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.
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TL;DR: In this article, the authors hypothesize that firms' 10-K market risk disclosures, recently mandated by SEC Financial Reporting Release No. 48 (FRR No. 6), reduce investors' uncertainty and diversity of opinion about the implications, for firm value, of changes in interest rates, foreign currency exchange rates, and commodity prices.
Abstract: We hypothesize that firms' 10‐K market risk disclosures, recently mandated by SEC Financial Reporting Release No. 48 (FRR No. 48), reduce investors' uncertainty and diversity of opinion about the implications, for firm value, of changes in interest rates, foreign currency exchange rates, and commodity prices. We argue that this reduced uncertainty and diversity of opinion should dampen trading volume sensitivity to changes in these underlying market rates or prices. Consistent with this hypothesis, we find that after firms disclose FRR No. 48‐mandated information about their exposures to interest rates, foreign currency exchange rates, and energy prices, trading volume sensitivity to changes in these underlying market rates and prices declines, even after controlling for other factors associated with trading volume. The observed declines in trading volume sensitivity are consistent with FRR No. 48 market risk disclosures providing useful information to investors.
233 citations
TL;DR: In this article, the impact of nine categories of scheduled and unscheduled news announcements on the euro/dollar return volatility was studied and the authors highlighted and analyzed the pre-announcement, contemporaneous and post-announcedment reactions.
233 citations
Book•
01 Oct 2001
TL;DR: This comprehensive book presents a systematic and practically oriented approach to mathematical modeling in finance, particularly in the foreign exchange context, in detail.
Abstract: Introduction: Foreign Exchange Markets Mathematical Preliminaries: Elements of Probability Theory Discrete-Time Stochastic Engines Continuous-Time Stochastic Engines Discrete-Time Models: Single-Period Markets Multi-Period Markets Continuous-Time Models: Stochastic Dynamics of Forex European Options: The Group-Theoretical Approach European Options, the Classical Approach Deviations from the Black-Scholes Paradigm I: Nonconstant Volatility American Options Path-Dependent Options I: Barrier Options: Path-Dependent Options II: Lookback, Asian and other Options Deviations from the Black-Scholes Paradigm II: Market Frictions Future Directions of Research and Conclusions.
231 citations
TL;DR: In this paper, the authors developed a three-country model of the world economy, which links real trade patterns with currency exchange structures in a general equilibrium framework which includes transaction costs on foreign exchange markets.
Abstract: On the international scene, away from national legal rules, the use of different currencies is largely due to the operation of the "Invisible Hand". The paper develops a three-country model of the world economy. This links real trade patterns with currency exchange structures in a general equilibrium framework which includes transaction costs on foreign exchange markets. In the presence of strategic complementarities, there are multiple equilibrium structures of currency exchange for a given underlying real trade pattern. The existence conditions of these different equilibria are characterized, using the trade links between countries as the key parameters. Finally, repercussions on world output of the choice of a currency exchange structure are analysed.
228 citations
TL;DR: In this article, the authors use a three-region world model as a framework for alternative steady-state scenarios and access the plausibility of those scenarios and the implications for economic efficiency (welfare).
Abstract: The European Union will enter Stage Three of Economic and Monetary Union (EMU) in 1999. The development of euro financial markets and thickness externalities in the use of the euro as a means of payment will be the major factors determining the importance of the euro as an international currency. As euro securities markets become deeper and more liquid and transactions costs fall, euro assets will become more attractive, and the use of the euro as a vehicle currency will expand; the two effects interact, as we demonstrate. We use a three-region world model as a framework for alternative steady-state scenarios. With forex and securities market data, we access the plausibility of those scenarios and the implications for economic efficiency (welfare). We find that the euro may take on some of the current roles of the dollar, but the extent to which it does will depend on policy decisions and on the beliefs of market participants. The welfare analysis reveals potential quantitatively significant benefits for the euro area, at the cost of the US and (to a lesser degree) Japan. During the transition to the new equilibrium, the main effect of the introduction of the euro will come through portfolio shifts that are likely to favour an appreciation of the new currency vis-O-vis the dollar (and the yen). Whatever the likely long-run outcome, the dollar will remain quantitatively dominant for some time because of inertia and hysteresis u with multiple equilibria and likely threshold effects, we would not expect a quick transition to a new equilibrium. The early period could see considerable instability associated with the emergence of the euro, especially if the United States were to resist any decline in the international status of the dollar.
226 citations