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_main.bbl
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% $ biblatex auxiliary file $
% $ biblatex bbl format version 3.2 $
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%
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{}
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\refsection{0}
\datalist[entry]{nyt/global//global/global}
\entry{aalbers2008}{article}{}
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{{hash=f0c57a50d6f6bd06b0b2184b0f9684f8}{%
family={Aalbers},
familyi={A\bibinitperiod},
given={Manuel\bibnamedelima B.},
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\field{labelnamesource}{author}
\field{labeltitlesource}{title}
\field{abstract}{Financialization can be characterized as capital switching from the primary, secondary or tertiary circuit to the quaternary circuit of capital. Housing is a central aspect of financialization. The financialization of mortgage markets demands that not just homes but also homeowners become viewed as financially exploitable. It is exemplified by the securitization of mortgage loans, but also by the use of credit scoring and risk-based pricing. In the past century, mortgage markets were transformed from being a ?facilitating market? for homeowners in need of credit to one increasingly facilitating global investment. Since mortgage markets are both local consumer markets and global investment markets, the dynamics of financialization and globalization directly relate homeowners to global investors thereby increasing the volatility in mortgage markets, as the current crisis shows all too well.}
\field{journaltitle}{Competition \& Change}
\field{number}{2}
\field{title}{The {{Financialization}} of {{Home}} and the {{Mortgage Market Crisis}}}
\field{volume}{12}
\field{year}{2008}
\field{dateera}{ce}
\field{pages}{148\bibrangedash 166}
\range{pages}{19}
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\entry{accominotti2016}{inbook}{}
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family={Accominotti},
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\list{location}{1}{%
{London, UK}%
}
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{CFA Institute Research Foundation}%
}
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\field{abstract}{This chapter presents a short history of currency speculation and examines currency returns over the long run. I first review the main institutional developments in foreign exchange markets from the Middle Ages to the modern period. Next, I discuss the existing evidence on the long-run profitability of currency speculation strategies. Finally, I examine selected historical case studies of currency investors. The historical evidence suggests that foreign exchange traders can generate high profits but that any trading strategy also involves substantial risk. This is consistent with the view that the returns to currency speculation compensate investors for risk-taking.}
\field{booktitle}{Financial {{Market History}}: {{Reflections}} on the {{Past}} for {{Investors Today}}}
\field{isbn}{978-1-944960-13-1}
\field{shorttitle}{Foreign Exchange Markets and Currency Speculation}
\field{title}{Foreign Exchange Markets and Currency Speculation: {{Historical}} Perspectives}
\field{year}{2016}
\field{dateera}{ce}
\field{pages}{66\bibrangedash 85}
\range{pages}{20}
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\verb /home/bttomio/Zotero/storage/8RBTACNP/84574.html
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{Cambridge University Press}%
}
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\field{abstract}{This study exploits a new long-run data set of daily bid and offered exchange rates in spot and forward markets from 1919 to the present to analyze carry returns in fixed and floating currency regimes. We first find that outsized carry returns occur exclusively in the floating regime, being zero in the fixed regime. Second, we show that fixed-to-floating regime shifts are associated with negative returns to a carry strategy implemented only on floating currencies, robust to the inclusion of volatility risks. These shifts are typically characterized by global flight-to-safety events that represent bad times for carry traders.}
