Peg Abandonment and Cross-Currency Contagion

Published Online:https://doi.org/10.1287/mnsc.2022.01117

References

  • Abbassi P, Bräuning F (2021) Demand effects in the FX forward market: Micro evidence from banks’ dollar hedging. Rev. Financial Stud. 34(9):4177–4215.CrossrefGoogle Scholar
  • Agarwal I (2019) Banks’ foreign currency exposure and the real effects of exchange rate shocks. Working paper, University of British Columbia, Vancouver.Google Scholar
  • Aldasoro I, Ehlers T, Eren E (2022) Global banks, dollar funding, and regulation. J. Internat. Econom. 137:103609.CrossrefGoogle Scholar
  • Amador M, Bianchi J, Bocola L, Perri F (2016) Reverse speculative attacks. J. Econom. Dynamic Control 72:125–137.CrossrefGoogle Scholar
  • Ammer J, Vega C, Wongswan J (2010) International transmission of US monetary policy shocks: Evidence from stock prices. J. Money Credit Banking 42(1):179–198.CrossrefGoogle Scholar
  • Andersen TG, Bollerslev T, Diebold FX, Vega C (2007) Real-time price discovery in global stock, bond and foreign exchange markets. J. Internat. Econom. 73(2):251–277.CrossrefGoogle Scholar
  • Anderson AG, Kandrac J (2018) Monetary policy implementation and financial vulnerability: Evidence from the overnight reverse repurchase facility. Rev. Financial Stud. 31(9):3643–3686.CrossrefGoogle Scholar
  • Arora N, Gandhi P, Longstaff FA (2012) Counterparty credit risk and the credit default swap market. J. Financial Econom. 103(2):280–293.CrossrefGoogle Scholar
  • Auer R, Burstein A, Lein SM (2021) Exchange rates and prices: Evidence from the 2015 Swiss franc appreciation. Amer. Econom. Rev. 111(2):652–686.CrossrefGoogle Scholar
  • Bonadio B, Fischer AM, Sauré P (2019) The speed of exchange rate pass-through. J. Eur. Econom. Assoc. 18(1):506–538.CrossrefGoogle Scholar
  • Breedon F, Chen L, Ranaldo A, Vause N (2023) Judgment day: Algorithmic trading around the Swiss franc cap removal. J. Internat. Econom. 140:103713.CrossrefGoogle Scholar
  • Brunnermeier MK, Nagel S, Pedersen LH (2009) Carry trades and currency crashes. NBER Macroeconomics Annual 2008, vol. 23 (National Bureau of Economic Research, Inc., Cambridge, MA), 313–347.Google Scholar
  • Cenedese G, Della Corte P, Wang T (2021) Currency mispricing and dealer balance sheets. J. Finance 76(6):2763–2803.CrossrefGoogle Scholar
  • Cielinska O, Joseph A, Shreyas U, Tanner J, Vasios M (2017) Gauging market dynamics using trade repository data: The case of the Swiss franc de-pegging. Financial Stability Paper No. 41, Bank of England, London.Google Scholar
  • Cochrane JH (2015) SNB, CHF, ECB, and QE. The Grumpy Economist blog.Google Scholar
  • Collin-Dufresne P, Junge B, Trolle AB (2020) Market structure and transaction costs of index CDSs. J. Finance 75(5):2719–2763.CrossrefGoogle Scholar
  • Da Z, Engelberg J, Gao P (2011) In search of attention. J. Finance 66(5):1461–1499.CrossrefGoogle Scholar
  • Di Maggio M, Kermani A, Song Z (2017) The value of trading relations in turbulent times. J. Financial Econom. 124(2):266–284.CrossrefGoogle Scholar
  • Drake MS, Roulstone DT, Thornock JR (2012) Investor information demand: Evidence from Google searches around earnings announcements. J. Accounting Res. 50(4):1001–1040.CrossrefGoogle Scholar
  • Du W, Gadgil S, Gordy MB, Vega C (2024) Counterparty risk and counterparty choice in the credit default swap market. Management Sci. Forthcoming.LinkGoogle Scholar
  • Duffie D, Garleanu N, Pedersen L (2005) Over-the-counter markets. Econometrica 73(6):1815–1847.CrossrefGoogle Scholar
