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  1. The value of arbitrage
    Autor*in: Dávila, Eduardo; Graves, Daniel; Parlatore, Cecilia
    Erschienen: [2022]
    Verlag:  Cowles Foundation for Research in Economics, Yale University, New Haven, Connecticut

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 29
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    keine Fernleihe
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Cowles Foundation discussion paper ; no. 2322 (February 2022)
    Schlagworte: Arbitrage; Allokationseffizienz; Kosten-Nutzen-Analyse; Wohlfahrtsanalyse; Zinsparität; arbitrage; welfare; price impact; covered interest parity; dual-listed stocks
    Umfang: 1 Online-Ressource (circa 81 Seiten), Illustrationen
  2. Are entrepreneurs aware of covered interest parity and dollar shortage?
    Autor*in: Nariman, Farhad; Heshmati, Almas
    Erschienen: April 2022
    Verlag:  IZA - Institute of Labor Economics, Bonn, Germany

    The purpose of this study is demonstrating why entrepreneurs should monitor the broad dollar index. This paper explains the reason why the broad dollar index has become a risk (leverage) gauge since 2008 using the Covered Interest Parity (CIP). CIP... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 4
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    The purpose of this study is demonstrating why entrepreneurs should monitor the broad dollar index. This paper explains the reason why the broad dollar index has become a risk (leverage) gauge since 2008 using the Covered Interest Parity (CIP). CIP can be viewed as a reflection of the shadow price of a bank’s balance sheet, which reflects how risky the situation is for a certain entrepreneur attempting to start a new venture. The importance of the link between banks and entrepreneurs has long been recognized. When the banking system is constrained, an entrepreneur should be informed. Entrepreneurs will be able to understand the circumstances in which they want to succeed more correctly if they are aware of the state of the banking system. Overall, the risk appetite of the banking system is critical for both traditional and export-oriented businesses. The VIX index (Chicago Board Options Exchange market volatility index) was once employed as a barometer of the banking system’s risk appetite, but things have changed since the great financial crisis and the index has been supplanted by the broad dollar index. Since 2008, the broad dollar index has been used as an indicator of a bank’s risk appetite. This paper provides entrepreneurs a handy index for assessing the economic conditions in which they choose to be entrepreneurs more accurately.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/263432
    Schriftenreihe: Discussion paper series / IZA ; no. 15216
    Schlagworte: dollar shortage; entrepreneurship; balance sheet capacity; dollar index; covered interest parity
    Umfang: 1 Online-Ressource (circa 16 Seiten), Illustrationen
  3. Demand-supply imbalance risk and long-term swap spreads
    Autor*in: Hanson, Samuel G.; Malkhozov, Aytek; Venter, Gyuiri
    Erschienen: [2022]
    Verlag:  [LSE Financial Markets Group], [London]

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: [FMG discussion paper] ; [DP 853]
    SRC discussion paper ; no 118 (April 2022)
    Schlagworte: limits to arbitrage; intermediary capital constraints; swap spreads; covered interest parity
    Umfang: 1 Online-Ressource (circa 77 Seiten), Illustrationen
  4. Mutual funds and safe government bonds
    do returns matter?
    Autor*in: Graziano, Marco; Habib, Maurizio Michael
    Erschienen: [2024]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    This paper investigates the sensitivity of the demand for safe government debt to currency unhedged and hedged excess returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively higher... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534
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    This paper investigates the sensitivity of the demand for safe government debt to currency unhedged and hedged excess returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively higher returns on an unhedged basis, in particular euro-denominated securities. The size of the effect is large, leading to a change in portfolio share by around one percentage point on average in response to a change by one percentage point in the currency-specific excess return. Interestingly, mutual funds rebalance their portfolio towards currencies, such as the Japanese yen, that display large deviations in the covered interest parity and offer higher returns than US Treasuries on an hedged basis. Finally, when global financial risk is on the rise, US mutual fund managers repatriate their investments towards US government debt securities, mainly at the expenses of euro-denominated ones. Our results imply that deviations in pricing conditions like uncovered and covered interest parity for sovereign bonds affect capital flows from the United States towards other major currency areas.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289966795
    Weitere Identifier:
    hdl: 10419/297371
    Schriftenreihe: Working paper series / European Central Bank ; no 2931
    Schlagworte: government bonds; safe assets; mutual funds; search for yield; covered interest parity
    Umfang: 1 Online-Ressource (circa 72 Seiten), Illustrationen