\field{issn}{0022-1090, 1756-6916}
\field{journaltitle}{Journal of Financial and Quantitative Analysis}
\field{langid}{english}
\field{number}{5}
\field{title}{Currency {{Regimes}} and the {{Carry Trade}}}
\field{volume}{54}
\field{year}{2019}
\field{dateera}{ce}
\field{pages}{2233\bibrangedash 2260}
\range{pages}{28}
\verb{file}
\verb /home/bttomio/Zotero/storage/94I7AJUZ/Accominotti et al. - 2019 - Currency Regimes and the Carry Trade.pdf;/home/bttomio/Zotero/storage/L3U4FNND/8FBB342DE04B880E7F6FFC83D10427B5.html
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\entry{adewuyi2019}{article}{}
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\field{abstract}{This paper re-examines uncovered interest parity (UIP) puzzle using Africa where there is dearth of studies. It extends the previous literature in the following ways. It captures the heterogeneity (oil and non-oil sources of shocks) in the region by considering both African members of the Organisation of Petroleum Exporting Countries- OPEC (Algeria, Nigeria and Angola) and non-member (South Africa) to ensure generalisation of findings. It also explores asymmetric exchange rate responses to diverse monetary policy stances from a new dimension by explicitly measuring asymmetries and capturing long- and short-run dynamics using the new non-linear autoregressive distributed lag (NARDL) and asymmetric component AC-GARCH models along with other recent methods for results' robustness. Results from alternative methods show that UIP fails to hold in the African members and non-member of OPEC which is attributable to capital mobility restrictions and currency risk. However, asymmetric and permanent/transitory exchange rate response to monetary policy stances was noticed with little evidence of risk premium dynamics and role of price level instability in UIP validity.}
\field{day}{1}
\field{issn}{0264-9993}
\field{journaltitle}{Economic Modelling}
\field{langid}{english}
\field{month}{11}
\field{shortjournal}{Economic Modelling}
\field{shorttitle}{The Validity of Uncovered Interest Parity}
\field{title}{The Validity of Uncovered Interest Parity: {{Evidence}} from African Members and Non-Member of the Organisation of Petroleum Exporting Countries ({{OPEC}})}
\field{urlday}{23}
\field{urlmonth}{7}
\field{urlyear}{2021}
\field{volume}{82}
\field{year}{2019}
\field{dateera}{ce}
\field{urldateera}{ce}
\field{pages}{229\bibrangedash 249}
\range{pages}{21}
\verb{doi}
\verb 10.1016/j.econmod.2019.01.008
\endverb
\verb{file}
\verb /home/bttomio/Zotero/storage/UW94WWPC/Adewuyi and Ogebe - 2019 - The validity of uncovered interest parity Evidenc.pdf;/home/bttomio/Zotero/storage/L69WQCWL/S0264999318301196.html
\endverb
\verb{urlraw}
\verb https://www.sciencedirect.com/science/article/pii/S0264999318301196
\endverb
\verb{url}
\verb https://www.sciencedirect.com/science/article/pii/S0264999318301196
\endverb
\keyw{A-C-GARCH,African OPEC and non-OPEC members,Extreme sampling method,Non-linear approaches,Uncovered interest parity}
\endentry
\entry{adrangi1998}{article}{}
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{{hash=1e5e1088a78bd7253e7555f30d563d95}{%
family={Chatruth},
familyi={C\bibinitperiod},
given={Arjun},
giveni={A\bibinitperiod}}}%
}
\strng{namehash}{845515f5ca49ae29df0b770a25efbe86}
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\field{abstract}{It is commonly suggested that certain groups of futures traders, such as speculators and small traders, exacerbate cash market volatility. Empirical research on the subject has been conducted in context of the relationship between price volatility and futures volume or open interest and fails to satisfactorily resolve such an issue. This paper examines the relationship between exchange rate variability and futures trading activity in the context of disaggregated open interest. The data and techniques employed allow for more specific inferences regarding which group of traders contribute to exchange volatility. The results suggest that while ‘typical’ levels of futures commitments are not destabilizing, surges in the level of commitments of large speculators and small traders causes exchange rate volatility. The actual release of the commitment-of-traders data, however, has no impact on spot prices.}
