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Carry Trades, Monetary Policy and Speculative Dynamics
Currency crises emerging market bubbles speculation
2014/3/18
We ask when currency carry trades are associated with destabilizing
dynamics in the foreign exchange market, and investigate the role of
monetary policy rules in setting off such dynamics. In ...
Carry Trades, Monetary Policy and Speculative Dynamics
Currency crises emerging market bubbles speculation
2014/3/18
We ask when currency carry trades are associated with destabilizing dynamics in the foreign exchange market, and investigate the role of monetary policy rules in setting off such dynamics. In a ...
Completing CVA and Liquidity: Firm-Level Positions and Collateralized Trades
Completing CVA Liquidity Firm-Level Positions Collateralized Trades
2010/10/21
Bilateral CVA as currently implement has the counterintuitive effect of profiting from one's own widening CDS spreads, i.e. increased risk of default, in practice. The unified picture of CVA and liqu...
Thy Neighbor's Portfolio: Word-of-Mouth Effects in the Holdings and Trades of Money Managers
Thy Neighbor's Portfolio Word-of-Mouth Effects Trades Money Managers
2014/3/18
Amutual fund manager is more likely to buy (or sell) a particular stock in any quarter if other managers in the same city are buying (or selling) that same stock. This pattern shows up even when the f...