G2TT
来源类型Discussion paper
规范类型论文
来源IDDP7355
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
URLhttps://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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