\field{issn}{1468-5957}
\field{journaltitle}{Journal of Business Finance \& Accounting}
\field{langid}{english}
\field{number}{3-4}
\field{title}{Futures {{Commitments}} and {{Exchange Rate Volatility}}}
\field{volume}{25}
\field{year}{1998}
\field{dateera}{ce}
\field{pages}{501\bibrangedash 520}
\range{pages}{20}
\verb{file}
\verb /home/bttomio/Zotero/storage/S5AXCE6C/Adrangi and Chatruth - 1998 - Futures Commitments and Exchange Rate Volatility.pdf;/home/bttomio/Zotero/storage/UF8QA5JI/1468-5957.html
\endverb
\keyw{commitments,currency,futures,speculation,volatility}
\endentry
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given={Luiz\bibnamedelimb A\bibnamedelima Pereira},
giveni={L\bibinitperiod\bibinitdelim A\bibinitperiod\bibinitdelim P\bibinitperiod},
prefix={da},
prefixi={d\bibinitperiod}}}%
}
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\field{journaltitle}{BIS Working Papers}
\field{title}{Macroeconomic Policy under a Managed Float: A Simple Integrated Framework}
\field{volume}{No 964}
\field{year}{2021}
\field{dateera}{ce}
\endentry
\entry{aglietta2005}{book}{}
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family={Aglietta},
familyi={A\bibinitperiod},
given={Michel},
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{{hash=61d50cb6adaee3f3b47874f7f7485e6d}{%
family={Rebérioux},
familyi={R\bibinitperiod},
given={Antoine},
giveni={A\bibinitperiod}}}%
}
\list{location}{1}{%
{Cheltenham, UK}%
}
\list{publisher}{1}{%
{Edward Elgar Publishing}%
}
\strng{namehash}{84a1ab54e0b630f1a2325fde601f9c5c}
\strng{fullhash}{84a1ab54e0b630f1a2325fde601f9c5c}
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\strng{authorbibnamehash}{84a1ab54e0b630f1a2325fde601f9c5c}
\strng{authornamehash}{84a1ab54e0b630f1a2325fde601f9c5c}
\strng{authorfullhash}{84a1ab54e0b630f1a2325fde601f9c5c}
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\true{uniqueprimaryauthor}
\field{labelnamesource}{author}
\field{labeltitlesource}{title}
\field{isbn}{978-1-84542-137-3}
\field{title}{Corporate {{Governance Adrift}}: {{A Critique}} of {{Shareholder Value}}}
\field{year}{2005}
\field{dateera}{ce}
\endentry
\entry{aguirre2019}{inbook}{}
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{{hash=074ca7d7b8d2cf2a926d98690299e5ec}{%
family={Aguirre},
familyi={A\bibinitperiod},
given={Álvaro},
giveni={Á\bibinitperiod}}}%
{{hash=05d04f3961c7d69fd4afa230281ed5f6}{%
family={Bauducco},
familyi={B\bibinitperiod},
given={Sofia},
giveni={S\bibinitperiod}}}%
{{hash=0a09124cc1ea6614f38ce4735b2f891e}{%
family={Saravia},
familyi={S\bibinitperiod},
given={Diego},
giveni={D\bibinitperiod}}}%
{{hash=074ca7d7b8d2cf2a926d98690299e5ec}{%
family={Aguirre},
familyi={A\bibinitperiod},
given={Álvaro},
giveni={Á\bibinitperiod}}}%
{{hash=fde4f37ef699aee2949ed7c8b6b11d3e}{%
family={Brunnermeier},
familyi={B\bibinitperiod},
given={Markus},
giveni={M\bibinitperiod}}}%
{{hash=0a09124cc1ea6614f38ce4735b2f891e}{%
family={Saravia},
familyi={S\bibinitperiod},
given={Diego},
giveni={D\bibinitperiod}}}%
}
\list{location}{1}{%
{Santiago, Chile}%
}
\list{publisher}{1}{%
{Central Bank of Chile}%
}
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\strng{fullhash}{3a48edbb83abe438bdb56b405cebf5d0}
\strng{bibnamehash}{3a48edbb83abe438bdb56b405cebf5d0}
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\strng{authorfullhash}{3a48edbb83abe438bdb56b405cebf5d0}
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\field{labelnamesource}{author}
\field{labeltitlesource}{title}
\field{booktitle}{Monetary {{Policy}} and {{Financial Stability}}: {{Transmission Mechanisms}} and {{Policy Implications}}}
\field{title}{Capital Flows Macroprudential Policies and Capital Controls}
