scholarly journals Excess Volatility of Exchange Rates with Unobservable Fundamentals

2000 ◽  
Author(s):  
Leonardo Bartolini ◽  
Lorenzo Giorgianni
Keyword(s):  
Exchange Rates ◽  
Excess Volatility

scholarly journals Excess Volatility of Exchange Rates with Unobservable Fundamentals

2001 ◽  
Vol 9 (3) ◽  
pp. 518-530 ◽  
Author(s):  
Leonardo Bartolini ◽  
Lorenzo Giorgianni
Keyword(s):  
Exchange Rates ◽  
Excess Volatility

scholarly journals Rare Disasters and Exchange Rates *

2015 ◽  
Vol 131 (1) ◽  
pp. 1-52 ◽  
Author(s):  
Emmanuel Farhi ◽  
Xavier Gabaix
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Asset Markets ◽  
Carry Trade ◽  
Currency Options ◽  
Forward Premium ◽  
Rare Disasters ◽  
Excess Volatility ◽  
Premium Puzzle ◽  
Exchange Rate Disconnect

Abstract We propose a new model of exchange rates, based on the hypothesis that the possibility of rare but extreme disasters is an important determinant of risk premia in asset markets. The probability of world disasters as well as each country’s exposure to these events is time-varying. This creates joint fluctuations in exchange rates, interest rates, options, and stock markets. The model accounts for a series of major puzzles in exchange rates: excess volatility and exchange rate disconnect, forward premium puzzle and large excess returns of the carry trade, and comovements between stocks and exchange rates. It also makes empirically successful signature predictions regarding the link between exchange rates and telltale signs of disaster risk in currency options.

scholarly journals On the Intraday Behavior of Bitcoin

Ledger ◽  
2021 ◽  
Vol 6 ◽  
Author(s):  
Giacomo De Nicola
Keyword(s):  
Time Series ◽  
Exchange Rates ◽  
Trading Strategy ◽  
Algorithmic Trading ◽  
Financial Assets ◽  
Medium Frequency ◽  
First Order ◽  
Market Participants ◽  
Excess Volatility ◽  
Shed Light

We analyze the intraday time series of Bitcoin, comparing its features with those of traditional financial assets such as stocks and exchange rates. The results shed light on similarities as well as significant deviations from the standard patterns. In particular, our most interesting finding is the unusual presence of significant negative first-order autocorrelation of returns calculated on medium-frequency timeframes, such as one, two and four hours, signaling the presence of systematic mean reversion. It is also found that larger price movements lead to stronger reversals, in percentage terms. We finally point out the potential exploitability of the phenomenon by implementing a basic algorithmic trading strategy and retroactively applying it to the data. We explain the findings mainly through (i) investor and trader overreaction, (ii) excess volatility and (iii) cascading liquidations due to excessive use of leverage by market participants.

scholarly journals Welfare and excess volatility of exchange rates

2011 ◽  
Vol 52 (2) ◽  
pp. 501-529 ◽  
Author(s):  
M. Salto ◽  
T. Pietra
Keyword(s):  
Exchange Rates ◽  
Excess Volatility

Fear of Free Floating or Forced Exchange Rate Fixing

2004 ◽  
pp. 112-122
Author(s):  
O. Osipova
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Exchange Rates ◽  
Inflation Targeting ◽  
Exchange Rate Policy ◽  
Float Exchange Rate ◽  
Floating Exchange Rate ◽  
Rate Policy ◽  
Exchange Rate Arrangements ◽  
Pass Through

After the financial crisis at the end of the 1990 s many countries rejected fixed exchange rate policy. However actually they failed to proceed to announced "independent float" exchange rate arrangement. This might be due to the "fear of floating" or an irreversible result of inflation targeting central bank policy. In the article advantages and drawbacks of fixed and floating exchange rate arrangements are systematized. Features of new returning to exchange rates stabilization and possible risks of such policy for Russia are considered. Special attention is paid to the issue of choice of a "target" currency composite which can minimize external inflation pass-through.

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
Author(s):  
Vinh Vo Xuan
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Factors Affecting ◽  
Crude Oil Prices ◽  
Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

Sign in / Sign up

Export Citation Format

Share Document