  • Duffie D, Garleanu N, Pedersen L (2007) Valuation in over-the-counter markets. Rev. Financial Stud. 20(6):1815–1847.CrossrefGoogle Scholar
  • Efing M, Fahlenbrach R, Herpfer C, Krueger P (2023) How do investors and firms react to a large, unexpected currency appreciation shock? Rev. Corporate Finance Stud. 12(3):488–538.CrossrefGoogle Scholar
  • Eichengreen B, Rose AK, Wyplosz C (1994) Speculative attacks on pegged exchange rates: An empirical exploration with special reference to the European monetary system. NBER Working Paper No. 4898, National Bureau of Economic Research, Cambridge, MA.Google Scholar
  • Eichengreen B, Rose AK, Wyplosz C (1996) Contagious currency crises: First tests. Scandinavian J. Econom. 98(4):463–484.CrossrefGoogle Scholar
  • Ellis C, Gyoerk E (2019) Investigating the economic and financial damage around currency peg failures. J. Risk Financial Management 12(2):92.CrossrefGoogle Scholar
  • Fratzscher M, Lo Duca M, Straub R (2018) On the international spillovers of US quantitative easing. Econom. J. (London) 128(608):330–377.Google Scholar
  • Gerlach S, Smets F (1995) Contagious speculative attacks. Eur. J. Political Econom. 11(1):45–63.CrossrefGoogle Scholar
  • Hagstroemer B, Menkveld AJ (2019) Information revelation in decentralized markets. J. Finance 74(6):2751–2787.CrossrefGoogle Scholar
  • Hasbrouck J, Levich RM (2021) Network structure and pricing in the FX market. J. Financial Econom. 141(2):705–729.CrossrefGoogle Scholar
  • Hendershott T, Li D, Livdan D, Schürhoff N (2020) Relationship trading in over-the-counter markets. J. Finance 75(2):683–734.CrossrefGoogle Scholar
  • Jarrow RA, Yu F (2001) Counterparty risk and the pricing of defaultable securities. J. Finance 56(5):1765–1799.CrossrefGoogle Scholar
  • Jermann UJ (2017) Financial markets’ views about the euro-Swiss franc floor. J. Money Credit Banking 49(2/3):553–565.CrossrefGoogle Scholar
  • Johnson H, Stulz R (1987) The pricing of options with default risk. J. Finance 42(2):267–280.CrossrefGoogle Scholar
  • Kearns J, Schrimpf A, Xia FD (2023) Explaining monetary spillovers: The matrix reloaded. J. Money Credit Banking 55(6):1535–1568.CrossrefGoogle Scholar
  • Kim S (2001) International transmission of US monetary policy shocks: Evidence from VAR’s. J. Monetary Econom. 48(2):339–372.CrossrefGoogle Scholar
  • Krugman P (1979) A model of balance-of-payments crises. J. Money Credit Banking 11(3):311–325.CrossrefGoogle Scholar
  • Levich RM (2012) FX counterparty risk and trading activity in currency forward and futures markets. NBER Working Paper No. 18256, National Bureau of Economic Research, Cambridge, MA.Google Scholar
  • Menkhoff L, Sarno L, Schmeling M, Schrimpf A (2016) Information flows in foreign exchange markets: Dissecting customer currency trades. J. Finance 71(2):601–634.CrossrefGoogle Scholar
  • Ötker I, Pazarbaşioğlu C (1997) Speculative attacks and macroeconomic fundamentals: Evidence from some European currencies. Eur. Econom. Rev. 41(3–5):847–860.CrossrefGoogle Scholar
  • Ranaldo A, Somogyi F (2021) Asymmetric information risk in FX markets. J. Financial Econom. 140(2):391–411.CrossrefGoogle Scholar
  • Swiss National Bank (2011) Swiss National Bank sets minimum exchange rate at CHF 1.20 per euro. Press release, Swiss National Bank, Zurich.Google Scholar
  • Swiss National Bank (2015) Swiss National Bank discontinues minimum exchange rate and lowers interest rate to −0.75%. Press release, Swiss National Bank, Zurich.Google Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.