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The Crisis in the Foreign Exchange Market

Melvin, Michael; Taylor, Mark P. - CESifo - 2009

The financial crisis of 2007-2008 had major implications for the foreign exchange market. We review events and implications for exchange rates, volatility, returns to currency investing, and transaction costs. This “blow-by-blow” narrative is intended to be a resource for researchers seeking...

Persistent link: https://www.econbiz.de/10005013075

Systematic Consumption Risk in Currency Returns

Hoffmann, Mathias; Suter, Rahel - CESifo - 2013

We sort currencies by countries’ consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...

Persistent link: https://www.econbiz.de/10010667417

High-Frequency Analysis of Foreign Exchange Interventions: What do we learn?

Menkhoff, Lukas - CESifo - 2008

The high-frequency analysis of foreign exchange dynamics is helpful in order to better identify the impact of central bank interventions. Evidence robustly shows that interventions do indeed move the exchange rate level in the desired direction. Interventions increase volatility in the short run...

Persistent link: https://www.econbiz.de/10005765791

Statements of ECB Officials and their Effect on the Level and Volatility of the Euro-Dollar Exchange Rate

Jansen, David-Jan; Haan, Jakob de - CESifo - 2003

This paper studies the reaction of the mean and volatility of the euro-dollar exchange rate to statements of ECB officials during the first years of EMU. We focus on statements on monetary policy and the (potential) strength of the euro. We find that the Bundesbank has dominated the news...

Persistent link: https://www.econbiz.de/10005094406

Automating Exchange Rate Target Zones: Intervention via an Electronic Limit Order Book

Melvin, Michael; Menkhoff, Lukas; Schmeling, Maik - CESifo - 2008

This paper describes and analyzes “automated intervention” of a target zone. Unusually detailed information about the order book allows studying intervention effects in a microstructure approach. We find in our sample that intervention increases exchange rate volatility (and spread) for the...

Persistent link: https://www.econbiz.de/10005181265

Target Balances and the German Financial Account in Light of the European Balance-of-Payments Crisis

Sinn, Hans-Werner; Wollmershäuser, Timo - CESifo - 2012

As shown in Sinn and Wollmershäuser (2012a), during the European balance-of-payments crisis, inter-governmental credit and Target credit granted by core-country central banks have replaced private international capital flows in financing the crisis countries' current account deficits, and even...

Persistent link: https://www.econbiz.de/10010814462

Target Losses in Case of a Euro Break-up

Sinn, Hans-Werner - CESifo - 2012

Evaluation of the financial costs of a Eurozone breakup depends critically on the interpretation of TARGET balances. While it has been argued that TARGET claims in the Eurozone can be written off without incurring any losses on the claimants as the value of fiat money is independent of the...

Persistent link: https://www.econbiz.de/10010592825

Target Loans, Current Account Balances and Capital Flows: The ECB’s Rescue Facility

Sinn, Hans-Werner; Wollmershäuser, Timo - CESifo - 2011

The European Monetary Union is stuck in a severe balance of payments crisis. Greece, Ireland, Portugal and Spain in particular have suffered from balance of payment deficits whose accumulated value, as measured by the Target balances in the national central banks’ balance sheets, was 314...

Persistent link: https://www.econbiz.de/10009150656

Reducing Tariffs according to WTO Accession Rules: The Case of Vietnam

Fosse, Henrik Barslund; Raimondos-Møller, Pascalis - CESifo - 2011

When Vietnam entered WTO in 2007 it was granted an accession period up to 2014. During this period tariffs would have … Vietnam has many state-owned enterprises that do not behave in a profit maximizing way. The model simulations show that the … of income will take place among the poor rural households in Vietnam. We propose other tariff reforms that both raise …

Persistent link: https://www.econbiz.de/10009367392

International Trade and Unemployment: A Quantitative Framework

Heid, Benedikt; Larch, Mario - CESifo - 2012

Quantifying the welfare effects of trade liberalization is a core issue in international trade. Existing frameworks assume perfect labor markets and therefore ignore the effects of aggregate employment changes for welfare. We develop a quantitative trade framework which explicitly models labor...

Persistent link: https://www.econbiz.de/10010877646

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