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Global Liquidity Glut or Global Savings Glut? A Structural VAR Approach

Bracke, Thierry - 2008

Since the late-1990s, the global economy is characterised by historically low risk premia and an unprecedented widening of external imbalances. This paper explores to what extent these two global trends can be understood as a reaction to three structural shocks in different regions of the global...

Persistent link: https://www.econbiz.de/10012771616

Should Larger Reserve Holdings be More Diversified?

Beck, Roland - 2010

The notable increase in international reserve holdings over the past decade and their use during the global financial crisis of 2008/2009 has sparked renewed interest in the analysis of the optimal level of reserve holdings, in particular in countries which are subject to sudden stops. Less...

Persistent link: https://www.econbiz.de/10013143881

Optimal Reserve Composition in the Presence of Sudden Stops : The Euro and the Dollar as Safe Haven Currencies

Beck, Roland - 2008

We analytically derive optimal central bank portfolios in a minimum variance framework with two assets and quot;transaction demandsquot; caused by sudden stops in capital inflows. In this model, the transaction demands become less important relative to traditional portfolio objectives as debt to...

Persistent link: https://www.econbiz.de/10012771394

The Impact of Extreme Weather Events on Budget Balances and Implications for Fiscal Policy

Lis, Eliza M. - 2009

. Based on these findings, we discuss implications for fiscal policy and publicly-provided disaster insurance. Our policy … an increase in the frequency and severity of natural disasters …

Persistent link: https://www.econbiz.de/10013159926

The Exchange Rate, Asymmetric Shocks and Asymmetric Distributions

Demian, Vlad - 2015

The elasticity of exports to exchange rate fluctuations has been the subject of a large literature without a clear consensus emerging. Using a novel sector level dataset based on firm level information, we show that exchange rate elasticities double in size when the country and sector specific...

Persistent link: https://www.econbiz.de/10013020655

Exchange Rate Shocks and Inflation Comovement in the Euro Area

Leiva‐Leon, Danilo - 2020

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

Persistent link: https://www.econbiz.de/10012838756

E Pluribus Plures : Shock Dependency of the USD Pass-Through to Real and Financial Variables

Ferrari, Massimo Minesso; Gräb, Johannes - 2022

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 global demand - the “real” channel dominate the negative effects of a stronger … stock valuations up to 2.2 (2.5) and 8% (15%) respectively, while if the appreciation is driven by a monetary policy shock …

Persistent link: https://www.econbiz.de/10013403806

Methodological Advances in the Assessment of Equilibrium Exchange Rates

Bussière, Matthieu - 2010

This paper reviews three different concepts of equilibrium exchange rates that are widely used in policy analysis and constitute the backbone of the IMF CGER assessment: the Macroeconomic Balance, the External Sustainability and the reduced form approaches. We raise a number of econometric...

Persistent link: https://www.econbiz.de/10013149063

Cross-Border Currency Exposures : New Evidence Based on an Enhanced and Updated Dataset

Bénétrix, Agustín S. - 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/10012832883

The Global Capital Flows Cycle : Structural Drivers and Transmission Channels

Habib, Maurizio Michael - 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...

Persistent link: https://www.econbiz.de/10012870421