\field{urlday}{22}
\field{urlmonth}{12}
\field{urlyear}{2021}
\field{year}{2019}
\field{dateera}{ce}
\field{urldateera}{ce}
\verb{file}
\verb /home/bttomio/Zotero/storage/Y48JKRVR/3867.html
\endverb
\verb{urlraw}
\verb http://repositoriodigital.bcentral.cl/xmlui/handle/20.500.12580/3867
\endverb
\verb{url}
\verb http://repositoriodigital.bcentral.cl/xmlui/handle/20.500.12580/3867
\endverb
\endentry
\entry{akram2008}{article}{}
\name{author}{3}{}{%
{{hash=44061bc6778739737dc3df112a0331ce}{%
family={Akram},
familyi={A\bibinitperiod},
given={Q.\bibnamedelimi Farooq},
giveni={Q\bibinitperiod\bibinitdelim F\bibinitperiod}}}%
{{hash=9d0c0bdc8fcda2e53e3e7bfb8841bba5}{%
family={Rime},
familyi={R\bibinitperiod},
given={Dagfinn},
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{{hash=3b297b635f73e7969c64fb25f0c739b4}{%
family={Sarno},
familyi={S\bibinitperiod},
given={Lucio},
giveni={L\bibinitperiod}}}%
}
\strng{namehash}{e89db050e3e9b37e12c321f980ea5b32}
\strng{fullhash}{ae8c913cb0040043e5135a5588651462}
\strng{bibnamehash}{ae8c913cb0040043e5135a5588651462}
\strng{authorbibnamehash}{ae8c913cb0040043e5135a5588651462}
\strng{authornamehash}{e89db050e3e9b37e12c321f980ea5b32}
\strng{authorfullhash}{ae8c913cb0040043e5135a5588651462}
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\field{labeltitlesource}{title}
\field{abstract}{This paper provides real-time evidence on the frequency, size, duration and economic significance of arbitrage opportunities in the foreign exchange market. We investigate deviations from the covered interest rate parity (CIP) condition using a unique data set for three major capital and foreign exchange markets that covers a period of more than seven months at tick frequency. The analysis unveils that: i) short-lived violations of CIP arise; ii) the size of CIP violations can be economically significant; iii) their duration is, on average, high enough to allow agents to exploit them, but low enough to explain why such opportunities have gone undetected in much previous research using data at lower frequency.}
\field{day}{1}
\field{journaltitle}{Journal of International Economics}
\field{langid}{english}
\field{month}{12}
\field{number}{2}
\field{shortjournal}{Journal of International Economics}
\field{title}{Arbitrage in the Foreign Exchange Market: {{Turning}} on the Microscope}
\field{volume}{76}
\field{year}{2008}
\field{dateera}{ce}
\field{pages}{237\bibrangedash 253}
\range{pages}{17}
\verb{file}
\verb /home/bttomio/Zotero/storage/EBCPI3EY/Akram et al. - 2008 - Arbitrage in the foreign exchange market Turning .pdf;/home/bttomio/Zotero/storage/XII857Z5/S0022199608000706.html
\endverb
\keyw{Arbitrage,Covered interest rate parity,Exchange rates,Foreign exchange microstructure}
\endentry
\entry{alexius2001}{article}{}
\name{author}{1}{}{%
{{hash=6bb236f61fe786ea49ba2cb60c4ba55e}{%
family={Alexius},
familyi={A\bibinitperiod},
given={Annika},
giveni={A\bibinitperiod}}}%
}
\strng{namehash}{6bb236f61fe786ea49ba2cb60c4ba55e}
\strng{fullhash}{6bb236f61fe786ea49ba2cb60c4ba55e}
\strng{bibnamehash}{6bb236f61fe786ea49ba2cb60c4ba55e}
\strng{authorbibnamehash}{6bb236f61fe786ea49ba2cb60c4ba55e}
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\field{abstract}{A standard empirical finding in international finance is that countries with high nominal interest rates experience appreciations of their currencies, in contrast to predictions based on uncovered interest parity (UIP). However, tests of UIP have almost exclusively relied on data on short-term interest rates. In this paper, UIP is tested on long-term government bond yields. Since the presence of coupon payments induces a measurement error between the observed data and true returns, several different proxies for the latter are constructed. Furthermore, instrumental variable techniques are used. In contrast to thetypical finding, the results are rather favorable to UIP.}
\field{issn}{1467-9396}
\field{journaltitle}{Review of International Economics}
\field{langid}{english}
\field{number}{3}
\field{title}{Uncovered {{Interest Parity Revisited}}}
