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Exchange Rate Volatility and Productivity Growth: The Role of Financial Development

Aghion, Philippe; Bacchetta, Philippe; Ranciere, Romain; … - Institut für Schweizerisches Bankwesen <Zürich> - 2006

This paper offers empirical evidence that real exchange rate volatility can have a significant impact on the long … with relatively low levels of financial development, exchange rate volatility generally reduces growth, whereas for … rate volatility, and outliers. We also oer a simple monetary growth model in which real exchange rate uncertainty …

Persistent link: https://www.econbiz.de/10005858527

Safe Haven Currencies

Ranaldo, Angelo; Söderlind, Paul - Institut für Schweizerisches Bankwesen <Zürich> - 2007

We study high-frequency exchange rate movements over the sample 19932006. We document that the (Swiss) franc, euro, Japanese yen and the pound tend to appreciate against the U.S. dollar when (a) S&P has negative returns; (b) U.S. bond prices increase; and (c) when currency markets become more...

Persistent link: https://www.econbiz.de/10005858064

Random Walk Expectations and the Forward Discount Puzzle

Bacchetta, Philippe; van Wincoop, Eric - Institut für Schweizerisches Bankwesen <Zürich> - 2007

Two well-known, but seemingly contradictory, features of exchange rates are thatthey are close to a random walk while at the same time exchange rate changesare predictable by interest rate differentials. In this paper we investigate whetherthese two features of the data may in fact be related....

Persistent link: https://www.econbiz.de/10005858209

A Scapegoat Model of Exchange Rate Fluctuations

Bacchetta, Philippe; Wincoop, Eric van - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

While empirical evidence nds only a weak relationship between nominal exchangerates and macroeconomic fundamentals, forex markets participants often attribute ex-change rate movements to a macroeconomic variable. The variables that matter, how-ever, appear to change over time and some variable...

Persistent link: https://www.econbiz.de/10005858318

Rational Inattention : A Solution to the Forward Discount Puzzle

Bacchetta, Philippe; van Wincoop, Eric - Institut für Schweizerisches Bankwesen <Zürich> - 2005

The uncovered interest rate parity equation is the cornerstone of most models in international macro. However, this equation does not hold empirically since the forward discount, or interest rate differential, is negatively related to the subsequent change in the exchange rate. This forward...

Persistent link: https://www.econbiz.de/10005858744

Who Times the Foreign Exchange Market? : Corporate Speculation and CEO Characteristics

Alessandro, Beber; Fabbri, Daniela - Institut für Schweizerisches Bankwesen <Zürich> - 2005

price volatility. …

Persistent link: https://www.econbiz.de/10005858767

Multi-Currency Quadratic Models : Theory and Evidence

Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

The challenge of international term structure models is to simultaneously account for the properties of interest rate term structures and foreign exchange rates within an arbitrage-free framework. We extend the quadratic term structure models proposed in Leippold and Wu (2002) to multiple...

Persistent link: https://www.econbiz.de/10005858853

The Influence of FX Risk on Credit Spreads

Ehlers, Philippe; Schönbucher, Philipp - Institut für Schweizerisches Bankwesen <Zürich> - 2004

We analyze the connections between the credit spreads that the same credit risk commands in different currencies. We show that the empirically observed differences in these credit spreads are mostly driven by the dependency between the default risk of the obligor and the exchange rate. In our...

Persistent link: https://www.econbiz.de/10005858879

Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?

Bacchetta, Philippe; Wincoop, Eric van - Institut für Schweizerisches Bankwesen <Zürich>; … - 2005

the other hand, the recent microstructure approach to exchange rates has shown that most exchange rate volatility at short …

Persistent link: https://www.econbiz.de/10005859103

Explaining Asymmetric Volatility around the World

Talpsepp, Tonn; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2009

Based on the APARCH model and two outlier detection methods, we computereliable time series of volatility asymmetry for … mostcountries. We nd that economic development and market capitalization/GDP arethe most important factors that increase volatility …

Persistent link: https://www.econbiz.de/10009022138