Using a new dataset of currency option prices, we study the evolution of investor confidence in 1992-1998 over the chance of individual currencies to converge to the Euro. Convergence risk, which may reflect uncertainty over policy commitment as well as exogenous fundamentals, induces a level of implied volatility in excess of actual volatility (volatility wedge). We show formally that confiden...

Between the 1970's and the 1980's, the derivatives market flourished. Forwards, futures and options began to be regularly traded. According to information gathered by The Bank of International Settlements, at the end of April 2001 the value of over-the-counter (OTC) positions outstanding was over US$99 trillion, while the value of positions outstanding in organized exchanges was approximately U...

-This paper suggests a method for recognizing currency through image analysis. The relies on the three characteristics of color, height, and texture, which utilized distinction. put forth in this document can be used to find currencies numerous nations. For purposes execution, only from India are taken into account. This system, employs CNN (Convolution Neural Network), makes it simpler check a...

This paper surveys the theoretical literature on currency crises in order to determine the usefulness and limitations of existing models in understanding the recent currency crises, particularly the one in East Asia, which began with the forced devaluation of the Thai baht in July 1997. One may delineate three broad groups of models. The ‘first generation’ models are based on the canonical pape...

It is widely accepted that the US dollar is the central reference currency for international trade pricing in final goods. At the same time, the dollar is the main invoicing currency for primary commodities. This paper links these two observations within a stylized theoretical framework, and shows how this may be used to obtain a quantitative estimate of the gain to the US economy from the use ...

The dollarization of the domestic banking system represents a source of vulnerability for emerging market countries, and a debate has emerged over whether the exchange rate regime has an impact on the degree of dollarization. This paper argues that the regime is far less important than the literature has previously claimed. Unofficial dollarization results from a lack of faith in the domestic c...

This paper examines how unhedged currency exposure of firms varies with changes in currency flexibility. A sequence of four time-periods with alternating high and low currency volatility in India provides a natural experiment in which changes in currency exposure of a panel of firms is measured, and the moral hazard versus incomplete markets hypotheses tested. We find that firms carried higher ...

This paper presents evidence that the bid-ask spreads in euro rates increased relative to the corresponding bid-ask spreads in the German mark (DM) prior to the creation of the currency union. This comes with a decrease in transaction volume in the euro rates relative to the previous DM rates. The starkest example is the DM(euro)/yen rate in which the spread has risen by almost two-thirds while...

How does the sovereign credit ratings history provided by independent ratings agencies affect domestic financial sector development and international capital inflows to emerging countries? We address this question utilizing a comprehensive dataset of sovereign credit ratings from Standard and Poor’s from 1995-2003 for a cross-section of 51 emerging markets. Within a panel data estimation framew...