Topic
Foreign exchange market
About: Foreign exchange market is a research topic. Over the lifetime, 6661 publications have been published within this topic receiving 153384 citations. The topic is also known as: forex & FX.
Papers published on a yearly basis
Papers
More filters
Posted Content•
TL;DR: In this article, the role of exchange rate risk in influencing local currency sovereign bond yields in emerging market economies (EMEs) has been considered, as measured by exchange rate volatility.
Abstract: In this paper we consider the role of exchange rate risk in influencing local currency sovereign bond yields in emerging market economies (EMEs). We explicitly account for exchange rate expectations and uncertainty around them, as measured by exchange rate volatility. The analysis points to an important influence of exchange rate risk: when exchange rate volatility increases, investors require a larger yield compensation for holding EME local currency sovereign bonds. The impact of exchange rate volatility has become more important since May 2013, when investors realised that the Federal Reserve may reduce the scale of its asset purchases sooner than previously expected.
40 citations
TL;DR: In this article, the authors investigate cross-market volatility spillover effects across New York and London foreign exchange and equity markets using generalized autoregressive conditional heteroscedasticity approach.
Abstract: We investigate cross-market volatility spillover effects across New York and London foreign exchange and equity markets. By using several daily data-sets, each relating to a different time of the day, and the generalized autoregressive conditional heteroscedasticity approach, the empirical analysis found volatility spillover effects (meteor shower effects) from the foreign exchange market in London and New York to the equity market in New York and London, respectively. By contrast, the results did not show volatility spillover effects from the equity markets to the foreign exchange markets across New York and London.
40 citations
Book•
31 May 1996
TL;DR: In this paper, the authors present a method for determining spot and forward exchange rates, as well as currency futures, options, swaps, and swaps in order to determine the optimal currency denomination in long-term debt financing.
Abstract: Introduction. 1. Determination of Spot Exchange Rates. 2. Determination of Forward Exchange Rates. 3. Currency Futures, Options and Swaps. 4. Forecasting Floating Exchange Rates. 5. Forecasting Pegged Yet Adjustable Exchange Rates. 6. Accounting Exposure to Foreign Exchange Risk. 7. Economic Exposure to Foreign Exchange Risk. 8. Exchange Risks in International Trade. 9. Optimal Currency Denomination in Long Term Debt Financing. 10. Hedging Translation Exposure. 11. Exchange Rates and the International Control Conundrum. Conclusion. Index.
40 citations
11 Aug 2013
TL;DR: Forex-foreteller is presented which mines news articles and makes forecasts about the movement of foreign currency markets and has an interactive visualizer designed specifically for touch-sensitive devices which depicts forecasts along with the chronological news events and financial data used for making the forecasts.
Abstract: Financial markets are quite sensitive to unanticipated news and events. Identifying the effect of news on the market is a challenging task. In this demo, we present Forex-foreteller (FF) which mines news articles and makes forecasts about the movement of foreign currency markets. The system uses a combination of language models, topic clustering, and sentiment analysis to identify relevant news articles. These articles along with the historical stock index and currency exchange values are used in a linear regression model to make forecasts. The system has an interactive visualizer designed specifically for touch-sensitive devices which depicts forecasts along with the chronological news events and financial data used for making the forecasts.
40 citations