Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?

2009 ◽  
pp. n/a-n/a ◽  
Author(s):  
Kate Phylaktis ◽  
Long Chen
Keyword(s):  
Asymmetric Information ◽  
Price Discovery ◽  
Macroeconomic Announcements ◽  
Fx Market

Price Discovery and Transmission Mechanism between CDS and FX markets

2011 ◽  
Vol 19 (1) ◽  
pp. 37-58
Author(s):  
Hong Bae Kim ◽  
Sang Hoon Kang
Keyword(s):  
Financial Crisis ◽  
Trading Volume ◽  
Price Discovery ◽  
Global Financial Crisis ◽  
Credit Default Swap ◽  
Spillover Effects ◽  
Reverse Direction ◽  
Volatility Transmission ◽  
The Global Financial Crisis ◽  
Fx Market

This study investigated the relationship between the CDS (credit default swap) market with the FX spot (FX swap) market, including the period of recent global financial crisis. A measure for market efficiency is the condition that the derivative markets dominate the asset market in price discovery. In our case, however, FX market should be leading the CDS market. We found FX (spot and Derivatives) market has co-integration relationship with CDS market. Looking at Gonzalo Granger (GG) and Hasbrouck's price discovery measure, we found the FX spot and derivatives market dominated CDS market in price discovery. This study has also examined the direction of shock spillover and volatility transmission between Korean CDS spread and Foreign exchange spot (FX swap) markets using the VECM bivariate GARCH approach. Our evidence suggested the presence of bi-directional shock volatility and volatility transmission between the CDS market and FX spot market partially exist. However, volatility spillover effects from CDS market to FX Swap market are stronger than in the reverse direction during the global financial crisis, indicating that the CDS spread signaling sovereign risk play a more important role in influencing the volatility of FX derivatives market. There are some particular features in FX market. The volatility and shock of CIP deviations reflecting arbitrage opportunities in FX swap market are influenced by those of CDS spread in tranquil period prior to Lehman failure. But after Lehman failure CDS played a crucial role in signaling credit risk in FX derivatives market. We found that higher liquidity and trading volume of market matters more in price discovery and information transmission.

scholarly journals Around-the-Clock USD/MXN Volatility: Macroeconomic Announcement Spillovers and FX Market Intervention Mechanisms

2021 ◽  
Author(s):  
Wilfrido Jurado Pedroza
Keyword(s):  
Federal Reserve ◽  
High Frequency ◽  
High Frequency Data ◽  
Frequency Data ◽  
High Frequencies ◽  
Macroeconomic Announcements ◽  
Market Intervention ◽  
Mexican Peso ◽  
Fx Market ◽  
The U.S

This paper advances the literature on the dynamics of the U.S. Dollar-Mexican Peso (USD/MXN) volatility process by leveraging high-frequency data. First, it documents the factors that characterize the intraday volatility process of the USD/MXN exchange rate at high frequencies based on a sample of five-minute returns from 2008 to 2017. Second, it empirically identifies the effects and the relative impact on the USD/MXN volatility process of various macroeconomic announcements, at different frequencies. The results conclude that the most impactful releases are associated with the monetary policy announcements by the Federal Reserve and Banco de México, together with the publication of some U.S. and China macroeconomic data. Furthermore, the results suggest that the different mechanisms implemented by Mexico's FX Commission have accomplished their objective of stabilizing the volatility of the USD/MXN.

Evidences for Price Discovery between On- and Off-shore Won/Dollar Spot, Forward and NDF FX Rate

2016 ◽  
Vol 24 (2) ◽  
pp. 339-363
Author(s):  
Ki Beom Binh ◽  
Sang-min Lee ◽  
Won Seop Lee
Keyword(s):  
Financial Markets ◽  
Exchange Rates ◽  
Price Discovery ◽  
Mutual Influence ◽  
Dollar Spot ◽  
Information Share ◽  
Global Crisis ◽  
Exchange Rate Fluctuations ◽  
Spot Exchange Rate ◽  
Fx Market

Using Hasbrouck’s (1995, 2002) information share method, we examine the mutual price discovery dynamics among Won/Dollar spot, forward, and NDF exchange rates in on- and off-shore FX markets. Our findings include : (i) During the entire period, the mutual price discovery between on-shore FX market and off-shore NDF market are significantly led by on-shore Won-Dollar spot and forward exchange rates. (ii) Within the period around the global crisis, NDF exchange rates have mutual influence on the price discovery, which is expecially greater than the any other period. The results show Won-Dollar spot exchange rate fluctuations during the global crisis are greatly affected by external factors of the international financial markets. Not only that, but off-shore NDF trading promptly reflects the price information of KRW on the factors.

Sign in / Sign up

Export Citation Format

Share Document