| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7355 |
| DP7355 Lenders of Last Resort in a Globalized World | |
| Maurice Obstfeld | |
| 发表日期 | 2009-07-05 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | This paper documents how currency speculators trade when international capital flows generate predictable exchange rate movements. The redefinition of the MSCI world equity index in December 2000 provides an ideal natural experiment identifying exogenous capital flows of index tracking equity funds. Currency speculators are shown to front-run international capital flows. Furthermore, they actively manage the portfolio risk of their speculative positions through hedging positions in correlated currencies. The exchange rate effect of separate risk hedging is economically significant and amounts to a return difference of 3.6 percent over a 5 day event window between currencies with high and low risk hedging value. The results of the classical event study analysis are confirmed by a new and more powerful spectral inference isolating the high frequency cospectrum of currency pairs. The evidence supports the idea that international currency arbitrage is limited by the speculators' risk aversion. |
| 主题 | Financial Economics |
| 关键词 | Limited arbitrage Speculative trading Multi-currency risk hedging Spectral inference Cospectrum |
| URL | https://cepr.org/publications/dp7355 |
| 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/536190 |
| 推荐引用方式 GB/T 7714 | Maurice Obstfeld. DP7355 Lenders of Last Resort in a Globalized World. 2009. |
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