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 paper, the authors examined the possible causal effect of U.S. economic policy uncertainty on the connectedness of crude oil and currency markets, using a sample of commodity currencies from advanced and emerging nations.
94 citations
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TL;DR: The 2004 survey showed a surge in traditional foreign exchange trading, driven by momentum trading and carry trades in a global search for yield on the part of institutional investors and leveraged players as well as by hedging activity as discussed by the authors.
Abstract: The 2004 survey shows a surge in traditional foreign exchange trading. This seems to have been driven by momentum trading and carry trades in a global search for yield on the part of institutional investors and leveraged players as well as by hedging activity.
94 citations
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TL;DR: In this paper, the authors apply Girton and Roper's model of exchange market pressure to the postwar Brazilian monetary experience and show that a much greater proportion of the exchange market market pressure was absorbed by exchange rate depreciation than in the Canadian case where changes in reserves were large relative to exchange rate movements.
Abstract: This study applies Lance Girton and Don Roper's (hereafter G-R) monetary model of exchange market pressure to the postwar Brazilian monetary experience. The model was designed specifically for the Canadian managed float during the period 1952-62. The object of their model is to explain what they term "exchange market pressure"; that is, the pressure on foreign exchange reserves and the exchange rate when there exists an excess of domestic money supply over money demand in a managed floating exchange rate regime. The basic theoretical proposition is that any such excess supply of money can be relieved by an exchange depreciation, a loss in foreign reserves, or, in the context of a managed float, by some combination of the two. In this sense, the G-R managed float model used here is firmly rooted in the modern monetary approach to exchange rates and the balance of payments.' Brazil provides a particularly good example for testing this approach, not only because it is in many senses a unique example of a postwar managed float system, but also because it can be treated as a "small, open" economy in the sense that world prices and monetary conditions faced by Brazil are taken as given. This particularly suits the purpose of most modern monetary models which make this assumption and obviates the problems of monetary dependence and neutralization dealt with in the pioneering G-R paper. Specifically, the small-country assumption permits us to devise a simple one-country equation of managed floating which depends upon four essential ingredients: 1) money demand, 2) money supply, 3) purchasing power parity, and 4) monetary equilibrium.2 Furthermore, in Brazil a much greater proportion of exchange market pressure was absorbed by exchange rate depreciation than in the Canadian case where changes in reserves were large relative to exchange rate movements. In short, postwar Brazil provides a singularly good opportunity to test the monetary model of exchange market pressure. Section I briefly states the essential elements of the monetary model, and derives the equation to be tested for the Brazilian experience from 1955 to 1975. Section II reports empirical results for the exchange market pressure model, and Section III examines the applicability of the relative version of purchasing power parity for the time period considered. Section IV summarizes the results and discusses the merits of the monetary approach in light of the Brazilian experience.
94 citations
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TL;DR: In this article, the authors explored two economic explanations for the asymmetric effects of foreign and local investors on market volatility in Indonesia and Thailand, and found that foreign selling accounts for only a small portion of daily trading, but it has the highest explanatory power for market volatility.
Abstract: This paper documents a strong contemporaneous relationship between foreign equity trading and market volatility in Indonesia and Thailand. Although foreign selling accounts for only a small portion of daily trading, it has the highest explanatory power for market volatility in both countries. Trading within foreign and local investor groups is often negatively related to volatility. The findings are robust to different sub-periods and different measures for volatility and trading activities. We explore two economic explanations for the asymmetric effects of foreign and local investors.
93 citations
TL;DR: This paper found a positive link between the interventions of the Bank of Japan and the volatility of the yen/U.S. dollar exchange rate, and also found that those BoJ interventions that were not reported in the financial press were positively correlated with exchange rate volatility.
93 citations