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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

Relative monetary policy and exchange rates

Karau, Sören - 2024

I show that the majority of short-term nominal exchange rate fluctuations among large economies can be explained by changes in the relative stance of their monetary policies. Adapting recently developed instrumental variable techniques for shock identification, I find that monetary policy shocks...

Persistent link: https://www.econbiz.de/10015079889

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

Foreign exchange interventions and their impact on expectations : evidence from the USD/ILS options market

Hertrich, Markus; Nathan, Daniel - 2022

Using confidential daily data, we analyse how the intervention episode of the Bank of Israel (BOI) from 2013 to 2019 has affected the foreign value of the Israeli new shekel (ILS) and the expectations about its future value. We find that interventions amounting to US dollar (USD) 1 billion are...

Persistent link: https://www.econbiz.de/10013259481

The dynamic impact of FX interventions on financial markets

Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias - 2019

Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Applying this approach to the...

Persistent link: https://www.econbiz.de/10012138448

On the empirical relevance of the exchange rate as a shock absorber at the zero lower bound

Finck, David; Hoffmann, Mathias; Hürtgen, Patrick - 2023 - February 3, 2023

United States, Canada, and Japan by state-dependent sign-restricted local projection methods. We find a real depreciation …

Persistent link: https://www.econbiz.de/10014320485

Exchange rate volatility and cross-border travel : theory and empirics

Wisarut Suwanprasert - 2021

Persistent link: https://www.econbiz.de/10012605965

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

Point, interval and density forecasts of exchange rates with time-varying parameter models

Abbate, Angela; Marcellino, Massimiliano - 2016

an accurate calibration of forecast confidence intervals, and is better suited at long horizons and in high-volatility …

Persistent link: https://www.econbiz.de/10011489395

Equilibrium real exchange rate estimates across time and space

Fischer, Christoph - 2019

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 shows that conventional panel estimation methods (pooled OLS, fixed … literature to show that the distortion is generally very large. This suggests the use of the CRE model for the panel estimation …

Persistent link: https://www.econbiz.de/10011998982