Foreign Exchange Intervention - Publications - Faculty & Research - Harvard Business School

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2011
Working Paper

Do U.S. Market Interactions Affect CEO Pay? Evidence from UK Companies

By: Joseph J. Gerakos, Joseph D. Piotroski and Suraj Srinivasan

This paper examines the extent that interactions with U.S. markets impact the compensation practices of non-U.S. firms. Using a sample of large U.K. companies, we find that the total compensation of U.K. CEOs is positively related to the extent of the firm's... View Details

Keywords: Globalized Markets and Industries; Corporate Governance; Executive Compensation; Management Practices and Processes; Motivation and Incentives; United Kingdom; United States

May 2014
Article

Incorporating Field Data into Archival Research

By: Eugene F. Soltes

I explore the use of field data in conjunction with archival evidence by examining Iliev, Miller, and Roth's (2014) analysis of an amendment to the Securities Exchange Act of 1934. This regulatory amendment allowed depositary banks to cross-list firms without the... View Details

Keywords: Analytics and Data Science; Research; Financial Reporting

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March 2011 (Revised December 2017)
Background Note

The IMF: The Washington Consensus, the Critics, and the New Challenges as China Rises

By: Rafael M. Di Tella, Natalie Kindred and Monica Baraldi

How the International Monetary Fund (IMF) defines and carries out its mandate has evolved considerably since 1944, when it was founded to serve a vital but narrow function in maintaining the global foreign exchange system and thus enabling international trade. This... View Details

Keywords: History; International Finance; Globalized Economies and Regions; Trade; Financial Institutions; Macroeconomics; Financial Services Industry

September 1999
Case

New Zealand: The Wonder Down Under

By: Willis M. Emmons III and Kevin W. W. Glasgow

Long regarded as the most extensive welfare state among the world's industrialized nations, New Zealand embarked on a strategy of radical economic reform/liberalization following a severe foreign exchange crisis in 1984. This case examines the initial reform strategy... View Details

Keywords: Strategy; Development Economics; New Zealand

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June 12, 2017
Article

Corporate Balance Sheets in Emerging Markets: A Comparison of the Global Crisis and the Asian Financial Crisis

By: Laura Alfaro, Gonzalo Asis, Anusha Chari and Ugo Panizza

Leverage levels in emerging market firms rose dramatically in the aftermath of the Global Crisis. This column examines whether concerns of a repeat of the Asian financial crisis, which was largely attributed to corporate financial roots, are justified. While firm... View Details

Keywords: Financial Crisis; Emerging Markets; System Shocks

Forthcoming
Article

Segmented Arbitrage

By: Emil Siriwardane, Adi Sunderam and Jonathan Wallen

We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and constraints facing intermediaries. The average pairwise correlation between the 32 arbitrage spreads that we study is 22%. These low correlations are... View Details

Keywords: Financial Intermediation; Arbitrage; Intermediary-based Asset Pricing; Finance; Segmentation

February 1986 (Revised January 1996)
Background Note

Currency Swaps

Describes uses of foreign currency swaps and development of both interest rate and foreign currency swaps market. Emphasis on calculation of all-in costs using foreign currency swaps and conversion of basis points in one currency to basis points in a different... View Details

Keywords: Credit Derivatives and Swaps; Currency Exchange Rate; Capital Markets

December 2013 (Revised March 2024)
Case

Breaking Bad (the Rules): Argentina Defaults, Inflates (and Grows), 1997–2015

By: Rafael Di Tella and Fernanda Miguel

In late October 2011, after losing 1 billion of dollar reserves in one month, the Argentine government began imposing a series of currency controls, limiting the ability to buy foreign currency. As of October 2011, Argentina's tax collection agency AFIP had been... View Details

Keywords: Default; Inflation; Inflation and Deflation; Currency; Governance Controls; Argentina

2024
Working Paper

How Do Global Portfolio Investors Hedge Currency Risk?

By: Robin Greenwood and Alex Cheema-Fox

We use monthly portfolio data from one of the world’s largest custodian banks, with over $40 trillion assets under custody, to study how global portfolio investors hedge foreign exchange risk in their equity and fixed income portfolios over the past 25 years. The data... View Details

Keywords: Investment Portfolio; Investment Funds; Currency; Risk and Uncertainty

2012
Working Paper

Mexico's Financial Crisis of 1994-1995

By: Aldo Musacchio

This paper explains the causes leading to the Mexican crisis of 1994-1995 (known as "The Tequila Crisis"), and its short- and long-term consequences. It argues that excessive enthusiasm on the part of foreign investors, not based on Mexico's fundamentals, and weak... View Details

