy works. ���� Chapter 3: Analyzing Currency Correlations (Page 23) Learn the importance of currency correlations in optimizing your carry trade strategy. ���� Chapter 4: Factors Affecting Exchange Rates (Page 28) Explore the key factors that influence exchange rates, giving you a competitive edge. ���� Chapter 5: Interest Rate Parity Theories (Page 33) Delve into interest rate parity theories and their implications on currency markets. ���� Chapter 6: Identifying High-Yield and Low-Yield Currencies (Page 38) Discover how to identify currencies with high-yield potential for your carry trade. ���� Chapter 7: Technical Analysis in Currency Carry Trades (Page 43) Master technical analysis techniques to refine your currency carry trading decisions. ���� Chapter 8: Fundamental Analysis in Currency Carry Trades (Page 49) Combine fundamental analysis with your carry trading strategy for better results. ����️ Chapter 9: Risk Management in Currency Carry Trades (Page 55) Learn crucial risk management strategies to protect your investments. ���� Chapter 10: Psychological Aspects of Currency Carry Trading (Page 61) Explore the psychology behind successful carry trading and develop a winning mindset. ���� Chapter 11: Formulating and Executing Carry Trade Strategies (Page 67) Create and execute effective carry trade strategies with confidence. ����️ Chapter 15: Global Economic Trends and Carry Trades (Page 86) Stay informed about global economic trends and their impact on your carry trades. ���� Chapter 16: Regulatory Considerations in Forex Trading (Page 90) Understand the regulatory landscape of Forex trading to ensure compliance. ���� Chapter 17: Alternative Carry Trade Strategies (Page 94) Explore alternative carry trade strategies to diversify your approach. ���� Chapter 18: Future Outlook for Carry Trading (Page 98) Gain insights into the future of carry trading and adapt to evolving market conditions. Conclusion: Applying Knowledge and Embracing the Journey (Page 102) "Carry Trading Mastery" is your passport to success in the world of carry trading. Whether you're a novice or experienced trader, this book equips you with the knowledge and strategies needed to thrive in this exciting market. Don't miss this opportunity to unlock the secrets of carry trading success. Get your copy of "Carry Trading Mastery" now and embark on a journey towards financial prosperity!
Deviations From Uncovered Interest Parity
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Author : Mr.Evan Tanner
language : en
Publisher: International Monetary Fund
Release Date : 1998-08-01
Deviations From Uncovered Interest Parity written by Mr.Evan Tanner 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 1998-08-01 with Business & Economics categories.
Ex-post deviations from uncovered interest parity (UIP) – realized differences between dollar returns on identical assets of different currencies – equal the real interest differential plus real exchange rate growth. Among industrialized countries, UIP deviations are largely explained by unanticipated real exchange rate growth, but among developing countries, real interest differentials are “where the action is.” This observation is due to the greater variability of inflation in developing countries, but may also stem from higher and more variable risks and capital controls in these countries. Also, among developing countries with moderate inflation, offsetting comovements of real interest differentials and real exchange growth support the sticky-price hypothesis.