@stwill1.bsky.social
Shedding some light on global dollar hedge ratios in particular, Wenxin Du and Amy Huber's analysis is highly recommended. www.nber.org/system/files...
www.nber.org
September 12, 2025 at 3:37 AM
Shedding some light on global dollar hedge ratios in particular, Wenxin Du and Amy Huber's analysis is highly recommended. www.nber.org/system/files...
as suspected here in 2018. For Taiwan, it was also what prompted Brad Setser and me to dive in much deeper. concentratedambiguity.wordpress.com/2018/10/11/f...
FX-hedged yields, misunderstood term premia and $1 tn of negative carry investments
This stand-alone post is the long form discussion of a topic briefly touched on here. It can be read on its own, however a fuller perspective is possible when read as part of a series which starts …
concentratedambiguity.wordpress.com
September 12, 2025 at 3:34 AM
as suspected here in 2018. For Taiwan, it was also what prompted Brad Setser and me to dive in much deeper. concentratedambiguity.wordpress.com/2018/10/11/f...
whether there aren't better ways to satisfy the (net) single-digit trillion synthetic end-investor demand for dollar duration. Would absolutely be interested (and love to read) any additional views you might have on that front.
November 28, 2024 at 11:31 PM
whether there aren't better ways to satisfy the (net) single-digit trillion synthetic end-investor demand for dollar duration. Would absolutely be interested (and love to read) any additional views you might have on that front.
demands from end investors/AMs, evident for a while longer in swap spreads already.
Apart from the obvious ones, there remains a certain gap, it seems, in properly examining new risks the rapid growth brings. And longer term, it wouldn't seem like the worst moment to think more creatively about
Apart from the obvious ones, there remains a certain gap, it seems, in properly examining new risks the rapid growth brings. And longer term, it wouldn't seem like the worst moment to think more creatively about
November 28, 2024 at 11:30 PM
demands from end investors/AMs, evident for a while longer in swap spreads already.
Apart from the obvious ones, there remains a certain gap, it seems, in properly examining new risks the rapid growth brings. And longer term, it wouldn't seem like the worst moment to think more creatively about
Apart from the obvious ones, there remains a certain gap, it seems, in properly examining new risks the rapid growth brings. And longer term, it wouldn't seem like the worst moment to think more creatively about
Good one; thanks for flagging the ECB box. Closely connected to treasury cash futures basis trades, which got some spotlight earlier in the year. Much of the repo lending is financing the cash leg.
@jstatistic.bsky.social et al. had a pretty good look into the root cause: unfunded long duration
@jstatistic.bsky.social et al. had a pretty good look into the root cause: unfunded long duration
November 28, 2024 at 11:25 PM
Good one; thanks for flagging the ECB box. Closely connected to treasury cash futures basis trades, which got some spotlight earlier in the year. Much of the repo lending is financing the cash leg.
@jstatistic.bsky.social et al. had a pretty good look into the root cause: unfunded long duration
@jstatistic.bsky.social et al. had a pretty good look into the root cause: unfunded long duration