Uncertainty aversion, carry trades and agent heterogeneity in the FX market

2020 ◽  
Vol 36 ◽  
pp. 101354
Author(s):  
XiaoPing Li ◽  
Bin Tong ◽  
ChunYang Zhou
CFA Digest ◽  
2015 ◽  
Vol 45 (6) ◽  
Author(s):  
Marc L. Ross
Keyword(s):  
The Cost ◽  

2020 ◽  
Author(s):  
Joel Hasbrouck ◽  
Richard M. Levich
Keyword(s):  

2021 ◽  
Vol 14 (3) ◽  
pp. 122
Author(s):  
Maud Korley ◽  
Evangelos Giouvris

Frontier markets have become increasingly investible, providing diversification opportunities; however, there is very little research (with conflicting results) on the relationship between Foreign Exchange (FX) and frontier stock markets. Understanding this relationship is important for both international investor and policymakers. The Markov-switching Vector Auto Regressive (VAR) model is used to examine the relationship between FX and frontier stock markets. There are two distinct regimes in both the frontier stock market and the FX market: a low-volatility and a high-volatility regime. In contrast with emerging markets characterised by “high volatility/low return”, frontier stock markets provide high (positive) returns in the high-volatility regime. The high-volatility regime is less persistent than the low-volatility regime, contrary to conventional wisdom. The Markov Switching VAR model indicates that the relationship between the FX market and the stock market is regime-dependent. Changes in the stock market have a significant impact on the FX market during both normal (calm) and crisis (turbulent) periods. However, the reverse effect is weak or nonexistent. The stock-oriented model is the prevalent model for Sub-Saharan African (SSA) countries. Irrespective of the regime, there is no relationship between the stock market and the FX market in Cote d’Ivoire. Our results are robust in model selection and degree of comovement.


2021 ◽  
pp. 014616722110609
Author(s):  
Luisa Liekefett ◽  
Oliver Christ ◽  
Julia C. Becker

Research suggests that conspiracy beliefs are adopted because they promise to reduce anxiety, uncertainty, and threat. However, little research has investigated whether conspiracy beliefs actually fulfill these promises. We conducted two longitudinal studies ( NStudy 1 = 405, NStudy 2 = 1,012) to examine how conspiracy beliefs result from, and in turn influence, anxiety, uncertainty aversion, and existential threat. Random intercept cross-lagged panel analyses indicate that people who were, on average, more anxious, uncertainty averse, and existentially threatened held stronger conspiracy beliefs. Increases in conspiracy beliefs were either unrelated to changes in anxiety, uncertainty aversion, and existential threat (Study 2), or even predicted increases in these variables (Study 1). In both studies, increases in conspiracy beliefs predicted subsequent increases in conspiracy beliefs, suggesting a self-reinforcing circle. We conclude that conspiracy beliefs likely do not have beneficial consequences, but may even reinforce the negative experience of anxiety, uncertainty aversion, and existential threat.


2019 ◽  
Vol 127 (3) ◽  
pp. 1118-1155 ◽  
Author(s):  
David L. Dicks ◽  
Paolo Fulghieri

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