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Rodnyansky, Alexander; Timmer, Yannick; Yago, Naoki - 2023

This paper studies the spillovers of US monetary policy and the mitigating role of foreign exchange interventions (FXI) by combining deviations from a daily FXI policy rule with high-frequency US monetary policy shocks, daily exchange rates, and firm-level stock prices, as well as firm-level...

Persistent link: https://www.econbiz.de/10014377549

Non-linearities in the relation between the exchange rate and its fundamentals

Altavilla, Carlo; De Grauwe, Paul - 2005

This paper investigates the relationship between the euro-dollar exchange rate and its underlying fundamentals. First … of different regimes, and thus nonlinearities in the link between the exchange rate and its fundamentals. Second, we … are that different sets of macroeconomic fundamentals act as driving forces of the exchange rates during different time …

Persistent link: https://www.econbiz.de/10010261347

Can Time-Varying Currency Risk Hedging Explain Exchange Rates?

Bräuer, Leonie; Hau, Harald - 2022

Over the last decade foreign bond portfolio positions in US dollar assets have risen above the reciprocal US investor positions in foreign currencies. In periods of increased economic uncertainty, institutional investors hedge their international bond positions, which creates a net hedging...

Persistent link: https://www.econbiz.de/10013470324

Systematic Consumption Risk in Currency Returns

Hoffmann, Mathias; Suter, Rahel - 2013

We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...

Persistent link: https://www.econbiz.de/10010317047

China's Capital Controls - Through the Prism of Covered Interest Differentials

Cheung, Yin-Wong; Herrala, Risto - 2013

We study the renminbi (RMB) covered interest differential - an indicator of the effectiveness of capital controls. It is found that the differential is not shrinking over time and, in fact, appears larger after the global financial crisis than before. That is, capital controls in China are still...

Persistent link: https://www.econbiz.de/10010319400

High-frequency analysis of foreign exchange interventions: what do we learn?

Menkhoff, Lukas - 2008

central banks and going with the market and fundamentals. …

Persistent link: https://www.econbiz.de/10010264498

Bank of England interest rate announcements and the foreign exchange market

Melvin, Michael; Saborowski, Christian; Sager, Michael; … - 2009

Since 1997, the Bank of England Monetary Policy Committee (MPC) has met monthly to set the UK policy interest rate. We examine evidence of systematic patterns in exchange rate movements on MPC days over the first decade of operation of the MPC. Daily data reveal significant differences in...

Persistent link: https://www.econbiz.de/10010264608

Monetary policy, model uncertainty and exchange rate volatility

Markiewicz, Agnieszka - 2010

determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility … varies accordingly even though the underlying fundamentals processes remain time-invariant. I investigate the relevance of …

Persistent link: https://www.econbiz.de/10010266075

Financial dollarization and European Union membership

Neanidis, Kyriakos C. - 2010

We analyze the effect of European Union (EU) membership on financial dollarization for the Central and Eastern European countries. Using a unique monthly dataset that spans about two decades, we find that both the accession process toward EU membership and EU entry have a direct impact on...

Persistent link: https://www.econbiz.de/10010270541

The Effect of U.S. Stress Tests on Monetary Policy Spillovers to Emerging Markets

Liu, Emily; Niepmann, Friederike; Schmidt-Eisenlohr, Tim - 2019

This paper shows that monetary policy and prudential policies interact. U.S. banks issue more commercial and industrial loans to emerging market borrowers when U.S. monetary policy eases. The effect is less pronounced for banks that are more constrained through the U.S. bank stress tests,...

Persistent link: https://www.econbiz.de/10012179754