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Do financial market variables show (symmetric) indicator properties relative to exchange rate returns?
Castrén, Olli - 2004
This paper assesses the contemporaneous, leading and lagging indicator properties of financial market variables relative to movements in six major developed country currency pairs. As indicator variables changes in various relative asset prices, short-term portfolio flows and currency options...
Persistent link: https://www.econbiz.de/10011604425
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Capital controls and foreign exchange policy
Fratzscher, Marcel - 2012
The empirical analysis of the paper suggests that an FX policy objective and concerns about an overheating of the domestic economy have been the two main motives for the (re-)introduction and persistence of capital controls over the past decade. Capital controls are strongly associated with...
Persistent link: https://www.econbiz.de/10011605460
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Exchange rate stabilization in developed and underdeveloped capital markets
Chmelarova, Viera; Schnabl, Gunther - 2006
The target zone model by Krugman (1991) assumes that foreign exchange intervention targets exchange rate levels. We argue that the fit of this model depends on the stage of development of capital markets. Foreign exchange intervention of countries with highly developed capital markets is in line...
Persistent link: https://www.econbiz.de/10011604682
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On the International Spillovers of US Quantitative Easing
Fratzscher, Marcel - 2013
The paper analyses the global spillovers of the Federal Reserve's unconventional monetary policy measures. First, we find that Fed measures in the early phase of the crisis (QE1) were highly effective in lowering sovereign yields and raising equity markets, especially in the US relative to other...
Persistent link: https://www.econbiz.de/10013081463
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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 …
Persistent link: https://www.econbiz.de/10014278274
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Attention to the tail(s): Global financial conditions and exchange rate risks
Eguren-Martin, Fernando; Sokol, Andrej - 2020
We document how the distribution of exchange rate returns responds to changes in global financial conditions. We measure global financial conditions as the common component of country-specific financial condition indices, computed consistently across a large panel of developed and emerging...
Persistent link: https://www.econbiz.de/10012422049
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Do words hurt more than actions? The impact of trade tensions on financial markets
Ferrari, Massimo Minesso; Kurcz, Frederik; Pagliari, … - 2020
In this paper, we apply textual analysis and machine learning algorithms to construct an index capturing trade tensions … between US and China. Our indicator matches well-known events in the US-China trade dispute and is exogenous to the … rising trade tensions, with the exception of those firms that are more exposed to China, while the same shock negatively …
Persistent link: https://www.econbiz.de/10012422152
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Sectoral exchange rate pass-through in the euro area
Osbat, Chiara; Sun, Yiqiao; Wagner, Martin - 2021
We study exchange rate pass-through (ERPT), i.e., the impact of exchange rate movements on inflation, focusing on euro area import prices at a sectorally disaggregated level. Our estimation strategy is based on VAR-X models, thus incorporating both endogenous and exogenous explanatory variables....
Persistent link: https://www.econbiz.de/10012819048
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Dominant currencies and the export supply channel
Frohm, Erik - 2021
., 2020). However, adjustment in the export sector can still occur through other supply-side channels. With bilateral trade …
Persistent link: https://www.econbiz.de/10012605276
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Identifying the effects of monetary policy shocks on exchange rates using high frequency data
Faust, Jon; Rogers, John H.; Swanson, Eric; Wright, … - 2002
This paper proposes a new approach to identifying the effects of monetary policy shocks in an international vector autoregression. Using high-frequency data on the prices of eurodollar contracts, we measure the impact of the surprise component of the FOMC-day Federal Reserve policy decision on...
Persistent link: https://www.econbiz.de/10011604213