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China's dominance hypothesis and the emergence of a tri-polar global currency system
Fratzscher, Marcel; Mehl, Arnaud - European Central Bank - 2011
euro and the Chinese renminbi (RMB). It focuses on what we call China’s “dominance hypothesis”, i.e. whether the renminbi …
Persistent link: https://www.econbiz.de/10009367477
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Productivity and the ('synthetic') euro-dollar exchange rate
Schnatz, Bernd; Vijselaar, Focco; Osbat, Chiara - European Central Bank - 2003
This paper analyses the impact of productivity developments in the United States and the euro area on the euro … productivity proxies. Our results indicate that the extent to which productivity can explain the euro depreciation varies with the … used the former to assess productivity developments, this might thus have contributed to the weakness of the euro in 2000 …
Persistent link: https://www.econbiz.de/10005033414
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How successful is the G7 in managing exchange rates?
Fratzscher, Marcel - European Central Bank - 2008
moving the US dollar, yen and euro in the intended direction at horizons of up to three months after G7 meetings, but not at …
Persistent link: https://www.econbiz.de/10005816257
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Do China and oil exporters influence major currency configurations?
Fratzscher, Marcel; Mehl, Arnaud - European Central Bank - 2008
economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US … have a statistically but also an economically significant impact on the euro, and to a lesser extent the yen against the US … the appreciation of the euro against the US dollar in recent years. Interestingly, EME policy-makers appear to have become …
Persistent link: https://www.econbiz.de/10005344843
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What explains global exchange rate movements during the financial crisis?
Fratzscher, Marcel - European Central Bank - 2009
A striking and unexpected feature of the financial crisis has been the sharpappreciation of the US dollar against virtually all currencies globally. The paper findsthat negative US-specific macroeconomic shocks during the crisis have triggered asignificant strengthening of the US dollar, rather...
Persistent link: https://www.econbiz.de/10005866568
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What explains global exchange rate movements during the financial crisis?
Fratzscher, Marcel - European Central Bank - 2009
A striking and unexpected feature of the financial crisis has been the sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific macroeconomic shocks during the crisis have triggered a significant strengthening of the US dollar,...
Persistent link: https://www.econbiz.de/10005002763
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Global crises and equity market contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - European Central Bank - 2011
Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining unexplained increases in factor loadings as...
Persistent link: https://www.econbiz.de/10009293721
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Oil prices, exchange rates and asset prices
Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - European Central Bank - 2014
This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...
Persistent link: https://www.econbiz.de/10011067221
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US shocks and global exchange rate configurations
Fratzscher, Marcel - European Central Bank - 2007
The paper analyses the heterogeneity in the link between macroeconomic fundamentals and exchange rates. For a set of important US-specific economic shocks, it shows that such shocks have exerted a remarkably heterogeneous effect on global exchange rate configurations over the past 25 years....
Persistent link: https://www.econbiz.de/10005530987
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Chronicle of currency collapses: re-examining the effects on output
Bussière, Matthieu; Saxena, Sweta C.; Tovar, Camilo E. - European Central Bank - 2010
The impact of currency collapses (i.e. large nominal depreciations or devaluations) on real output remains unsettled in the empirical macroeconomic literature. This paper provides new empirical evidence on this relationship using a dataset for 108 emerging and developing economies for the period...
Persistent link: https://www.econbiz.de/10008597022