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A global model of international yield curves : no-arbitrage term structure approach

Kaminska, Iryna; Meldrum, Andrew; Smith, James - In: International journal of finance & economics : IJFE 18 (2013) 4, pp. 352-374

Persistent link: https://www.econbiz.de/10015180006

How raising interest rates can cause inflation and currency depreciation

Jón Helgi Egilsson - 2020

In this paper we derive a new model on exchange rate response to a lasting higher interest rate level. Contemporary models do not provide a convincing explanation for this relationship, but recent research suggests that models based on demand-pull effects to be somewhat confined to small funding...

Persistent link: https://www.econbiz.de/10012257177

Limits to arbitrage during the crisis : funding liquidity constraints and covered interest parity

Mancini Griffoli, Tommaso; Ranaldo, Angelo - 2014

Arbitrage ensures that covered interest parity holds. The condition is central to price foreign exchange forwards and … interbank lending rates, and reflects the efficient functioning of markets. Normally, deviations from arbitrage, if any, last … seconds and reach a few basis points. After the Lehman bankruptcy, instead, arbitrage profits were large, persisted for months …

Persistent link: https://www.econbiz.de/10010407205

What drives long-term interest rates? : evidence from the entire Swiss franc history 1852-2020

Hauzenberger, Niko; Kaufmann, Daniel; Stuart, Rebecca; … - 2022

We study domestic and international drivers of long-term interest rates using newly compiled financial market data for Switzerland starting in 1852. We use a time-varying parameter vector autoregressive model to estimate long-term trends in nominal interest rates, exchange rate growth, and...

Persistent link: https://www.econbiz.de/10013175583

Monetary policy regime shifts and uncovered interest parity revisited : the euro-US dollar exchange rate

Kim, Young Se; Seol, Gwi Hwan - In: International economic journal 30 (2016) 3, pp. 360-378

Persistent link: https://www.econbiz.de/10011704513

Towards a new monetary theory of exchange rate determination

Cesa-Bianchi, Ambrogio; Kumhof, Michael; Sokol, Andrej; … - 2019

Persistent link: https://www.econbiz.de/10012202313

Cryptocurrencies, currency competition, and the impossible trinity

Benigno, Pierpaolo; Uhlig, Harald; Schilling, Linda - 2019

Persistent link: https://www.econbiz.de/10012183024

The impacts of global risk and US monetary policy on US Dollar exchange rates and excess currency returns

Bernoth, Kerstin; Herwartz, Helmut; Trienens, Lasse - 2023

We examine the causal relationship between US monetary policy shocks, exchange rates and currency excess returns for a sample of eight advanced countries over the period 1980M1 to 2022M11. We find that the dynamics of the US dollar exchange rate is the main driver of currency excess returns. The...

Persistent link: https://www.econbiz.de/10014305726

The "uncovered inflation rate parity" condition in a monetary union

Acocella, Nicola; Pasimeni, Paolo - 2018

The uncovered interest rate parity condition lies at the heart of the "impossible trinity", stating that the three objectives of fixed exchange rates, free capital flows, and independent monetary policy cannot be pursued simultaneously. We argue that although monetary unification does indeed...

Persistent link: https://www.econbiz.de/10011926988

Uncovered interest parity with foreign exchange interventions under exchange rate peg and inflation targeting : the case of Ukraine

Grui, Anton - 2020

In this study, I modify the uncovered interest parity condition to account for foreign exchange interventions in the context of a small open economy. This is done in a framework of a semistructural New Keynesian model. I examine the case of Ukraine, which de facto transitioned to inflation...

Persistent link: https://www.econbiz.de/10012262254