|
|
|
|
| LEADER |
02921nmm a2200733 u 4500 |
| 001 |
EB000931894 |
| 003 |
EBX01000000000000000725490 |
| 005 |
00000000000000.0 |
| 007 |
cr||||||||||||||||||||| |
| 008 |
150128 ||| eng |
| 020 |
|
|
|a 9781451841657
|
| 100 |
1 |
|
|a Chan-Lau, Jorge
|
| 245 |
0 |
0 |
|a Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies
|c Jorge Chan-Lau, Armando Méndez Morales
|
| 260 |
|
|
|a Washington, D.C.
|b International Monetary Fund
|c 2003
|
| 300 |
|
|
|a 32 pages
|
| 651 |
|
4 |
|a United States
|
| 653 |
|
|
|a Payment Systems
|
| 653 |
|
|
|a Finance
|
| 653 |
|
|
|a Dynamic Treatment Effect Models
|
| 653 |
|
|
|a Currency; Foreign exchange
|
| 653 |
|
|
|a Regimes
|
| 653 |
|
|
|a Deflation
|
| 653 |
|
|
|a option pricing
|
| 653 |
|
|
|a Money
|
| 653 |
|
|
|a Time-Series Models
|
| 653 |
|
|
|a Asset prices
|
| 653 |
|
|
|a International Financial Markets
|
| 653 |
|
|
|a Futures Pricing
|
| 653 |
|
|
|a Foreign Exchange
|
| 653 |
|
|
|a Standards
|
| 653 |
|
|
|a Financial markets
|
| 653 |
|
|
|a Currencies
|
| 653 |
|
|
|a Macroeconomics
|
| 653 |
|
|
|a Foreign exchange
|
| 653 |
|
|
|a Government and the Monetary System
|
| 653 |
|
|
|a Inflation
|
| 653 |
|
|
|a Institutional Investors
|
| 653 |
|
|
|a Pension Funds
|
| 653 |
|
|
|a Monetary economics
|
| 653 |
|
|
|a Financial institutions
|
| 653 |
|
|
|a Contingent Pricing
|
| 653 |
|
|
|a Financial Instruments
|
| 653 |
|
|
|a Options
|
| 653 |
|
|
|a Diffusion Processes
|
| 653 |
|
|
|a Investments: Options
|
| 653 |
|
|
|a Currency markets
|
| 653 |
|
|
|a Derivative securities
|
| 653 |
|
|
|a Non-bank Financial Institutions
|
| 653 |
|
|
|a Price Level
|
| 653 |
|
|
|a Monetary Systems
|
| 653 |
|
|
|a Prices
|
| 653 |
|
|
|a Dynamic Quantile Regressions
|
| 653 |
|
|
|a Foreign exchange market
|
| 653 |
|
|
|a Exchange rates
|
| 653 |
|
|
|a Money and Monetary Policy
|
| 653 |
|
|
|a Finance: General
|
| 700 |
1 |
|
|a Méndez Morales, Armando
|
| 041 |
0 |
7 |
|a eng
|2 ISO 639-2
|
| 989 |
|
|
|b IMF
|a International Monetary Fund
|
| 490 |
0 |
|
|a IMF Working Papers
|
| 028 |
5 |
0 |
|a 10.5089/9781451841657.001
|
| 856 |
4 |
0 |
|u https://elibrary.imf.org/view/journals/001/2003/001/001.2003.issue-001-en.xml?cid=16214-com-dsp-marc
|x Verlag
|3 Volltext
|
| 082 |
0 |
|
|a 330
|
| 520 |
|
|
|a This paper analyzes the informational efficiency of OTC currency options on the Czech koruna and the Polish zloty correcting for the volatility risk premium and errors-in-variable problems, using state-of-the-art techniques (Chernov 2001). It finds that these markets are more efficient than mature markets possibly because of higher relative participation of informed dedicated investors, which offset the effects of relative illiquidity and higher transaction costs in these countries. Moreover, implied volatilities generally anticipate the direction of volatility correctly, with a bias to overpredicting volatility increases reflecting one-sided markets
|