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Safe asset shortage and collateral reuse
Jank, Stephan; Mönch, Emanuel; Schneider, Michael - 2021
The reuse of collateral can support the efficient allocation of assets in the financial system. Exploiting a novel dataset, we quantify banks’ collateral reuse at the security level. We show that banks substantially increase their reuse of collateral in response to scarcity induced by central...
Persistent link: https://www.econbiz.de/10012651538
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International financial market integration, asset compositions, and the falling exchange rate pass-through
Enders, Almira; Enders, Zeno; Hoffmann, Mathias - 2015
This paper provides an explanation for the observed decline of the exchange rate pass-through into import prices by modeling the effects of financial market integration on the optimal choice of the pricing currency in the context of rigid nominal goods prices. Contrary to previous literature, we...
Persistent link: https://www.econbiz.de/10011294137
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US trade policy and the US dollar
Khalil, Makram; Strobel, Felix - 2021
We investigate the extent to which the effect of the 2018/2019 US import tariff hikes on US (post-tariff) import prices was offset by the concurrent appreciation of the US dollar and trace the source of the appreciation back to US trade policy itself. The dollar response to trade policy...
Persistent link: https://www.econbiz.de/10012792730
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Equilibrium real exchange rate estimates across time and space
Fischer, Christoph - 2019
Equilibrium real exchange rate and corresponding misalignment estimates differ tremendously depending on the panel estimation method used to derive them. Essentially, these methods differ in their treatment of the time-series (time) and the cross-section (space) variation in the panel. The study...
Persistent link: https://www.econbiz.de/10011998982
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Real financial market exchange rates and capital flows
Gelman, Maria; Jochem, Axel; Reitz, Stefan - 2013
Foreign exchange rates and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. To account for this fact we construct an index of real effective exchange rates as a weighted average of cross-country asset price...
Persistent link: https://www.econbiz.de/10010211958
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On the degree of homogeneity in dynamic heterogeneous panel data models
Offermanns, Christian J. - 2014
We propose a semi-parametric approach to heterogeneous dynamic panel data modelling. The method generalizes existing approaches to model cross-section homogeneity within such panels. It allows for partial influence of other cross-section units on estimated coefficients, differentiating between...
Persistent link: https://www.econbiz.de/10010414225
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International investment positions and exchange rate dynamics
Binder, Michael; Offermanns, Christian J. - 2014
We revisit medium- to long-run exchange rate determination, focusing on the role of international investment positions. To do so, we make use of a new econometric framework accounting for conditional long-run homogeneity in heterogeneous dynamic panel data models. In particular, in our model the...
Persistent link: https://www.econbiz.de/10010414236
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A consistent set of multilateral productivity approach-based indicators of price competitiveness
Fischer, Christoph; Hossfeld, Oliver - 2014
above and China’s price competitiveness to be below its derived benchmark. …
Persistent link: https://www.econbiz.de/10010373688
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Climate policies under dynamic international economic cycles : a heterogeneous countries DSGE model
Xiao, Bowen; Guo, Xiaodan; Fan, Ying; Voigt, Sebastian; … - 2020
production sectors, bilateral climate policies, asymmetric economies, and asymmetric stochastic shocks, using China and the EU as … both China's and the EU's emission quotas should be adjusted pro-cyclically under separate carbon markets. The cross …
Persistent link: https://www.econbiz.de/10012174121
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China's role in global inflation dynamics
Eickmeier, Sandra; Kühnlenz, Markus - 2013
analyze China’s role in global inflation dynamics. We identify Chinese supply and demand shocks and examine their … competition and commodity prices) seem both to matter; (iii) Differences in trade (overall and with China) and in commodity … exposure help explaining crosscountry differences in price responses. -- Global inflation ; China ; international business …
Persistent link: https://www.econbiz.de/10009732001