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Exchange Rate Anchoring - Is there Still a De Facto US Dollar Standard?

Bracke, Thierry - 2011

The paper provides a measure of exchange rate anchoring behavior across 149 emerging market and developing economies for the 1980-2010 period. An extension of the Frankel and Wei (2008) methodology is used to determine whether exchange rates are pegged or floating, and in the case of pegs, to...

Persistent link: https://www.econbiz.de/10013124257

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 … quarters of the past six years, especially in turning point periods. Our main results indicate that headline inflation in euro … inflation this increasing sensitivity is solely reliant on a sustained surge in the degree of comovement, for energy inflation …

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

How Successful is the G7 in Managing Exchange Rates?

Fratzscher, Marcel - 2015

The paper assesses the extent to which the Group of Seven (G7) has been successful in its management of major currencies since the 1970s. Using an event-study approach, the paper finds evidence that the G7 has been overall effective in moving the US dollar, yen and euro in the intended direction...

Persistent link: https://www.econbiz.de/10012750085

A Structural Break in the Effects of Japanese Foreign Exchange Intervention on Yen/Dollar Exchange Rate Volatility

Hillebrand, Eric T.; Schnabl, Gunther - 2021

While up to the late 1990s Japanese foreign exchange intervention was fully sterilized, Japanese monetary authorities left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous research on foreign exchange intervention, unsterilized...

Persistent link: https://www.econbiz.de/10013317566

The link between interest rates and exchange rates: do contractionary depreciations make a difference?

Sánchez, Marcelo - 2005

The link between exchange rates and interest rates features prominently in the theoretical and empirical literature on small open economies. This paper revisits this relationship using a simple model that incorporates the role of exchange rate pass-through into domestic prices and distinguishes...

Persistent link: https://www.econbiz.de/10011604594

How does information affect the comovement between interest rates and exchange rates?

Sánchez, Marcelo - 2006

This paper compares the link between exchange rates and interest rates under full information and two alternative asymmetric information approaches. It also distinguishes between cases of expansionary and contractionary depreciations. Full information results are not robust to the presence of...

Persistent link: https://www.econbiz.de/10011604654

Carry Trades and Monetary Conditions

Falconio, Andrea - 2021

This paper investigates the relation between monetary conditions and the excess returns arising from an investment strategy that consists of borrowing low-interest rate currencies and investing in currencies with high interest rates, so-called "carry trade". The results indicate that carry trade...

Persistent link: https://www.econbiz.de/10013315488

How Does Information Affect the Comovement between Interest Rates and Exchange Rates?

Sánchez, Marcelo - 2021

Persistent link: https://www.econbiz.de/10013317653

Carry Trades and Monetary Conditions

Falconio, Andrea - 2021

This paper investigates the relation between monetary conditions and the excess returns arising from currency carry trades. The results indicate that carry trade average return, Sharpe ratio and downside risk diﬀer substantially across monetary conditions before the onset of the ﬁnancial...

Persistent link: https://www.econbiz.de/10013310704

Does a Big Bazooka Matter? Central Bank Balance-Sheet Policies and Exchange Rates

Dedola, Luca; Georgiadis, Georgios; Gräb, Johannes; … - 2021

We estimate the effects of quantitative easing (QE) measures by the ECB and the Federal Reserve on the US dollar-euro exchange rate at frequencies and horizons relevant for policymakers. To do so, we derive a theoretically-consistent local projection regression equation from the standard asset...

Persistent link: https://www.econbiz.de/10013315385