Search Results

Showing results 1 to 2 of approximately 2.

(refine search)
SORT BY: PREVIOUS / NEXT
Author:Abbassi, Puriya 

Working Paper
The pricing of FX forward contracts: micro evidence from banks’ dollar hedging

We use transaction-level data on foreign exchange (FX) forward contracts for the period 2014 through 2016 in conjunction with supervisory balance sheet information to study the drivers of banks? dollar hedging costs. Comparing contracts of the same maturity that are initiated during the same hour of the same day, we find large heterogeneity in banks? hedging costs. We show that these costs (i) are higher for banks with a larger FX funding gap, (ii) depend on banks? FX funding composition in terms of the source (interbank versus retail) and rollover structure (long-term versus short-term), ...
Working Papers , Paper 18-6

Working Paper
International financial integration, crises, and monetary policy: evidence from the euro area interbank crises

We analyze how financial crises affect international financial integration, exploiting euro area proprietary interbank data, crisis and monetary policy shocks, and variation in loan terms to the same borrower on the same day by domestic versus foreign lenders. Crisis shocks reduce the supply of crossborder liquidity, with stronger volume effects than pricing effects, thereby impairing international financial integration. On the extensive margin, there is flight to home ? but this is independent of quality. On the intensive margin, however, GIPS-headquartered debtor banks suffer in the Lehman ...
Working Papers , Paper 17-6

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

F30 2 items

D40 1 items

E43 1 items

E58 1 items

F31 1 items

G01 1 items

show more (4)

PREVIOUS / NEXT