\field{urlday}{23}
\field{urlmonth}{7}
\field{urlyear}{2021}
\field{volume}{9}
\field{year}{2001}
\field{dateera}{ce}
\field{urldateera}{ce}
\field{pages}{505\bibrangedash 517}
\range{pages}{13}
\verb{doi}
\verb 10.1111/1467-9396.00296
\endverb
\verb{file}
\verb /home/bttomio/Zotero/storage/GFUMWITU/Alexius - 2001 - Uncovered Interest Parity Revisited.pdf;/home/bttomio/Zotero/storage/X3DFFCGA/1467-9396.html
\endverb
\verb{urlraw}
\verb http://onlinelibrary.wiley.com/doi/abs/10.1111/1467-9396.00296
\endverb
\verb{url}
\verb http://onlinelibrary.wiley.com/doi/abs/10.1111/1467-9396.00296
\endverb
\endentry
\entry{allayannis2001}{article}{}
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{{hash=b8bda8042cd437e19dcaf93ff58e2e97}{%
family={Allayannis},
familyi={A\bibinitperiod},
given={George},
giveni={G\bibinitperiod}}}%
{{hash=2942102455d71f43437a1fab9aa0ac26}{%
family={Ofek},
familyi={O\bibinitperiod},
given={Eli},
giveni={E\bibinitperiod}}}%
}
\strng{namehash}{aaa13181dfc589e3d4b6286ae1469fb0}
\strng{fullhash}{aaa13181dfc589e3d4b6286ae1469fb0}
\strng{bibnamehash}{aaa13181dfc589e3d4b6286ae1469fb0}
\strng{authorbibnamehash}{aaa13181dfc589e3d4b6286ae1469fb0}
\strng{authornamehash}{aaa13181dfc589e3d4b6286ae1469fb0}
\strng{authorfullhash}{aaa13181dfc589e3d4b6286ae1469fb0}
\field{sortinit}{A}
\field{sortinithash}{2f401846e2029bad6b3ecc16d50031e2}
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\field{labeltitlesource}{title}
\field{abstract}{We examine whether firms use foreign currency derivatives for hedging or for speculative purposes. Using a sample of S\&P 500 nonfinancial firms for 1993, we find evidence that firms use currency derivatives for hedging, as their use, significantly reduces the exchange-rate exposure firms face. We also find that, while the decision to use derivatives depends on exposure factors (i.e., foreign sales and foreign trade) and on variables largely associated with theories of optimal hedging (i.e., size and R\&D expenditures), the level of derivatives used depends only on a firm's exposure through foreign sales and trade.}
\field{journaltitle}{Journal of International Money and Finance}
\field{number}{2}
\field{title}{Exchange Rate Exposure, Hedging, and the Use of Foreign Currency Derivatives}
\field{volume}{20}
\field{year}{2001}
\field{dateera}{ce}
\field{pages}{273\bibrangedash 296}
\range{pages}{24}
\verb{file}
\verb /home/bttomio/Zotero/storage/BI76YXYI/Allayannis and Ofek - 2001 - Exchange rate exposure, hedging, and the use of fo.pdf;/home/bttomio/Zotero/storage/VVCQZDHX/S0261560600000504.html
\endverb
\keyw{Corporate policies,Foreign trade,Multinationals,Risk management}
\endentry
\entry{amberg2021}{report}{}
\name{author}{4}{}{%
{{hash=75e55100292c23a8c4d6098a2161c129}{%
family={Amberg},
familyi={A\bibinitperiod},
given={Niklas},
giveni={N\bibinitperiod}}}%
{{hash=54f4ea8ea9bb1cc9dd7452dd289541cd}{%
family={Jansson},
familyi={J\bibinitperiod},
given={Thomas},
giveni={T\bibinitperiod}}}%
{{hash=bb4d4e84abc6e52891841c1881c69f0b}{%
family={Klein},
familyi={K\bibinitperiod},
given={Mathias},
giveni={M\bibinitperiod}}}%
{{hash=83b2e3a3f5525ad0e92f118ce4346b36}{%
family={Rogantini\bibnamedelima Picco},
familyi={R\bibinitperiod\bibinitdelim P\bibinitperiod},
given={Anna},
giveni={A\bibinitperiod}}}%
}
\list{institution}{1}{%
{CESifo}%
}
\strng{namehash}{19081929877cb658c64b244cf79a6736}
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\strng{bibnamehash}{937ad0aeed471debf9b2461e3ec2ac0e}
\strng{authorbibnamehash}{937ad0aeed471debf9b2461e3ec2ac0e}
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\field{extradatescope}{labelyear}
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\field{abstract}{We use Swedish administrative individual-level data to document five facts about the distributional income effects of monetary policy. (i) The effects of monetary policy shocks are Ushaped with respect to the income distribution—i.e., expansionary shocks increase the incomes of high- and low-income individuals relative to middle-income individuals. (ii) The large effects in the bottom are accounted for by the labor-income response and (iii) those in the top by the capital-income response. (iv) The heterogeneity in the labor-income response is due to the earnings heterogeneity channel, whereas (v) that in the capital-income response is due to the income composition channel.}
