The Experts below are selected from a list of 54 Experts worldwide ranked by ideXlab platform
Gareth W Peters - One of the best experts on this subject based on the ideXlab platform.
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violations of uncovered interest rate parity and international exchange rate dependences
Journal of International Money and Finance, 2017Co-Authors: Matthew Ames, Guillaume Bagnarosa, Gareth W PetersAbstract: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.
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violations of uncovered interest rate parity and international exchange rate dependences
2015Co-Authors: Matthew Ames, Guillaume Bagnarosa, Gareth W PetersAbstract: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.The appendices for this paper are available at the following URL: http://ssrn.com/abstract=2638103
Guillaume Bagnarosa - One of the best experts on this subject based on the ideXlab platform.
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violations of uncovered interest rate parity and international exchange rate dependences
Journal of International Money and Finance, 2017Co-Authors: Matthew Ames, Guillaume Bagnarosa, Gareth W PetersAbstract: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.
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violations of uncovered interest rate parity and international exchange rate dependences
2015Co-Authors: Matthew Ames, Guillaume Bagnarosa, Gareth W PetersAbstract: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.The appendices for this paper are available at the following URL: http://ssrn.com/abstract=2638103
Matthew Ames - One of the best experts on this subject based on the ideXlab platform.
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violations of uncovered interest rate parity and international exchange rate dependences
Journal of International Money and Finance, 2017Co-Authors: Matthew Ames, Guillaume Bagnarosa, Gareth W PetersAbstract: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.
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violations of uncovered interest rate parity and international exchange rate dependences
2015Co-Authors: Matthew Ames, Guillaume Bagnarosa, Gareth W PetersAbstract: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.The appendices for this paper are available at the following URL: http://ssrn.com/abstract=2638103
Mohd Hilmi, Shasha Amira - One of the best experts on this subject based on the ideXlab platform.
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A study of China-CLMV Economic Relations: impliciation towards CLMV countries' foreign policy / Shasha Amira Mohd Hilmi
2019Co-Authors: Mohd Hilmi, Shasha AmiraAbstract:Post 2007-2008 Global Financial Crisis had witnessed significant incline of CLMV s GDP and trades from previous years where commodities export for CLMV were severely impacted due to the Economic slowdown of the major CLMV s trading partner. Over the years, China became the important Economic partner for CLMV through high value of import and export trades, FDI, loan, technical assistance and development projects financed by China. However, there is a growing scepticism on China's interest to CLMV countries where it is observed that the Economic Relations influenced CLMV's foreign policy even though their Economic Relations are so called "no-string attached". This research aims to study the China-CLMV Economic Relation for the past 10 years and to what extend the Economic Relation have influence on CLMV countries' foreign policy. It specifically studies on the Economic and politic of CLMV as important actors according to China's foreign policy driven by the geographical factor of CLMV as China's neighbour and the Economic status as underdeveloped economies. This research is based on statistic obtained from multiple Economic documents and interviews conducted with academician and practitioners. This research examined significant Economic Relations between China and CLMV due to several pull and push factors and created different level of dependency that does influence CLMV's foreign policy in certain extends especially in the South China Sea territorial dispute, One China Policy and ASEAN collectivism. This research observed that the higher the level of Economic dependency that one country has with another country, the higher the capability to influence the foreign policy. Therefore, the result of the study also suggested that CLMV should lower its dependency with China's Economic through several means
Nanyen M Abene - One of the best experts on this subject based on the ideXlab platform.
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nigeria and sino bilateral Economic Relation from isolationism to constructive engagement a historical discourse
International Journal of Research, 2018Co-Authors: Paul U Omeje, Nanyen M AbeneAbstract:Since the first Afro-Asian Conference of 1955 in Bandung, China has pursued vigorously her ambition of becoming a world power. Basically, Sino –Africa Relation seems to have dated several centuries back. Indeed, China understood from the earliest periods the importance of Africa nay Nigeria as a centre for competing with the other two great powers of the United States of America and the Soviet Union. The departure of colonial powers after independence created a vacuum in each of the African states and in particular Nigeria; and there was a struggle between the two superpowers to fill it. Then too, this escalated the Chinese (Sino) impulse and desire to establish her presence in Nigeria, spreading communist ideology and experimenting the concept of proletarian revolution. Although formal Economic contact between Nigeria and China dates back to the early years of the former’s independence in 1960,the development of Economic Relations between the two countries have not been encouraging until recently. This is sequel to the legacy of British colonialism and her Economic imperialism policy. However, in spite of these impediments toward cordial Economic bilateral rapport, China’s Relations with Nigeria have been most conspicuous, particularly in the past few years. The paper concludes that , despite the policy of Economic isolationism that pervaded and characterized the early years of Nigeria –China Economic Relations, the status quo was later superseded with cordial constructive Economic engagement that prevails to this day.
