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An Equilibrium Model of 'Global Imbalances' and Low Interest Rates

Caballero, Ricardo; Farhi, Emmanuel; Gourinchas, … - C.E.P.R. Discussion Papers - 2006

Three of the most important recent facts in global macroeconomics - the sustained rise in the US current account deficit, the stubborn decline in long run real rates, and the rise in the share of US assets in global portfolio - appear as anomalies from the perspective of conventional wisdom and...

Persistent link: https://www.econbiz.de/10005666722

Properties of Foreign Exchange Risk Premiums

Sarno, Lucio; Schneider, Paul; Wagner, Christian - C.E.P.R. Discussion Papers - 2011

We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, defined as the tendency of high-interest rate currencies to appreciate rather than depreciate. These risk premiums arise endogenously from the no-arbitrage condition relating the term structure of...

Persistent link: https://www.econbiz.de/10009209825

130 years of fiscal vulnerabilities and currency crashes in advanced economies

Fratzscher, Marcel; Mehl, Arnaud; Vansteenkiste, Isabel - C.E.P.R. Discussion Papers - 2011

This paper investigates the empirical link between fiscal vulnerabilities and currency crashes in advanced economies over the last 130 years, building on a new dataset of real effective exchange rates and fiscal balances for 21 countries since 1880. We find evidence that crashes depend more on...

Persistent link: https://www.econbiz.de/10009324258

The International Monetary System: Living with Asymmetry

Obstfeld, Maurice - C.E.P.R. Discussion Papers - 2011

This paper analyzes current stresses in the two key areas that concerned the architects of the original Bretton Woods system: international liquidity and exchange rate management. Despite radical changes since World War II in the market context for liquidity and exchange rate concerns, they...

Persistent link: https://www.econbiz.de/10009385766

Can Oil Prices Forecast Exchange Rates?

Ferraro, Domenico; Rogoff, Kenneth; Rossi, Barbara - C.E.P.R. Discussion Papers - 2011

This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find little systematic relation between oil prices and the exchange rate at the monthly and quarterly...

Persistent link: https://www.econbiz.de/10009359490

International Financial Adjustment

Gourinchas, Pierre-Olivier; Rey, Hélène - C.E.P.R. Discussion Papers - 2005

growth (trade adjustment channel) or by future increases in the returns of the net foreign asset portfolio (hitherto … to two years ahead and net exports at longer horizons. The exchange rate affects the trade balance and the valuation of …

Persistent link: https://www.econbiz.de/10005662073

The Purchasing Power Parity Debate

Taylor, Alan M.; Taylor, Mark P - C.E.P.R. Discussion Papers - 2004

Originally propounded by the 16th-century scholars of the University of Salamanca, the concept of purchasing power parity (PPP) was revived in the interwar period in the context of the debate concerning the appropriate level at which to re-establish international exchange rate parities. Broadly...

Persistent link: https://www.econbiz.de/10005662378

The Monetary Consequences of A Free Trade Area of the Americas

Eichengreen, Barry; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2003

How will free trade affect monetary policy and exchange rate regime choices in the Americas? While the European Union … understand whether the monetary consequences of existing regional trade agreements, including but not limited to the European … Union, mainly reflect spillovers from trade integration, or whether observed outcomes have been mainly about politics. Our …

Persistent link: https://www.econbiz.de/10005666842

Monetary Policy Rules, Asset Prices and Exchange Rates

Chadha, Jagjit S; Sarno, Lucio; Valente, Giorgio - C.E.P.R. Discussion Papers - 2003

We examine empirically whether asset prices and exchange rates may be admitted into a standard interest rate rule, using data for the US, the UK and Japan since 1979. Asset prices and exchange rates can be employed as information variables for a standard `Taylor-type' rule or as arguments in an...

Persistent link: https://www.econbiz.de/10005667007

The Zero-Interest Rate Bound and the Role of the Exchange Rate for Monetary Policy in Japan

Coenen, Günter; Wieland, Volker - C.E.P.R. Discussion Papers - 2003

In this Paper we study the role of the exchange rate in conducting monetary policy in an economy with near-zero nominal interest rates as experienced in Japan since the mid-1990s. Our analysis is based on an estimated model of Japan, the United States and the euro area with rational expectations...

Persistent link: https://www.econbiz.de/10005788995