# Tag Info

## Hot answers tagged currency

11

There was a proxy called the ECU. You should be able to use the weights on the Wikipedia page to get a time series back to 1979. Alternatively, the St. Louis FRED also provides this time series.

8

In 1945 at Bretton Woods, the war-time allies agreed on an international gold standard to stabilise the world's economy. Gold was fixed at \$35 / ounce and all other currencies were pegged to that price via the US dollar. The US became the reserve currency of the world. The problems for the US began immediately. In order to ensure liquidity – an ... 3 Check out: "Universal hedging: Optimizing currency risk and reward in international equity portfolios," Fischer Black - Financial Analysts Journal, 1989. as well as many of the subsequent research that references this article (via Google Scholar, for instance). Good luck. 2 first of all, there is nothing wrong in a currency-only portfolio to be dollar long and short the cross currencies. If that is what your model predicts and if you have a high confidence in the predictions and standard error being low then why do you have issues being dollar long and short the other currencies? You can implement boundary conditions, such as ... 2 A partial answer… For Black-Litterman, an equilibrium no arbitrage condition such as interest rate parity suggests investors would be indifferent between investing in either the foreign or domestic currency. Thus, you could use a constant zero return for all currencies in your opportunity set as the equilibrium model. What this ultimately would do is act ... 1 This is actually a stylized example of the classic dual-listed companies "arbitrage", the most famous example of which is Royal Dutch Shell. It is not a pure arbitrage, but rather is a case of "statistical arbitrage", specifically pairs trading. First, express the prices of Y and Z in terms of X, and let's rename X "\$" for convenience's sake. Then Y ...

1

Here's a little bit of everything. 1) Some papers on foreign reserves that are used to defend a country's currency, and the flexibility of their exchange rate: http://www.imf.org/external/pubs/ft/wp/2001/wp0118.pdf http://www.eusanz.org/pdf/conf04/choi_baek.pdf 2) Some papers on generic modeling of exchange rates: ...

1

Not realy a quant question but funny though, Here are my two euro-cents, I would say that you should ask them for 100-USD times the exchange rate at the date you lend them, plus the interest rates amount that can be calculated by compounding EUR EONIA rate on the period you lend them that money. Regards

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