Exchange rates and global volatility: implications for Asia-Pacific currencies
At times of heightened global equity and bond market volatility, high-yielding currencies tend to depreciate while low-yielding ones tend to serve as a "safe haven". The whole spectrum of sensitivity to global volatility is represented among Asia-Pacific currencies.
Volume (Year): (2007)
Issue (Month): (March)
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- Engel, Charles, 1996.
"The forward discount anomaly and the risk premium: A survey of recent evidence,"
Journal of Empirical Finance,
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- Charles Engel, 1995. "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence," NBER Working Papers 5312, National Bureau of Economic Research, Inc.
- Guonan Ma & Corrinne Ho & Robert N McCauley, 2004. "The markets for non-deliverable forwards in Asian currencies," BIS Quarterly Review, Bank for International Settlements, June.
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