| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7259 |
| DP7259 The de Soto Effect | |
| Tim Besley; Maitreesh Ghatak | |
| 发表日期 | 2009-04-12 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We study high-frequency exchange rate movements over the sample 1993-2007. We document that the (Swiss) franc, euro, Japanese yen and the pound tend to appreciate against the U.S. dollar when (a) S&P has negative returns; (b) U.S. bond prices increase; and (c) when currency markets become more volatile. In these situations, the franc appreciates also against the other currencies, while the pound depreciates. The safe haven properties correspond to the carry trader's losses. They materialize over different time granularities (from a few hours to several days), during both "ordinary days" and crisis episodes and show some non-linear features. |
| 主题 | International Macroeconomics |
| 关键词 | Crisis episodes High-frequency data Non-linear effects |
| URL | https://cepr.org/publications/dp7259 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536096 |
| 推荐引用方式 GB/T 7714 | Tim Besley,Maitreesh Ghatak. DP7259 The de Soto Effect. 2009. |
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