\field{number}{9062}
\field{title}{Five {{Facts About}} the {{Distributional Income Effects}} of {{Monetary Policy}}}
\field{type}{Working Paper}
\field{urlday}{11}
\field{urlmonth}{10}
\field{urlyear}{2021}
\field{year}{2021}
\field{dateera}{ce}
\field{urldateera}{ce}
\verb{file}
\verb /home/bttomio/Zotero/storage/JCVPWZDF/papers.html
\endverb
\verb{urlraw}
\verb https://www.cesifo.org/node/63215
\endverb
\verb{url}
\verb https://www.cesifo.org/node/63215
\endverb
\keyw{Anna Rogantini Picco,Five Facts About the Distributional Income Effects of Monetary Policy,Mathias Klein,Niklas Amberg,SSRN,Thomas Jansson}
\endentry
\entry{ames2017}{article}{}
\name{author}{3}{}{%
{{hash=71cf6ad2dca18a983a27cd9d011135c5}{%
family={Ames},
familyi={A\bibinitperiod},
given={Matthew},
giveni={M\bibinitperiod}}}%
{{hash=41f12eab5d4ac24a487b280ab8b8dc37}{%
family={Bagnarosa},
familyi={B\bibinitperiod},
given={Guillaume},
giveni={G\bibinitperiod}}}%
{{hash=82c7fa67a8e685deb274973830f77d0d}{%
family={Peters},
familyi={P\bibinitperiod},
given={Gareth\bibnamedelima W.},
giveni={G\bibinitperiod\bibinitdelim W\bibinitperiod}}}%
}
\strng{namehash}{641895e6d8c7eb0c46e8dae35cfbd7ac}
\strng{fullhash}{1ff6e080b38b8f5a4998fb17ee0d4ba5}
\strng{bibnamehash}{1ff6e080b38b8f5a4998fb17ee0d4ba5}
\strng{authorbibnamehash}{1ff6e080b38b8f5a4998fb17ee0d4ba5}
\strng{authornamehash}{641895e6d8c7eb0c46e8dae35cfbd7ac}
\strng{authorfullhash}{1ff6e080b38b8f5a4998fb17ee0d4ba5}
\field{sortinit}{A}
\field{sortinithash}{2f401846e2029bad6b3ecc16d50031e2}
\field{extradatescope}{labelyear}
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\true{uniqueprimaryauthor}
\field{labelnamesource}{author}
\field{labeltitlesource}{title}
\field{abstract}{The uncovered interest rate parity puzzle questions the economic relation existing between short term interest rate differentials and exchange rates. One would indeed expect that the differential of interest rates between two countries should be offset by an opposite evolution of the exchange rate between them, hence ruling out any limited risk profit opportunities. However, it has been shown empirically that this relation is not holding and accordingly has led, over the past two decades, to the reinforcement of a well-known trading strategy in financial markets, namely the currency carry trade. This paper investigates how highly leveraged, mass speculator behaviour affects the dependence structure of currency returns. We propose a rigorous statistical modelling approach using two complementary techniques in order to demonstrate that speculative carry trade volumes are informative in both the covariance and tail dependence of high and low interest rate currency returns, whereas the price based factors previously suggested in the literature hold little explanatory power. We add a new feature to the understanding of the link between the UIP condition and the carry trade strategy, specifically attributed to the large joint exchange rate movements in high and low risk environments.}
\field{journaltitle}{Journal of International Money and Finance}
\field{title}{Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences}
\field{volume}{73}
\field{year}{2017}
\field{dateera}{ce}
\field{pages}{162\bibrangedash 187}
\range{pages}{26}
\verb{file}
\verb /home/bttomio/Zotero/storage/DI8VL97P/S0261560617300025.html
\endverb
\keyw{Covariance regressions,Currency carry trade,Forward premium puzzle,Mixture copula models,Multivariate tail dependence,Speculative trading volumes}
\endentry
\entry{amiri2012}{article}{}
\name{author}{2}{}{%
{{hash=57e35a40fd43c9119abec32a6db8f6a5}{%
family={Amiri},
familyi={A\bibinitperiod},
given={Arshia},
giveni={A\bibinitperiod}}}%
{{hash=f3d055bc00178633fb6ef0dc252791c7}{%
family={Ventelou},
familyi={V\bibinitperiod},
