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FX-LINKED STRUCTURED TIME DEPOSITS VERSUS BARRIER AND STANDARD OPTIONS: A COMPARATIVE STUDY

100%
Krawiec M.
Metody Ilościowe w Badaniach Ekonomicznych
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2018
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vol. 19
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issue 4
398-410
EN
The paper provides a short description of barrier options together with an analysis of their performance compared to the performance of standard options and structured time deposits that incorporate the element of barrier in their construction. The results obtained show that some of considered structured time deposits linked to the foreign exchange rates and standard options could bring some profits unlike the majority of coressponding barrier options. The disadavantage of barrier options is they can stay inactive or a “spike” in the underlying asset price can cause the option to be knocked-out.
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FOREIGN EXCHANGE RATES IN CENTRAL EUROPEAN ECONOMIES: NONLINEARITIES IN ADJUSTMENT TO INTEREST RATE DIFFERENTIALS

100%
Sznajderska A.
Metody Ilościowe w Badaniach Ekonomicznych
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2013
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vol. 14
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issue 2
229-239
EN
The aim of the paper is to examine the relation between foreign exchange rates and interest rate differentials in Poland, the Czech Republic, and Hungary. The exchange rate equations are inspired by the uncovered interest rate parity (i.e. the UIP condition). The results of empirical studies are usually contrary to the UIP condition. One of the explanations of this puzzle is the existence of certain nonlinearities. The nonlinearities appear because of transaction costs, central bank interventions, limits of speculations, hysteresis, or changes in risk perception. I estimate smooth transition autoregressive models. The threshold variable is an interest rate differential or a level of economic activity. I examine the exchange rates of USD and EUR and 1-, 3- and 6- months and 5- years interest rates. I also test various proxies for risk premium.
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