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What explains global exchange rate movements during the financial crisis?

Fratzscher, Marcel - 2009

A striking and unexpected feature of the financial crisis has been the sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific macroeconomic shocks during the crisis have triggered a significant strengthening of the US dollar,...

Persistent link: https://www.econbiz.de/10011605106

Strategies of exchange rate policy in G3 economies

Fratzscher, Marcel - In: Economics letters 89 (2005) 1, pp. 68-74

Persistent link: https://www.econbiz.de/10003114735

Uncovered interest parity at distant horizons: evidence on emerging economies & nonlinearities

Mehl, Arnaud; Cappiello, Lorenzo - 2007

This paper tests for uncovered interest parity (UIP) at distant horizons for the US and its main trading partners, including both mature and emerging market economies, also exploring the existence of nonlinearities. At long and medium horizons, it finds support in favour of the standard, linear,...

Persistent link: https://www.econbiz.de/10011604847

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

Estimating the financial crisis’ impact on potential output

Benati, Luca - In: Economics letters 114 (2012) 1, pp. 113-119

Persistent link: https://www.econbiz.de/10009517267

Purdah: on the rationale for central bank silence around policy meetings

Ehrmann, Michael; Fratzscher, Marcel - 2008

Despite substantial differences in monetary policy and communication strategies, many central banks share the practice of purdah, a self-imposed guideline of abstaining from communication around policy meetings or other important events. This practice is remarkable, as it seems to contradict the...

Persistent link: https://www.econbiz.de/10011604914

The impact of the euro on equity markets: a country and sector decomposition

Cappiello, Lorenzo; Kadareja, Arjan; Manganelli, Simone - 2008

This paper investigates whether comovements between euro area equity returns at national and industry level have … changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the … degree of comovements among euro area national equity markets has augmented. By explicitly controlling for the impact of …

Persistent link: https://www.econbiz.de/10011604952

US shocks and global exchange rate configurations

Fratzscher, Marcel - 2007

The paper analyses the heterogeneity in the link between macroeconomic fundamentals and exchange rates. For a set of important US-specific economic shocks, it shows that such shocks have exerted a remarkably heterogeneous effect on global exchange rate configurations over the past 25 years....

Persistent link: https://www.econbiz.de/10011604881

Global financial transmission of monetary policy shocks

Ehrmann, Michael; Fratzscher, Marcel - 2006

The paper shows that US monetary policy has been an important determinant of global equity markets. Analysing 50 equity markets worldwide, we find that returns fall on average around 3.8% in response to a 100 basis point tightening of US monetary policy, ranging from a zero response in some to a...

Persistent link: https://www.econbiz.de/10011604662

The transmission of emerging market shocks to global equity markets

Cuadro Sáez, Lucía; Fratzscher, Marcel; Thimann, Christian - 2007

The paper analyses whether, and to what extent, emerging market economies (EMEs) have systemic importance for global financial markets, above and beyond their influence during crises episodes. Using a novel database of exogenous economic and political shocks for 14 systematically relevant EMEs,...

Persistent link: https://www.econbiz.de/10011604770