Similar Search Results

Foreign currency exposure and the financial channel of exchange rates

Anaya, Pablo - 2022

Exchange rate movements affect the economy through changes in net exports, i.e. the trade channel, and through valuation changes in assets and liabilities denominated in foreign currencies, i.e. the financial channel. In this paper, I investigate the macroeconomic and financial effects of U.S....

Persistent link: https://www.econbiz.de/10014278274

E pluribus plures: Shock dependency of the USD pass-through to real and financial variables

Ferrari, Massimo Minesso; Gräb, Johannes - 2022

This paper quantifies the pass-through of a US dollar appreciation on trade variables and domestic financial conditions in a panel of 34 countries. Pass-through coefficients are highly shock-dependent: if the appreciation is driven by a US expansionary shock, the positive effects of stronger...

Persistent link: https://www.econbiz.de/10014278393

Gambling to preserve price (and fiscal) stability

Corsetti, Giancarlo; Maćkowiak, Bartosz - 2023

We study a model in which policy aims at aggregate price stability. A fiscal imbalance materializes that, if uncorrected, must cause inflation, but the imbalance may get corrected in the future with some probability. By maintaining price stability in the near term, monetary policy can buy time...

Persistent link: https://www.econbiz.de/10014476338

Dominant currency pricing in international trade of services

Amador, João; Garcia, Joana; Mehl, Arnaud; Schmitz, Martin - 2024

We analyze, for the first time, how firms choose the currency in which they price transactions in international trade of services and investigate, using direct evidence, whether the US dollar (USD) plays a dominant role in services trade. Drawing on a new granular dataset on extra-European Union...

Persistent link: https://www.econbiz.de/10014543670

The global capital flows cycle: Structural drivers and transmission channels

Habib, Maurizio Michael; Venditti, Fabrizio - 2019

In this paper, we study the effects of structural shocks that influence global risk - the main factor behind a "global capital flows cycle" - and how risk, in turn, is transmitted to capital flows. Our results show that not all the risk shocks driving the global financial cycle have the same...

Persistent link: https://www.econbiz.de/10012142124

The fundamentals of safe assets

Habib, Maurizio Michael; Stracca, Livio; Venditti, Fabrizio - 2020

We study what makes government bonds a safe asset. Building on a sample of monthly changes in government bond yields in 40 advanced and emerging countries, we analyse the sensitivity of yields to country specific fundamentals interacted with changes in global risk (VIX). We find that inertia...

Persistent link: https://www.econbiz.de/10012389558

The predictive power of equilibrium exchange rate models

Ca' Zorzi, Michele; Cap, Adam; Mijakovic, Andrej; … - 2020

Power Parity (PPP), Behavioral Equilibrium Exchange Rate (BEER) and the Macroeconomic Balance (MB) approach. We show that …In this paper we evaluate the predictive power of the three most popular equilibrium exchange rate concepts: Purchasing … has good predictive power. The BEER framework, which links exchange rates to fundamentals, does not deliver forecasts of …

Persistent link: https://www.econbiz.de/10012389561

Exchange rate shocks and inflation comovement in the euro area

Leiva-Leon, Danilo; Martínez-Martín, Jaime; Ortega, Eva - 2020

This paper decomposes the time-varying effect of exogenous exchange rate shocks on euro area countries in ation into country-specific (idiosyncratic) and region-wide (common) components. To do so, we propose a exible empirical framework based on dynamic factor models subject to drifting...

Persistent link: https://www.econbiz.de/10012422045

Cross-border currency exposures: New evidence based on an enhanced and updated dataset

Bénétrix, Agustín; Gautam, Deepali; Juvenal, Luciana; … - 2020

This paper provides a dataset on the currency composition of the international investment position for a group of 50 countries for the period 1990-2017. It improves available data based on estimates by incorporating actual data reported by statistical authorities and refining estimation methods....

Persistent link: https://www.econbiz.de/10012422079

Dominant currencies and the export supply channel

Frohm, Erik - 2021

Dominant currency pricing (DCP) weakens the demand-side effects of exchange rate changes on exports (Gopinath et al., 2020). However, adjustment in the export sector can still occur through other supply-side channels. With bilateral trade data at the HS2-product level, panel fixed-effects...

Persistent link: https://www.econbiz.de/10012605276