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Statements of ECB officials and their effect on the level and volatility of the Euro-Dollar exchange rate

Jansen, David-Jan; Haan, Jakob de - 2003

This paper studies the reaction of the mean and volatility of the euro-dollar exchange rate to statements of ECB … officials during the first years of EMU. We focus on statements on monetary policy and the (potential) strength of the euro. We …. In some cases there are effects of statements on the level of the euro-dollar rate. Efforts to talk up the euro have not …

Persistent link: https://www.econbiz.de/10011507830

Banks' portfolio of government debt and sovereign risk

Afonso, António; Alves, José; Monteiro, Sofia - 2023

We analyze domestic, foreign, and central banks holdings of public debt for 31 countries for the period of 1989-2022, applying panel regressions and quantile analysis. We conclude that an increase in sovereign risk raises the share of domestic banks' portfolio of public debt and reduces the...

Persistent link: https://www.econbiz.de/10014383613

The Fed's international dollar liquidity facilities: new evidence on effects

Goldberg, Linda S.; Ravazzolo, Fabiola - 2021

In March 2020, the Federal Reserve eased the terms on its standing swap lines in collaboration with other central banks, reactivated temporary swap agreements, and then introduced the new Foreign and International Monetary Authorities (FIMA) Repo Facility. We provide new evidence on how the...

Persistent link: https://www.econbiz.de/10012797880

The Fed's central bank swap lines and FIMA repo facility

Choi, Mark; Goldberg, Linda S.; Lerman, Robert Irving; … - 2021

Building on the facility design and application experience from the period of the global financial crisis, in March 2020 the Federal Reserve eased the terms on its standing swap lines in collaboration with other central banks, reactivated temporary swap agreements, and then introduced the new...

Persistent link: https://www.econbiz.de/10012625891

Commodity price effects on currencies

Cheung, Yin-Wong; Wang, Wenhao - 2022

Using quarterly data on four commodity exporting countries, we study the explanatory power of real commodity prices for predicting real effective exchange rates, with special attention to the separate roles of different sectoral commodity prices during alternative time periods. We find that the...

Persistent link: https://www.econbiz.de/10013383435

Sovereign default risk and banks in a monetary union

Uhlig, Harald - 2013 - This revision: August 12, 2013

This paper seeks to understand the interplay between banks, bank regulation, sovereign default risk and central bank guarantees in a monetary union. I assume that banks can use sovereign bonds for repurchase agreements with a common central bank, and that their sovereign partially backs up any...

Persistent link: https://www.econbiz.de/10009786077

Financial stability in Europe : banking and sovereign risk

Brůha, Jan; Kočenda, Evžen - 2017

theoretically and empirically motivated banking sector characteristics, and a Bayesian inference in panel estimation as a …

Persistent link: https://www.econbiz.de/10011646829

Stigma or cushion? : IMF programs and sovereign creditworthiness

Gehring, Kai; Lang, Valentin - 2018

IMF programs are often considered to carry a "stigma" that triggers adverse market reactions. We show that such a negative IMF effect disappears when accounting for endogenous selection into programs. To proxy for a country's access to financial markets, we use credit ratings and investor...

Persistent link: https://www.econbiz.de/10011931328

Bank regulation and sovereign risk : a paradox

Afonso, António; Teixeira, André - 2023

This paper investigates the impact of banking prudential regulation on sovereign risk. We show that prudential regulation reduces sovereign risk and induces governments to spend more. As a result, countries with tight prudential regulation have lower primary budget balances and accumulate more...

Persistent link: https://www.econbiz.de/10014281475

Beyond borders : assessing the influence of geopolitical tensions on sovereign risk dynamics

Afonso, António; Alves, José; Monteiro, Sofia - 2023

We assess the impact of geopolitical risk and world uncertainty on the sovereign debt risk of 26 European Economies during the period 1984-2022, through the implementation of OLS-Fixed Effects regressions and the Generalized Method of Moments (GMM). We find that geopolitical tensions and global...

Persistent link: https://www.econbiz.de/10014442414