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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

EME financial conditions: Which global shocks matter?

Lodge, David; Manu, Ana-Simona - 2019

This paper provides a quantitative assessment of the relative importance of global structural shocks for changes in financial conditions across a sample of emerging market economies. We disentangle four key drivers of global financial markets (oil supply shocks, global economic news shocks,...

Persistent link: https://www.econbiz.de/10012142126

Asset price misalignments and the role of money and credit

Gerdesmeier, Dieter; Roffia, Barbara; Reimers, Hans-Eggert - 2009

This paper contributes to the literature on the properties of money and credit indicators for detecting asset price misalignments. After a review of the evidence in the literature on this issue, the paper discusses the approaches that can be considered to detect asset price busts. Considering a...

Persistent link: https://www.econbiz.de/10011605114

Oil prices, exchange rates and asset prices

Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - 2014

This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...

Persistent link: https://www.econbiz.de/10011605734

Does it pay to have the euro? Italy’s politics and financial markets under the lira and the euro

Fratzscher, Marcel; Stracca, Livio - 2009

There is a broad consensus that the quality of the political system and its institutions are fundamental for a country’s prosperity. The paper focuses on olitical events in Italy over the past 35 years and asks whether the adoption of the euro in 1999 has helped insulate Italy’s financial...

Persistent link: https://www.econbiz.de/10011605110

Domestic and Multilateral Effects of Capital Controls in Emerging Markets

Pasricha, Gurnain Kaur - 2015

. Using panel near-VARs, we find significant spillovers of capital control actions in BRICS (Brazil, Russia, India, China and …-border bank lending). Spillovers seem to be more prevalent in Latin America than in Asia, reflecting the greater role of cross …

Persistent link: https://www.econbiz.de/10013016947

Monetary Policy Shocks and Portfolio Choice

Fratzscher, Marcel; Saborowski, Christian; Straub, Roland - 2009

The paper shows that monetary policy shocks exert a substantial effect on the size and composition of capital flows and the trade balance for the United States, with a 100 basis point easing raising net capital inflows and lowering the trade balance by 1% of GDP, and explaining about 20-25% of...

Persistent link: https://www.econbiz.de/10011605168

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 … that FX or capital account policies helped countries shield themselves from these US policy spillovers, but rather that …

Persistent link: https://www.econbiz.de/10013081463

Asymmetric monetary policy spillovers: The role of supply chains, credit networks and fear of floating

Mistak, Jakub; Ozkan, F. Gulcin - 2024

This paper examines the asymmetry in global spillovers from Fed policy across tightening versus easing episodes several … (ii) global supply chains, allowing us to match the asymmetry of spillovers across contractionary versus expansionary … spillovers during contractionary episodes under both conventional and unconventional monetary policy changes. Our results also …

Persistent link: https://www.econbiz.de/10015199532

US monetary policy is more powerful in low economic growth regimes

De Santis, Roberto A.; Tornese, Tommaso - 2024

We use nonlinear empirical methods to uncover non-linearities in the propagation of monetary policy shocks. We find that the transmission on output, goods prices and asset prices is stronger in a low growth regime, contrary to the findings of Tenreyro and Thwaites (2016). The impact is stronger...

Persistent link: https://www.econbiz.de/10014543647