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Relevant bibliographies by topics / Eurodollar market

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Academic literature on the topic 'Eurodollar market'

Author: Grafiati

Published: 4 June 2021

Last updated: 5 February 2022

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Journal articles on the topic "Eurodollar market"

1

Tsiaras, Konstantinos. "Volatility spillover and contagion effects between EURODOLLAR future and zero coupons markets: Evidence from Italy." European Journal of Applied Economics 17, no. 2 (2020): 67–88. http://dx.doi.org/10.5937/ejae17-26893.

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This paper examines the time-varying conditional correlations between the Eurodollar futures market and the zero coupons of Banca Fideuram. We apply a bivariate dynamic conditional correlation (DCC) GARCH model in order to capture potential contagion effects between the markets for the period 2005-2017. Empirical results reveal contagion during the under-investigation period regarding the twenty-one bivariate models, showing that the Eurodollar futures market has a major impact on the zero coupons of Banca Fideuram. Findings have crucial implications for policymakers who provide regulations for the above-mentioned derivative markets.

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Tse, Yiuman, and Paramita Bandyopadhyay. "Multi-market trading in the Eurodollar futures market." Review of Quantitative Finance and Accounting 26, no. 3 (May 2006): 321–41. http://dx.doi.org/10.1007/s11156-006-7436-0.

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Lee, Young-Sook. "The Federal funds market and the overnight Eurodollar market." Journal of Banking & Finance 27, no. 4 (April 2003): 749–71. http://dx.doi.org/10.1016/s0378-4266(02)00238-8.

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Obi, Pat, and Jeong Gil Choi. "Asia-Pacific Hotels International: Managing Short Term Cash in the Derivatives Market." Asian Case Research Journal 14, no. 02 (December 2010): 233–44. http://dx.doi.org/10.1142/s0218927510001398.

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This case deals with a cash management problem for an international hotel based in Seoul, Korea. Although successful in its core hotel operations, the firm has not been as successful in managing its short term cash flow. Part of the firm's operating and materials costs are in US dollars although all of its operating incomes are in the local currency, the South Korean won. This imbalance creates a currency risk exposure in the management of the firm's working capital. To ensure that it has sufficient funds to pay its dollar-denominated costs, the firm is considering the investment in a sizeable amount of dollar-denominated time deposits. Pursuing this strategy, however, involves a two-fold global dimension: First, the firm must determine what exchange rate conditions would make it suitable to invest in dollar-denominated time deposits rather than in the local currency. Second, for any such dollar-denominated short-term investments, the firm must decide when and how to use the facilities of the Eurodollar futures market to hedge the currency risk exposure. The specific approach being considered includes a combined position in Eurodollar time deposits and Eurodollar futures contract. This case presents an opportunity to learn how firms can successfully combine short-term investments in a foreign currency-denominated time deposit with positions in the derivatives markets, the aim of which is to manage exposure to currency risk.

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Lim, Kian-Guan, Eric Terry, and Desmond How. "Information Transmission Across Eurodollar Futures Markets." International Journal of Theoretical and Applied Finance 01, no. 02 (April 1998): 235–45. http://dx.doi.org/10.1142/s0219024998000138.

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Identical contracts traded at two distinct time zones but linked with a mutual offset system allow for round-the-clock trading. It is interesting to investigate the characteristics of information transmission in such a market. In this paper we employ GARCH specifications to model Eurodollar futures interest rate changes in IMM and in SIMEX. We employ the Causality-in-Variance test based on cross-correlation function to test hypotheses on the lead-lag relationships of volatilities between IMM and SIMEX. There is strong evidence of information transmission from IMM to SIMEX, and not vice-versa. However, during the 86 December till 88 September period, including contracts during the October 87 crash, there is evidence of causality also running from SIMEX to IMM.

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Bradley, Finbarr. "Neglected factors in the market pricing of Eurodollar bonds." Journal of Portfolio Management 17, no. 2 (January 31, 1991): 62–73. http://dx.doi.org/10.3905/jpm.1991.409323.

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Altamura, Carlo Edoardo. "The Paradox of the 1970s: The Renaissance of International Banking and the Rise of Public Debt." Journal of Modern European History 15, no. 4 (November 2017): 529–53. http://dx.doi.org/10.17104/1611-8944-2017-4-529.

