Can official news and policy announcements affect foreign exchange speculation? A
widespread speculative strategy in foreign exchange markets is carry trade. This paper …

We propose a two-country no-arbitrage term-structure model to analyze the joint dynamics of
bond yields, macroeconomic variables and the exchange rate. The model allows to …

Impulse control with random reaction periods (ICRRP) is used to derive a country's optimal
foreign exchange (forex) rate intervention policy when the forex market reacts to the …

We estimate a structural model of herding behavior in which feedback arises due to mutual
concerns of traders over the unobservable" true" level of market liquidity. In a herding …

Motivated by the recent currency crisis in Turkey, we investigate the role of portfolio flows
and heterogeneous expectations on the high frequency stochastic jump behavior of the US …

Currency carry trades exhibit sudden and extreme losses. A popular explanation is that
these losses are to some extent driven by leveraged carry trade speculators amplifying …

Chan and Maheu (2002) developed a GARCH-jump mixture model, namely, the GARCH-
jump with autoregressive conditional jump intensity (GARJI) model, in which two conditional …

We have taken six variables to ascertain their contribution in finding the direction and values
of carry trade returns in Indian rupee. These variables are as follows: foreign exchange …

Connection between macroeconomic variables and foreign exchange (FX) rates evaluated
in the context of out-of-sample forecasting is a well-known problem in economics. We …

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