We propose a “debt view” to explain the dominant international role of dollar. Within simple capital-structure model with debt-currency choice, we show that “dominant currency” is one (1) depreciates in global downturns over horizons typical debt maturity and (2) has steepest nominal yield curve. Empirically, dollar fits this description better than other major currencies. The view can dollar-d...

Given current concerns on foreign currency exposures in emerging economies, we examine the currency denomination of bank loans. We compare the currency requested by borrowers and the currency decision subsequently made by a bank in Bulgaria prior to the current crisis. We analyze more than hundred thousand loans to sixty thousand different firms granted during the period 2003-2007. We relate th...

This paper discusses the use of fuzzy logic and modeling as a decision making support for long-term investment decisions on financial markets. A simple model is proposed to calculate recommendations for the investors. This research required thorough analysis of historical data that lead to discovery of interesting dependencies between the Dow Jones index, currency pairs, oil price and the VIX v...

This paper discusses the use of fuzzy logic and modeling as a decision making support for long-term investment decisions in financial markets. A simple model is proposed to calculate recommendations for investors. This research required thorough analysis of historical data that lead to discovery of interesting dependencies between the Dow Jones index, currency pairs, oil price and the VIX volat...

This paper examines the ability of several models to generate optimal hedge ratios. Statistical models employed include univariate and multivariate GARCH models, and exponentially weighted and simple moving averages. The variances of the hedged portfolios derived using these hedge ratios are compared with those based on market expectations implied by the prices of traded options. One-month and ...

We describe the framework for building an electronic currency system. We detail the design of the components of the electronic currency system and the relationship among them. Contrary to the previous electronic currency literatures, which focus exclusively on electronic currency protocol designs, we address how to achieve both transaction atomicity and transaction anonymity at the presence of ...

Optimum currency area theory says that trade patterns and cyclical correlations are important criteria for whether a country should join a monetary area such as EMU. But these criteria are endogenous. Recent econometric estimates suggest that currency unions have far greater effects on trade patterns than previously believed. Since currency unions are good for trade, and trade is good for growt...

Based on a classification of countries and territories according to their regime and anchor currency choice, the study considers the two major currency blocs of the present world. A nested logit regression suggests that long-term structural economic variables determine a given country’s currency bloc affiliation. The dollar bloc differs from the euro bloc in that there exists a group of countri...

We examine the impact of corporate currency hedging on economic stability by introducing hedging activity in a Mundell-Fleming-Tobin framework for analyzing currency and financial crises. The ratio between hedged and unhedged firms is modelled depending on firm size as well as hedging costs. The results indicate that, with an increasing fraction of hedged firms in an economy, the magnitude of a...

Liu process is a new tool to deal with the noise process based on uncertainty theory. In this paper, we view the foreign exchange rate as an uncertain process, described by an uncertain differential equation driven by Liu process, and build an uncertain currency model. Then the uncertain currency option processes are discussed. Moreover, European and American currency option pricing formulas ar...