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The Paradox of the 1970s: The Renaissance of International Banking and the Rise of Public Debt The 1970s is a paradoxical decade. On the one hand, it marked the gradual demise of the industrial society and the end of the «Golden Age» of capitalism. On the other hand, the decade saw the renaissance of international banking and finance after almost half a century of retreat, thanks to the explosive growth of the Eurodollar market. International banking, which had remained dormant since the 1930s, gradually re-emerged from its ashes as banking institutions started to reconsider their domestic orientation. The growth of the Eurodollar market and the process of banking internationalisation were crucially accelerated by the first oil crisis when private commercial banks replaced public institutions in the intermediation of capital flows between surplus and deficit countries with Eurobonds and, especially, Euroloans. Foreign borrowing provided a relief to nearly all the problems that the monetary and energy crisis had aggravated or created. The side effect to that panacea was the delegation of increasing power to the banking and financial sectors by «privatising» the monetary and financial circuit, and by tying once and for all the destiny of the developing world to the interests of commercial banks. The paper will address the paradox of the 1970s to argue that a clear link exists between the industrial crisis and the renaissance of finance.

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Bradley, Finbarr. "An Analysis of Call Strategy in the Eurodollar Bond Market." Journal of International Financial Management & Accounting 2, no. 1 (March 1990): 23–46. http://dx.doi.org/10.1111/j.1467-646x.1990.tb00016.x.

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Schenk, Catherine R. "The Origins of the Eurodollar Market in London: 1955–1963." Explorations in Economic History 35, no. 2 (April 1998): 221–38. http://dx.doi.org/10.1006/exeh.1998.0693.

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Tse, Yiuman, Tae-Hwy Lee, and G. Geoffrey Booth. "The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis." Journal of International Money and Finance 15, no. 3 (June 1996): 447–65. http://dx.doi.org/10.1016/0261-5606(96)00011-3.

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Dissertations / Theses on the topic "Eurodollar market"

1

Lee, Young-Sook. "The federal funds market and the overnight eurodollar market /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2000. http://wwwlib.umi.com/cr/ucsd/fullcit?p9956461.

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2

Burn, Gary. "The role of the British state in the re-emergence of global capital." Thesis, University of Sussex, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.341080.

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Abiola, Isaac Abiodun. "Modeling credit risk spread and interest rate volatility in the Eurodollar market." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/nq25214.pdf.

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4

Jordan-Wagner, James M. (James Michael). "Arbitrage Pricing Theory and the Capital Asset Pricing Model: Evidence from the Eurodollar Bond Market." Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc330578/.

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Monthly returns on twenty-seven Eurobonds from July 1982 to June 1986 were examined. There were no consistent differences in returns based on the country in which a firm is located. There were consistent differences due to industry classification, with energy-related firms exhibiting higher average returns and variances. Excess returns were calculated using the capital asset pricing model and arbitrage pricing theory. The results from calculation of mean average deviation, root mean square, and R2 all indicate that the arbitrage pricing theory was a better descriptor of the Eurobond market. The excess returns were also examined using stochastic dominance. Arbitrage pricing theory never dominated the capital asset pricing model using first-order criteria, but consistently dominated using second-order criteria. The results were discussed in terms of the implications for investors and portfolio managers.

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Kolář, Petr. "Význam referenčních úrokových sazeb a manipulace s úrokovou sazbou LIBOR." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-207126.

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This diploma thesis is focused on a role of reference interest rates in developed market economies. There are described interest rate transmission mechanism and discussed factors, which led to manipulation of the LIBOR. How the manipulation was done and what reactions of supervisory authorities it induced. There are also listed proposed recommendations to ensure transparent reference indicators. This work also includes analysis of reference interest rates used in the Czech Republic. At the end of the thesis can be found application of a reference rate fixing process in a game theory model as well as application of Benford´s law as an indicator of the manipulation.

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Kim, Seung Woo. "The Euromarket and the making of the transnational network of finance, 1959-1979." Thesis, University of Cambridge, 2018. https://www.repository.cam.ac.uk/handle/1810/276574.

