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Journal articles on the topic 'Eurodollar market'

Author: Grafiati

Published: 4 June 2021

Last updated: 5 February 2022

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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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2

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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3

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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4

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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5

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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6

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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7

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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8

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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9

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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10

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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11

Choi, Gongpil. "Toward a Central Bank Collateral Framework for ABMI." Journal of Asian Research 5, no. 2 (June 6, 2021): p23. http://dx.doi.org/10.22158/jar.v5n2p23.

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The post-global financial crisis highlighted the importance of engaging in collateralized securities financing to meet the ever-increasing market needs for liquidity and risk management. Given the heavy reliance on volatile Eurodollar system and the fragmented governance and limited cross-border usability of the collateral among ASEAN+3 countries, it is important to relax prevailing constraints on collateral and mobilize cross-border transactions. To address the imperatives for securing collateral-based cross-border financial markets in the region, Asia needs the initiatives of central banks to develop a regional collateral framework for better financial plumbing. By collaborating on common grounds for cross-border collateral utilization, some of the prevailing constraints on collateral use can be relaxed. The inclusive collateral framework that incorporates CBCA (Central Bank Collateral Arrangement) would provide strong initial market support for the ABMI, thus help achieve sustainable financial stability.

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12

Maurer, Thomas A., Thuy-Duong Tô, and Ngoc-Khanh Tran. "Pricing Risks Across Currency Denominations." Management Science 65, no. 12 (December 2019): 5308–36. http://dx.doi.org/10.1287/mnsc.2018.3109.

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We use principal component analysis on 55 bilateral exchange rates of 11 developed currencies to identify two important global risk sources in foreign exchange (FX) markets. The risk sources are related to Carry and Dollar but are not spanned by these factors. We estimate the market prices associated with the two risk sources in the cross-section of FX market returns and construct FX market-implied country-specific stochastic discount factors (SDFs). The SDF volatilities are related to interest rates and expected carry trade returns in the cross-section. The SDFs price international stock returns and are related to important financial stress indicators and macroeconomic fundamentals. The first principal risk is associated with the Treasury-EuroDollar (TED) spread, quantities measuring volatility, tail and contagion risks, and future economic growth. It earns a relatively small implied Sharpe ratio. The second principal risk is associated with the default and term spreads and quantities capturing volatility and illiquidity risks. It further correlates with future changes in the long-term interest rate and earns a large implied Sharpe ratio. This paper was accepted by Lauren Cohen, finance.

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13

Tse, Yiuman, and G. Geoffrey Booth. "The relationship between U.S. and eurodollar interest rates: Evidence from the futures market." Weltwirtschaftliches Archiv 131, no. 1 (March 1995): 28–46. http://dx.doi.org/10.1007/bf02709070.

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14

Jorge, Antonio, and Jorge Salazar-Carrillo. "The Latin American Economic Debt and Public Policy." Journal of Interamerican Studies and World Affairs 31, no. 1-2 (1989): 233–48. http://dx.doi.org/10.2307/165918.

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Since the 1970s, the international environment has been one of successive shocks. These took place during the consolidation of the Eurodollar market as a system independent of the lenders of last resort in the different countries. As the international monetary authorities delinked from gold, they accepted the float of currency exchange rates. At the same time, inflation and interest rates were allowed to vary widely, reaching their highest levels in two decades. Confronting these shocks and these international conditions, the Latin Americans decided against slowing their wheels of industry by consuming less oil but, instead, to increase their rates of growth.

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15

Webb, Robert I., and David G. Smith. "The effect of market opening and closing on the volatility of eurodollar futures prices." Journal of Futures Markets 14, no. 1 (February 1994): 51–78. http://dx.doi.org/10.1002/fut.3990140106.

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16

Belke, Ansgar, and Sebastian Ptok. "British-European Trade Relations and Brexit: An Empirical Analysis of the Impact of Economic and Financial Uncertainty on Exports." International Journal of Financial Studies 6, no. 3 (August 17, 2018): 73. http://dx.doi.org/10.3390/ijfs6030073.

