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.

Foreign exchange market intervention in EMEs: what has changed?

Abstract: Since the Great Financial Crisis, emerging market economies have been more active in FX markets. As rising dollar debt and increased exposure to global financing flows have affected the demand and supply of foreign currency, financial stability has become an increasingly important motive for interventions. Adjustments in intervention tactics and instruments are consistent with a greater importance of financial stability considerations. Timely interventions can be effective in improving FX market liquidity, and there are credibility gains from holding foreign reserve buffers in countries with low credit ratings. Since the carrying costs of holding reserves have increased, countries with higher credit ratings may have incentives to reduce the size of reserve buffers.

Heat Waves, Meteor Showers, and Trading Volume: An Analysis of Volatility Spillovers in the U.S. Treasury Market *

Abstract: The market for U.S. Treasury securities operates around-the-clock from the three main trading centers of Tokyo, London, and New York. We examine this market for volatility spillovers using the methodology employed by Engle, Ito, and Lin (1990) for the foreign exchange market. We find meteor showers in Tokyo and London but not New York; i.e., volatility spills over into Tokyo and London from the other trading centers, but not into New York. We also find that lagged trading volume significantly impacts U.S. Treasury yield volatility for the overseas trading centers, although it does not change the basic meteor shower findings.

Foreign exchange market bid—ask spreads and the market price of social unrest

Abstract: Time-series evidence yields estimates of the increase in the spread on the South African rand on days when riots, demonstrations, armed attacks, and related deaths occur in South Africa. The cross-section evidence demonstrates how spreads vary across thirty-six industrial and developing countries as spot rate volatility and country risk vary. Both the changes in the spread over time for particular countries and the changes in the spread across the countries at a particular time appear to be significantly related to countries' risk differences and exchange-rate volatility. Copyright 1996 by Royal Economic Society.

System and method for hedging against foreign exchange risk associated with securities transactions

Abstract: A method for hedging an investor against a currency risk associated with a purchase of a security having a value, the investor having purchased the security in a foreign currency and the investor desiring to receive the proceeds from a sale of the security in a home currency. The foreign currency and home currency have an exchange rate at the time of the purchase and an exchange rate at the time of the sale. The method includes the steps of receiving a request for hedging against the currency risk for a time period. Next, a cost is calculated for hedging against the currency risk based on the foreign currency, the home currency, the exchange rate at the time of the purchase, the value and the time period. Next, the investor is provided with the proceeds from the sale based on the exchange rate at the time of the sale if the exchange rate at the time of the sale is greater than the exchange rate at the time of the purchase. Finally, the investor is provided with the proceeds from the sale based on the exchange rate at the time of the purchase if the exchange rate at the time of the purchase is greater than or equal to the exchange rate at the time of the sale.