given={Bruno},
giveni={B\bibinitperiod}}}%
}
\strng{namehash}{bec3c8ed71469048f4513e03df8ea57e}
\strng{fullhash}{bec3c8ed71469048f4513e03df8ea57e}
\strng{bibnamehash}{bec3c8ed71469048f4513e03df8ea57e}
\strng{authorbibnamehash}{bec3c8ed71469048f4513e03df8ea57e}
\strng{authornamehash}{bec3c8ed71469048f4513e03df8ea57e}
\strng{authorfullhash}{bec3c8ed71469048f4513e03df8ea57e}
\field{sortinit}{A}
\field{sortinithash}{2f401846e2029bad6b3ecc16d50031e2}
\field{extradatescope}{labelyear}
\field{labeldatesource}{}
\true{uniqueprimaryauthor}
\field{labelnamesource}{author}
\field{labeltitlesource}{shorttitle}
\field{abstract}{In this paper, a modified version of the Granger causality test proposed by Toda and Yamamoto is used to investigate causality between GDP and healthcare expenditure in OECD countries. The findings indicate that bidirectional Granger causality is predominant.}
\field{issn}{0165-1765}
\field{journaltitle}{Economics Letters}
\field{langid}{english}
\field{number}{3}
\field{shortjournal}{Economics Letters}
\field{shorttitle}{Granger Causality between Total Expenditure on Health and {{GDP}} in {{OECD}}}
\field{title}{Granger Causality between Total Expenditure on Health and {{GDP}} in {{OECD}}: {{Evidence}} from the {{Toda}}–{{Yamamoto}} Approach}
\field{volume}{116}
\field{year}{2012}
\field{dateera}{ce}
\field{pages}{541\bibrangedash 544}
\range{pages}{4}
\verb{file}
\verb /home/bttomio/Zotero/storage/XZHFSJPF/Amiri and Ventelou - 2012 - Granger causality between total expenditure on hea.pdf;/home/bttomio/Zotero/storage/9TJRSVIH/S0165176512001814.html
\endverb
\keyw{GDP,Healthcare expenditure,OECD,Toda–Yamamoto causality}
\endentry
\entry{anzuini2012}{article}{}
\name{author}{2}{}{%
{{hash=1867aa4f5631c5d0b0be8d72e9f50b8f}{%
family={Anzuini},
familyi={A\bibinitperiod},
given={Alessio},
giveni={A\bibinitperiod}}}%
{{hash=7c53699ba423649251170c22566296e3}{%
family={Fornari},
familyi={F\bibinitperiod},
given={Fabio},
giveni={F\bibinitperiod}}}%
}
\strng{namehash}{15ec3b47bd1d0d80be40c346ec341706}
\strng{fullhash}{15ec3b47bd1d0d80be40c346ec341706}
\strng{bibnamehash}{15ec3b47bd1d0d80be40c346ec341706}
\strng{authorbibnamehash}{15ec3b47bd1d0d80be40c346ec341706}
\strng{authornamehash}{15ec3b47bd1d0d80be40c346ec341706}
\strng{authorfullhash}{15ec3b47bd1d0d80be40c346ec341706}
\field{sortinit}{A}
\field{sortinithash}{2f401846e2029bad6b3ecc16d50031e2}
\field{extradatescope}{labelyear}
\field{labeldatesource}{}
\true{uniqueprimaryauthor}
\field{labelnamesource}{author}
\field{labeltitlesource}{title}
\field{abstract}{Carry trades—popular strategies in the foreign exchange market—are long positions in high interest rate currencies financed through funds borrowed from low interest rate currencies. It has been shown for a number of bilateral exchange rates vis-à-vis the US dollar that shocks to interest rate differentials foster carry trade activity and lead to significant changes in the foreign exchange level. This paper considers which (or which combination of) structural shocks can be consistent with the implications of such an interest rate differential shock that has been identified in previous studies. It is especially demand and confidence shocks, rather than supply or monetary policy shocks, which are found to generate effects similar to those produced by an unexpected widening of the interest rate differential and overall lead to longer-term gains from carry trade activity. Also provided is a measure of the potential gain/losses experienced by the actual positioning of market participants in the foreign exchange futures and conditional on the knowledge of the macroeconomic shock that occurred at the time of positioning.}
\field{issn}{1467-9396}
\field{journaltitle}{Review of International Economics}
\field{langid}{english}
\field{number}{3}
\field{title}{Macroeconomic {{Determinants}} of {{Carry Trade Activity}}}
\field{urlday}{24}
\field{urlmonth}{9}
\field{urlyear}{2021}
\field{volume}{20}
\field{year}{2012}
\field{dateera}{ce}
\field{urldateera}{ce}
\field{pages}{468\bibrangedash 488}
\range{pages}{21}
\verb{doi}