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This thesis analyses the role of the Euromarket, an offshore market for Eurodollars or expatriate US dollars, in the re-emergence of global finance during the 1960s and 1970s. It charts not only its Cold War origins and the development of various markets for Eurodollars, but also institutions and policies that shaped them from the return to convertibility in 1958 to the ill-fated efforts to regulate the nascent market by international financial institutions. By examining the nature of Eurodollars as both a US and global currency, the thesis sheds light on the changing features of the governance of global finance and its relationship with the economic sovereignty of nation-states. It argues that the Euromarket underwent repeated contestations as politicians, bankers, and economists vested their political ambitions and cultural assumptions in it. The popular, academic, and policy debates challenged the speculative nature of Eurodollars which would destabilise the domestic as well as the international monetary system of the Bretton Woods system. Without a single monetary authority, the tendency of the Euromarket to transcend the order of capitalist nation-states constrained national governments’ capacity to control capital flows and the autonomy of domestic monetary policy. However, nation-states were not impotent but deliberately sought to exploit the liquid pool of capital in Eurodollars. It was not merely the US government that benefited from the seigniorage of Eurodollars and the City of London which was reborn as the international financial centre in the Euromarket. Continental European countries that were hesitant about European economic integration, the UK Labour government, developing countries in the Global South, and even the Communist bloc, resorted to the Euromarket for their national interests. The ambivalent attitudes of national governments and their conflict of interests resulted in the failure of coordinated efforts to introduce the rules of the game but facilitated the transnational network of finance in Eurodollars.

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Malek, Mansour Jeoffrey H. G. "Three essays in international economics." Doctoral thesis, Universite Libre de Bruxelles, 2006. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210878.

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This thesis consists in a collection of research works dealing with various aspects of International Economics. More precisely, we focus on three main themes: (i) the existence of a world business cycle and the implications thereof, (ii) the likelihood of asymmetric shocks in the Euro Zone resulting from fluctuations in the euro exchange rate because of differences in sector specialization patterns and some consequences of such shocks, and (iii) the relationship between trade openness and growth influence of the sector specialization structure on that relationship.

Regarding the approach pursued to tackle these problems, we have chosen to strictly remain within the boundaries of empirical (macro)economics - that is, applied econometrics. Though we systematically provide theoretical models to back up our empirical approach, our only real concern is to look at the stories the data can (or cannot) tell us. As to the econometric methodology, we will restrict ourselves to the use of panel data analysis. The large spectrum of techniques available within the panel framework allows us to utilize, for each of the problems at hand, the most suitable approach (or what we think it is).
Doctorat en sciences économiques, Orientation économie
info:eu-repo/semantics/nonPublished

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Lin, Chia-Yen, and 林佳燕. "Institutionalization of Eurodollar Bond: Bank, Market, and Credit Rating Agency." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/24637340215749304257.

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Fang, Tzu-Yun, and 方姿云. "The Pricing of Eurodollar Futures Options Under the Market Model." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/85661078143514828252.

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碩士
國立東華大學
企業管理學系
91
Abstract The popularity of the interest rate derivatives promotes the interest rate model. Although HJM(1992) came up with the new methodology, the instantaneously forward rates of the Normal distribution seemed abnormal and didn’t exist in the real market. The Market model tackled the problem. In contrast to HJM model, the Market model has two appealing features as follows: (1) the forward rates can be observed directly. (2) The forward rates follow the Lognormal distribution. Based on some adjustment of Uratani and Utsunomiya(1999) and Park(2002), this research used the Binomial tree of the Market model to price Eurodollar futures option. The empirical results found the exponential volatility function has larger fitting errors than the constant volatility function. This didn’t match with other empirical results. However, we can make sure that the parameters of the exponential volatility function are more unstable than those of the constant volatility function. In addition, the pricing errors of the deep-in-the-money option are the most severe. One of reasons resulted in discordances with other empirical results is this research didn’t get rid of deep-in-the-money and deep-out-of-the-money options. The trading activities of these options are very inactive. Besides, the parameter values of the exponential volatility function may be possible local solutions, not global solutions.

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Hsu, Huei-Ya, and 許惠雅. "Forward Rate Agreement-The Empirical Investigation on Intermarket among Eurodollar cash, futures and forward market." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/10123971738687444002.

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Books on the topic "Eurodollar market"

1

Sarver, Eugene. The Eurocurrency market handbook: The global eurodeposit andrelated markets. New York, N.Y: New York Institute of Finance, 1988.

