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China’s Dominance Hypothesis and the Emergence of a Tri-polar Global Currency System

Fratzscher, Marcel; Mehl, Arnaud - C.E.P.R. Discussion Papers - 2011

This paper assesses whether the international monetary system is already tri-polar and centred around the US dollar, the euro and the Chinese renminbi (RMB). It focuses on what we call China’s" dominance hypothesis", i.e. whether the renminbi is already the dominant currency in Asia, exerting...

Persistent link: https://www.econbiz.de/10009371469

130 years of fiscal vulnerabilities and currency crashes in advanced economies

Fratzscher, Marcel; Mehl, Arnaud; Vansteenkiste, Isabel - C.E.P.R. Discussion Papers - 2011

This paper investigates the empirical link between fiscal vulnerabilities and currency crashes in advanced economies over the last 130 years, building on a new dataset of real effective exchange rates and fiscal balances for 21 countries since 1880. We find evidence that crashes depend more on...

Persistent link: https://www.econbiz.de/10009324258

Capital controls and foreign exchange policy

Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2012

controls also appear to be less motivated by worries about financial market volatility or fickle capital flows per se, but … inflation and output volatility. Moreover, countries with a high level of capital controls, and those actively implementing …

Persistent link: https://www.econbiz.de/10011083774

The Scapegoat Theory of Exchange Rates: The First Tests

Fratzscher, Marcel; Sarno, Lucio; Zinna, Gabriele - C.E.P.R. Discussion Papers - 2012

This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011), as an attempt to evaluate its potential for explaining the poor empirical performance of traditional exchange rate models. This theory suggests that market participants may at...

Persistent link: https://www.econbiz.de/10011084052

The Scapegoat Theory of Exchange Rates: The First Tests

Fratzscher, Marcel; Sarno, Lucio; Zinna, Gabriele - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011). This theory suggests that market participants may at times attach significantly more weight to individual economic fundamentals to rationalize the pricing of currencies, which...

Persistent link: https://www.econbiz.de/10010643156

Asset Prices, Exchange Rates and the Current Account

Fratzscher, Marcel; Juvenal, Luciana; Sarno, Lucio - C.E.P.R. Discussion Papers - 2009

of the US trade balance. It employs a Bayesian structural VAR model that requires imposing only a minimum of economically … current account in the past, accounting for up to 30% of the movements of the US trade balance at a horizon of 20 quarters. By … the US trade balance. Our findings suggest that large exchange rate movements may not necessarily be the key element of an …

Persistent link: https://www.econbiz.de/10008502576

Oil Prices, Exchange Rates and Asset Prices

Fratzscher, Marcel; Schneider, Daniel; Robays, Ine Van - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

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/10010659948