\verb 10.1111/j.1467-9396.2012.01034.x
\endverb
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\verb /home/bttomio/Zotero/storage/L7QEU5AN/Anzuini and Fornari - 2012 - Macroeconomic Determinants of Carry Trade Activity.pdf;/home/bttomio/Zotero/storage/W2VXLCKB/j.1467-9396.2012.01034.html
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\field{abstract}{Utilizing time series methods and data from five developed economies, we examine the relationship between stock market development and economic growth, controlling for the effects of the banking system and stock market volatility. Our results support the view that, although both banks and stock markets may be able to promote economic growth, the effects of the former are more powerful. They also suggest that the contribution of stock markets on economic growth may have been exaggerated by studies that utilize cross-country growth regressions.}
\field{journaltitle}{Journal of Money, Credit and Banking}
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\field{title}{Financial {{Development}} and {{Economic Growth}}: {{The Role}} of {{Stock Markets}}}
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\field{journaltitle}{Flash CDC-IXIS}
\field{title}{Le Targeting (Ciblage) d’inflation Par Les {{Banques}} Centrales Des {{PECO}} s Est-Il Une Bonne Idée ?}
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\field{abstract}{We show theoretically that persistent deviations from covered interest parity (CIP) across multiple horizons imply simultaneous arbitrage opportunities only if uncollateralized interbank lending rates are riskless. In the absence of observable riskless discount rates, we extract them empirically from interest rate swaps using a simple no-arbitrage framework. They deliver novel quantitative benchmarks that reconcile a zero cross-currency basis with non-zero cross-currency basis swap rates. We quantify that the no-arbitrage benchmark, which is consistent with intermediary-based asset pricing paradigms, accounts for about two thirds of the alleged CIP deviations. The residual pricing errors are associated with the limits-to-arbitrage framework.}
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\field{title}{The Term Structure of {{CIP}} Violations}
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\field{journaltitle}{BIS Quarterly Review}
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\field{abstract}{One of the most puzzling features of currency prices is the forward premium anomaly: the tendency for high interest rate currencies to appreciate. We characterize the anomaly in the context of affine models of the term structure of interest rates. In affine models, the anomaly requires either that state variables have asymmetric effects on state prices in different currencies or that nominal interest rates take on negative values with positive probability. We find the quantitative properties of either alternative to have important shortcomings.}
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\field{abstract}{This paper studies the time series predictability of currency carry trades, constructed by selecting currencies to be bought or sold against the US dollar, based on forward discounts. Changes in a commodity index, currency volatility and, to a lesser extent, a measure of liquidity predict in-sample the payoffs of dynamically re-balanced carry trades, as evidenced by individual and joint p-values in monthly predictive regressions at horizons up to six months. Predictability is further supported through out-of-sample metrics, and a predictability-based decision rule produces sizable improvements in the Sharpe ratios and skewness profile of carry trade payoffs. Our evidence also indicates that predictability can be traced to the long legs of the carry trades and their currency components. We test the theoretical restrictions that an asset pricing model, with average currency returns and the mimicking portfolio for the innovations in currency volatility as risk factors, imposes on the coefficients in predictive regressions.}