Publications

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1988
Chapter

Explaining the Demand for Dollars: International Rates of Return, and the Expectations of Chartists and Fundamentalists

By: Jeffrey A. Frankel and Kenneth A. Froot

Keywords: Currencies; Exchange Rates; International Macroeconomics; Monetary Policy; Currency Controls; Fixed Exchange Rates; Floating Exchange Rates; Currency Bands; Currency Zones; Currency Areas; Rational Expectations; Currency Exchange Rate; Asset Pricing; Macroeconomics

Article

Exchange Rates and Foreign Direct Investment: An Imperfect Capital Markets Approach

By: K. A. Froot and Jeremy Stein

Keywords: Corporate Finance; Market Imperfections; Foreign Direct Investment; Markets; Financial Instruments; Asset Pricing

Article

Scenario Generation for Long Run Interest Rate Risk Assessment

By: Robert F. Engle, Guillaume Roussellet and Emil N. Siriwardane

We propose a statistical model of the term structure of U.S. treasury yields tailored for long-term probability-based scenario generation and forecasts. Our model is easy to estimate and is able to simultaneously reproduce the positivity, persistence, and factor... View Details

Keywords: Forecasting; Stress Testing; Interest Rates; Forecasting and Prediction; Risk Management; United States

2021
Working Paper

International Evidence on the Effects of a Local Presence by U.S. Credit Rating Agencies

By: Liran Eliner, Michael Machokoto and Anywhere Sikochi

Major U.S. credit rating agencies are criticized for failing to understand developments in other economies and thereby impeding capital access by assigning lower ratings. Consistent with this, we find that Moody's and S&P credit ratings are more favorable after the... View Details

Keywords: Credit Rating Agencies; Credit Ratings; Rating Adjustments; Rating Disagreement; Geographic Proximity; Soft Information; Credit; Geographic Location; Local Range

SSRN

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October 2014 (Revised February 2017)
Case

A Currency We Can Call Our Own: Populism, Banking Crises, and Exchange Rate Crises in Argentina, 1946–2002

By: Rafael Di Tella

The case describes Argentina's struggle to establish a credible monetary system under populist pressures and the recurrent use of exchange rate stabilization plans. It focuses on two episodes where there was "too little money" in the economy: during the hyperinflation... View Details

Keywords: Debt Crisis; Hyperinflation; Financial Crisis; Inflation and Deflation; Currency Exchange Rate; Argentina

February 1986 (Revised March 1989)
Background Note

Note on Foreign Exchange

Describes the operation of foreign exchange markets, including bid-offer spreads, cross rates, reciprocal rates, and forward rates. Provides several examples to demonstrate calculation of outright forward rates using discount and premium points quoted in the London... View Details

Keywords: Currency Exchange Rate; Capital Markets

24 Apr 2017
News

As costs grow for restaurants, online ratings tied to closure risk

March 2006 (Revised April 2015)
Case

China: To Float or Not To Float? (B)- Timeline of Changes Relevant to the Chinese Renminbi

By: Laura Alfaro and Rafael M. Di Tella

On July 21, 2005 China revalued its decade-long quasi-fixed exchange rate of approximately 8.28 yuan per U.S. dollar by 2.1% to 8.11% and, at the same time, introduced a more market-based exchange rate system. Many analysts and economists were disappointed with what... View Details

Keywords: Currency; Exchange Rate; China; Macroeconomics; Trade; Currency Exchange Rate; Governance Controls; Policy; China; United States

January 2013 (Revised January 2015)
Case

FX Risk Hedging at EADS

By: W. Carl Kester, Vincent Dessain and Karol Misztal

In 2008, EADS, the European aerospace group that owns Airbus, was faced with the decision of how best to hedge a large and growing mismatch between its dollar revenues and its euro manufacturing costs. Specifically, the company needed to decide if it would continue... View Details

Keywords: Derivatives; Foreign Exchange; Options; Forward Contract; Aerospace; Europe; Risk Management; Futures and Commodity Futures; Aerospace Industry; Europe

2022
Working Paper

Markups to Financial Intermediation in Foreign Exchange Markets

By: Jonathan Wallen

On average from 2013 to 2020, foreign asset managers in net sold forward 1.1 trillion U.S. dollars. This forward sale of dollars hedges the currency mismatch of foreign investment in U.S. dollar assets. By accommodating this demand, U.S. and European banks earn an... View Details

Keywords: Foreign Exchange; Financial Intermediation; Arbitrage; Market Power; Regulations; Currency; Assets; Interest Rates; Banking Industry

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October 2004 (Revised February 2007)
Background Note

Foreign Exchange Markets and Transactions

By: Mihir A. Desai, Christina Pham, Kathleen Luchs and Yanjun Wang

Provides information on the foreign exchange market and exchange rate movements. Describes the different types of foreign exchange transactions, including spot transactions, forwards, swaps, futures, and options. Includes worked examples to help students understand the... View Details

Keywords: Currency Exchange Rate