Daniel Nathan

Bank of Israel

Reasearch economist

P.O. Box 780

Jerusalem, 91907

Israel

University of Pennsylvania - Finance Department

The Wharton School

3620 Locust Walk

Philadelphia, PA 19104

United States

SCHOLARLY PAPERS

8

DOWNLOADS

862

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (8)

1.

Shorting the Dollar When Global Stock Markets Roar: The Equity Hedging Channel of Exchange Rate Determination

Number of pages: 61 Posted: 24 Jan 2023 Last Revised: 22 Aug 2023
Nadav Ben Zeev and Daniel Nathan
Ben-Gurion University of the Negev - Department of Economics and Bank of Israel
Downloads 204 (266,024)

Abstract:

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Equity Hedging Channel; Foreign Currency Forward Flows; Order Flow; Limits of Arbitrage; FX Dealers; Forward Exchange Rate; Spot Exchange Rate; Global Stock Prices; Institutional Investors; Bayesian Local Projections.

2.

Exchanges for Government Bonds? Evidence during COVID-19

Number of pages: 70 Posted: 20 Jul 2021 Last Revised: 30 Jul 2023
Bank of Israel - Research Department, Bank of Israel and Stanford UniversityEuropean University Institute
Downloads 162 (326,054)
Citation 2

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Exchange, OTC markets, government bonds, liquidity, crisis

3.

Mutual Fund Flows and Government Bond Returns

Number of pages: 45 Posted: 10 Jun 2021 Last Revised: 20 Feb 2024
Menachem (Meni) Abudy, Daniel Nathan and Avi Wohl
Bar-Ilan University - Graduate School of Business Administration, Bank of Israel and Tel Aviv University - Coller School of Management
Downloads 127 (396,280)

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Investor sentiment, government bonds, mutual fund flows, break-even inflation

4.

The Persistent Widening of Cross-Currency Basis: When Increased FX Swap Demand Meets Limits of Arbitrage

Number of pages: 59 Posted: 19 Oct 2022 Last Revised: 26 Jul 2023
Daniel Nathan and Nadav Ben Zeev
Bank of Israel and Ben-Gurion University of the Negev - Department of Economics
Downloads 115 (426,718)

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LOA-Dependent FX Swap Demand Channel; Cross-Currency Basis; Open FX Swap Position; Limits of Arbitrage;Global Arbitrage Capital; Institutional Investors; Bayesian State-Dependent Local Projections

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central bank intervention, covered interest parity, exchange rate, expectations, financial frictions, limited risk-bearing capacity, limits of arbitrage

6.

Foreign Exchange Interventions and Their Impact on Expectations: Evidence from the USD/ILS Options Market

Deutsche Bundesbank Discussion Paper No. 20/2022
Number of pages: 48 Posted: 27 Aug 2022
Markus Hertrich and Daniel Nathan
Deutsche Bundesbank and Bank of Israel
Downloads 71 (581,142)

Abstract:

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exchange rate, expectations, central bank intervention, Israeli new shekel, reaction function

7.

Decomposing the Term Structure of Interests Rates: Evidence from a Small Open Economy

Number of pages: 45 Posted: 08 Oct 2018
Daniel Nathan
Bank of Israel
Downloads 49 (695,891)

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Affine term structure models, Inflation-indexed bonds, Israel, Inflation, Monetary policy

8.

Foreign Exchange Interventions and Their Impact on Expectations: Evidence from the Usd/Ils Options Market

Number of pages: 44 Posted: 02 Jun 2022
Markus Hertrich and Daniel Nathan
Deutsche Bundesbank and Bank of Israel
Downloads 48 (701,911)

Abstract:

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Exchange rate, market expectations, central bank intervention, US dollar purchases, reaction function.