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Brexit, the withdrawal of the United Kingdom (UK) from the European Union (EU), has led to significant exchange rate fluctuations and to uncertainty in financial markets and in UK–EU trade relations. In this article, we use a non-linear model to study how this uncertainty affects export companies. Exports tend to react in spurts when exchange rate fluctuations go beyond a band of inaction, referred to here as a “play area”. We apply an algorithm to study this hysteretic relationship with ordinary least squares (OLS) regressions. We examine the export relationship between Europe (Belgium, Germany, France, Italy, and The Netherlands) and the UK. To guarantee the robustness of the results, we estimate a variety of specifications for modeling economic uncertainty: (a) constant uncertainty, (b) exchange rate volatility, (c) volatility in European equity markets, (d) the Treasury Bill EuroDollar Difference (TED-spread), (e) the Economic Policy Uncertainty Index (EPUI), and (f) a combination of exchange rate volatility and the EPUI. Since the results show little evidence of hysteretic effects on British exports, we focus on the European side. The specifications including exchange rate and equity market volatility show a significant effect of hysteresis.

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17

Tse, Yiuman, and G. Geoffrey Booth. "Common volatility and volatility spillovers between U.S. and Eurodollar interest rates: Evidence from the futures market." Journal of Economics and Business 48, no. 3 (August 1996): 299–312. http://dx.doi.org/10.1016/0148-6195(96)00016-1.

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18

Krol, Robert. "The term structure of Eurodollar interest rates and its relationship to the US Treasury-bill market." Journal of International Money and Finance 6, no. 3 (September 1987): 339–54. http://dx.doi.org/10.1016/0261-5606(87)90006-4.

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19

Cheung, Yin-Wong, and Hung-Gay Fung. "Information Flows Between Eurodollar Spot and Futures Markets." Multinational Finance Journal 1, no. 4 (December 1, 1997): 255–71. http://dx.doi.org/10.17578/1-4-1.

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20

Thore, Sten. "Regional Lending Risk in Eurodollar Markets." Scandinavian Journal of Economics 88, no. 2 (June 1986): 437. http://dx.doi.org/10.2307/3439992.

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21

Kim, Kwanho. "Informational Content of Volatility Forecasts in Eurodollar Markets." GLOBAL BUSINESS FINANCE REVIEW 21, no. 2 (December 31, 2016): 86–99. http://dx.doi.org/10.17549/gbfr.2016.21.2.86.

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22

Francis, Jack C., and Tsing Tzai Wu. "Money Markets in the U.S. and Taiwan." Review of Pacific Basin Financial Markets and Policies 01, no. 02 (June 1998): 157–79. http://dx.doi.org/10.1142/s0219091598000132.

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This paper compares and contrasts the money markets and related markets for financial commodities that exist in the U.S. with those in Taiwan. The contrast is enriched because the U.S. markets are larger and more highly developed than those in Taiwan. This difference is enlightening because the two countries are similar in terms of their willingness to let economic competition shape progress. Several decades ago the U.S. markets were what the Taiwan markets are today. But, decades of growth and competition have created an efficient model in the U.S. in which smaller and/or younger countries can emulate if they wish to develop a free market system that is able to grow and compete in the world economy. Taiwan's policy-makers must decide if they want to ignore the U.S. model, copy some parts of the existing U.S. model, or try to pattern their development after the U.S. model as closely as possible. The paper begins by explaining the difference between brokers and dealers. Then the bill markets in the U.S. and Taiwan are compared and the credit guarantees sold by money market dealers in Taiwan are discussed. The market for federal funds in the U.S. is described and it is observed that Taiwan does not have a similar market. The existing markets for bankers acceptances, certificates of deposits (CDs), Eurodollars, and commercial paper in the U.S. and Taiwan are compared and found to be similar in nature, if not in size. The paper also offers suggestions that Taiwan could implement to improve the liquidity and growth of its money market, and this discussion is generalized to Taiwan's broader economic development. Essentially, Taiwan suffers from limited cross-border activity and from its lack of a derivatives market. Derivatives include financial futures contracts, put and call options on economic quantities, swaps, and other hybrid financial instruments. Derivatives markets have been developing rapidly in New York City, Chicago, London, and Tokyo during the past 25 years. The derivatives markets that exist at organized exchanges in these cities are easy to observe, but over-the-counter derivatives market is larger and is growing more rapidly.