Keywords: Financial Crisis; Foreign Direct Investment; Banks and Banking; Government and Politics; Currency Exchange Rate; Banking Industry; Mexico

Research Summary

Overview

Professor Schreger studies international finance and macroeconomics, with an emphasis on sovereign debt. Following a series of sovereign debt crises in the 1980s and 1990s, which caused defaults among emerging markets governments on their foreign currency obligations,... View Details

May 2018
Article

U.S. Treasury Premium

By: Wenxin Du, Joanne Im and Jesse Schreger

We quantify the difference in the convenience yield of U.S. Treasuries and government bonds of other developed countries by measuring the deviation from covered interest parity between government bond yields. We call this wedge the “U.S. Treasury Premium.” We document... View Details

Keywords: Bonds; Investment Return; Interest Rates; Financial Crisis

February 2008 (Revised November 2011)
Case

The International Monetary Fund in Crisis

By: Rawi Abdelal, David Moss and Eugene Kintgen

When Dominique Strauss-Kahn became the Managing Director of the International Monetary Fund in late 2007, he faced a number of significant changes. The organization had lost much of its legitimacy over the previous decade, and countries seemed increasingly reluctant to... View Details

Keywords: History; Globalized Economies and Regions; Problems and Challenges; Developing Countries and Economies; Borrowing and Debt; Government and Politics; Financial Institutions; Business Strategy; Macroeconomics; Financial Services Industry

April 1988 (Revised May 1992)
Case

Gaz de France

By: W. Carl Kester

The treasurer of Gaz de France is an aggressive, proactive manager of his company's liability structure, running one of the largest swap books of any non-financial corporation in the world. Currency futures, interbank forwards, and currency options are also frequently... View Details

Keywords: Decisions; Borrowing and Debt; Currency Exchange Rate; Credit Derivatives and Swaps; Policy; Management; Organizational Structure; Energy Industry; Europe

Research Summary

Corporate Risk Management

Traditionally companies have managed different kinds of risk individually: the corporate treasurer or finance director handles credit risk and foreign exchange risk, the human resources manager handles employment risk, and so on. Integrated risk management calls for... View Details

06 Nov 2006
Research & Ideas

How South Africa Challenges Our Thinking on FDI

More than one decade after the fall of apartheid, and despite ambitious economic reforms by the ANC government, foreign direct investment flows into South Africa averaged around two-thirds less than investments in comparable... View Details

Keywords: by Martha Lagace

June 2011 (Revised September 2011)
Case

Two Key Decisions for China's Sovereign Fund

By: Robert C. Pozen and Xiaoyu Gu

The China Investment Corporation (CIC) was China's sovereign wealth fund (SWF), established with $200 billion of registered capital in September 2007 to diversify China's foreign exchange holdings and increase risk-adjusted returns on those assets. CIC was unusual in... View Details

Keywords: Business Subsidiaries; Business Growth and Maturation; Decisions; Capital; Investment Banking; Investment Funds; Corporate Social Responsibility and Impact; Ownership; Business and Shareholder Relations; Risk and Uncertainty; Wealth; Expansion; Financial Services Industry; China; United States

June 2023
Article

Why Is Dollar Debt Cheaper? Evidence from Peru

By: Bryan Gutiérrez, Victoria Ivashina and Juliana Salomao

In emerging markets, a significant share of corporate loans are denominated in dollars. Using novel data that enables us to see currency and the cost of credit, in addition to several other transaction-level characteristics, we re-examine the reasons behind dollar... View Details

Keywords: Emerging Market Corporate Debt; Currency Mismatch; Liability Dollarization; Carry Trade; Currency; Emerging Markets; Borrowing and Debt; Interest Rates; Peru

2009
Working Paper

The End of Chimerica

By: Niall Ferguson and Moritz Schularick

For the better part of the past decade, the world economy has been dominated by a world economic order that combined Chinese export-led development with US over-consumption. The financial crisis of 2007-2009 likely marks the beginning of the end of the Chimerican... View Details

Keywords: History; Globalized Economies and Regions; Currency Exchange Rate; Economic Growth; Trade; Financial Crisis; China; United States

2016
Working Paper

Credit Migration and Covered Interest Rate Parity

By: Gordon Y Liao

I document economically large and persistent discrepancies in the pricing of credit risk between corporate bonds denominated in different currencies. The discrepancies amount to 50-100 basis points on trillions of dollars of debt notional. I relate this violation of... View Details

Keywords: Market Segmentation; Debt Issuance; Covered Interest Rate Parity; Cross-currency Basis; Credit Risk; Financial Markets; Credit

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