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2

Cheung, Yin-Wong. Information flows between the Eurodollar spot and futures markets. Kowloon, Hong Kong: City University of Hong Kong, Department of Economics and Finance, 1995.

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Sarver, Eugene. The Eurocurrency market handbook: The global eurodeposit and related markets. New York, N.Y: New York Institute of Finance, 1988.

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Sarver, Eugene. The Eurocurrency market handbook. 2nd ed. New York: New York Institute of Finance, 1990.

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Abhyankar, Abhay. Trading round-the-clock: Return, volatility and volume spillovers in the eurodollar futures market. Stirling: University of Stirling, Dept. of Accountancy and Finance, 1993.

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6

N, McCauley Robert. The euro and the dollar. Princeton, N.J: International Finance Section, Department of Economics, Princeton University, 1997.

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7

Lane, Morton, and Galen Burghardt. Eurodollar Futures and Options. McGraw-Hill Publishing Co., 1991.

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Galen, Burghardt, ed. Eurodollar futures and options: Controlling money market risk. Maidenhead: McGraw-Hill, 1991.

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Incredible Eurodollar: Or Why the World's Money System Is Collapsing. Taylor & Francis Group, 2017.

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Eurodollar Futures and Options: Controlling Money Market Risk (Institutional Investor Publication). Probus Publishing Co., 1991.

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Book chapters on the topic "Eurodollar market"

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Hogan, W. P. "Eurodollar Market." In The New Palgrave Dictionary of Economics, 3952–55. London: Palgrave Macmillan UK, 2018. http://dx.doi.org/10.1057/978-1-349-95189-5_92.

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Hogan, W. P. "Eurodollar Market." In The New Palgrave Dictionary of Economics, 1–4. London: Palgrave Macmillan UK, 1987. http://dx.doi.org/10.1057/978-1-349-95121-5_92-1.

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Terrell, Henry S., and Rodney H. Mills. "International Banking Facilities and the Eurodollar Market." In Eurodollars and International Banking, 183–220. London: Palgrave Macmillan UK, 1985. http://dx.doi.org/10.1007/978-1-349-07120-3_7.

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Labuszewski, John W., and Richard Co. "Eurodollar Futures: Interest Rate Market Building Blocks." In The CME Group Risk Management Handbook, 169–230. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118266564.ch6.

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Clements, Matthew. "Comparing MPM Results with the Eurodollar Futures Market." In Explaining and Forecasting the US Federal Funds Rate, 75–81. London: Palgrave Macmillan UK, 2004. http://dx.doi.org/10.1057/9780230509030_6.

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Aliber, Robert Z. "Radio Luxembourg and the Eurodollar Market Are Both Offshore Stations." In The New International Money Game, 82–91. London: Palgrave Macmillan UK, 2011. http://dx.doi.org/10.1057/9780230246720_7.

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Aliber, Robert Z. "Radio Luxembourg and the Eurodollar Market are both Offshore Stations." In The New International Money Game, 124–34. London: Palgrave Macmillan UK, 2002. http://dx.doi.org/10.1057/9780230500976_7.

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Aliber, Robert Z. "Radio Luxembourg and the Eurodollar Market Are Both Offshore Stations." In The International Money Game, 173–86. London: Palgrave Macmillan UK, 1988. http://dx.doi.org/10.1007/978-1-349-19566-4_10.

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Herring, Richard J. "The Interbank Market." In Eurodollars and International Banking, 111–21. London: Palgrave Macmillan UK, 1985. http://dx.doi.org/10.1007/978-1-349-07120-3_4.

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Saadma, Torsten, and Roland Vaubel. "The Emergence and Innovations of the Eurodollar Money and Bond Market: The Role of Openness and Competition Between States." In Financial and Monetary Policy Studies, 323–66. Cham: Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-06109-2_13.

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Conference papers on the topic "Eurodollar market"

1

Yung, Victoria N., Ismail I. Jouny, and Donald Chambers. "Investigation of arbitrage opportunities in the Eurodollar futures market using neural networks." In Aerospace/Defense Sensing and Controls, edited by Steven K. Rogers and Dennis W. Ruck. SPIE, 1996. http://dx.doi.org/10.1117/12.235909.

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