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23

Kim, Kwanho, and Wantanee Poonvoralak. "Variance Bounds Test of Volatility Expectations in Eurodollar Futures Options Markets." GLOBAL BUSINESS FINANCE REVIEW 24, no. 2 (June 30, 2019): 20–32. http://dx.doi.org/10.17549/gbfr.2019.24.2.20.

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24

Tse, Yiuman. "International transmission of information: evidence from the Euroyen and Eurodollar futures markets." Journal of International Money and Finance 17, no. 6 (December 1998): 909–29. http://dx.doi.org/10.1016/s0261-5606(98)00034-5.

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25

Chen, Cathy Yi-Hsuan, and I.-Doun Kuo. "Investor sentiment and interest rate volatility smile: evidence from Eurodollar options markets." Review of Quantitative Finance and Accounting 43, no. 2 (April 19, 2013): 367–91. http://dx.doi.org/10.1007/s11156-013-0376-6.

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26

Abhyankar, Abhay H. "Trading-round-the clock: Return, volatility and volume spillovers in the Eurodollar futures markets." Pacific-Basin Finance Journal 3, no. 1 (May 1995): 75–92. http://dx.doi.org/10.1016/0927-538x(94)00027-5.

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27

Giamouridis, Daniel. "Implied PDFs: Estimation, Testing and Applications in the Eurodollar Market." SSRN Electronic Journal, 2004. http://dx.doi.org/10.2139/ssrn.566481.

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28

Chiarella, Carl, and Thuy Duong To. "The Multifactor Nature of the Volatility of the Eurodollar Futures Market." SSRN Electronic Journal, 2005. http://dx.doi.org/10.2139/ssrn.893089.

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29

Feldhütter, Peter, Anders B. Trolle, and Paul Georg Schneider. "Jumps in Interest Rates and Pricing of Jump Risk - Evidence from the Eurodollar Market." SSRN Electronic Journal, 2008. http://dx.doi.org/10.2139/ssrn.1107549.

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30

Feldhütter, Peter, Anders B. Trolle, and Paul Georg Schneider. "Jumps in Interest Rates and Pricing of Jump Risk -- Evidence from the Eurodollar Market." SSRN Electronic Journal, 2008. http://dx.doi.org/10.2139/ssrn.1102068.

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31

Trolle, Anders B., Peter Feldhütter, and Paul Georg Schneider. "Jumps in Interest Rates and Pricing of Jump Risk - Evidence from the Eurodollar Market." SSRN Electronic Journal, 2008. http://dx.doi.org/10.2139/ssrn.1102132.

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32

Braun, Benjamin, Arie Krampf, and Steffen Murau. "Financial globalization as positive integration: monetary technocrats and the Eurodollar market in the 1970s." Review of International Political Economy, March 22, 2020, 1–26. http://dx.doi.org/10.1080/09692290.2020.1740291.

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33

Bikbov, Ruslan, and Mikhail Chernov. "Term Structure and Volatility: Lessons from the Eurodollar Markets." SSRN Electronic Journal, 2004. http://dx.doi.org/10.2139/ssrn.562454.

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34

Dew, James Kurt. "Increasing Liquidity and Reducing Credit Risk in the Eurodollar Deposit and Futures Markets." SSRN Electronic Journal, 2015. http://dx.doi.org/10.2139/ssrn.2609454.

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