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The Dollar versus the Euro as International Reserve Currencies

Chinn, Menzie David; Frankel, Jeffrey A.; Itō, Hiro - National Bureau of Economic Research - 2024

currencies are less successfully explained. It may be that the results from currency-by-currency estimation are impaired by …

Persistent link: https://www.econbiz.de/10014528426

The empirical determinants of the Euro : short and long run perspectives

Chinn, Menzie David - 2000

The behavior of the dollar/euro exchange rate is modeled using a monetary model of the exchange rate. The econometric … analysis is complicated by the short sample span of actual euro data available for analysis. Hence, data on a "synthetic" euro …, is identified for the 1991M08-1999M12 period using the Johansen procedure. The model implies that the euro was …

Persistent link: https://www.econbiz.de/10009583879

Do Central Banks Rebalance Their Currency Shares?

Chinn, Menzie David; Itō, Hiro; McCauley, Robert N. - National Bureau of Economic Research - 2021

Do central banks rebalance their currency shares? The answer matters because the dollar's predominant role in large official reserve holdings means that widespread rebalancing requires central banks to buy (sell) a depreciating (appreciating) dollar, stabilising its value against other major...

Persistent link: https://www.econbiz.de/10012616637

Macroeconomic Forecasting using Filtered Signals from a Stock Market Cross Section

Chatelais, Nicolas; Stalla-Bourdillon, Arthur; Chinn, … - National Bureau of Economic Research - 2022

After the Covid-shock in March 2020, stock prices declined abruptly, reflecting both the deterioration of investors' expectations of economic activity as well as the surge in aggregate risk aversion. In the following months however, whereas economic activity remained sluggish, equity markets...

Persistent link: https://www.econbiz.de/10013334522

Measuring Financial Integration : More Data, More Countries, More Expectations

Chinn, Menzie David; Itō, Hiro - National Bureau of Economic Research - 2023

We assess market mediated financial integration over the last fifty years. We first systematically lay out several definitions of financial integration, and then review the evidence regarding whether covered interest parity, uncovered interest parity, and real interest parity hold across...

Persistent link: https://www.econbiz.de/10014322892

The Financial Crisis, Rethinking of the Global Financial Architecture, and the Trilemma

Aizenman, Joshua - 2010

This paper extends our previous paper (Aizenman, Chinn, and Ito 2008) and explores some of the unexplored questions. First, we examine the channels through which the trilemma policy configurations affect output volatility. Secondly, we investigate how trilemma policy configurations affect the...

Persistent link: https://www.econbiz.de/10013144649

The Impacts of Crises on the Trilemma Configurations

Aizenman, Joshua; Chinn, Menzie David; Itō, Hiro - National Bureau of Economic Research - 2022

The "monetary trilemma" - the hypothesis that full monetary policy autonomy, exchange rate stability, and financial openness cannot simultaneously be achieved - has long been studied. Recently, holding international reserves (IR) has become an important policy instrument, insuring against...

Persistent link: https://www.econbiz.de/10013362059

Interest parity at short and long horizons

Chinn, Menzie David; Meredith, Guy - 2000

The unbiasedness hypothesis -- the joint hypothesis of uncovered interest parity (UIP) and rational expectations -- has been almost universally rejected in studies of exchange rate movements. In contrast to previous studies, which have used short-horizon data, we test this hypothesis using...

Persistent link: https://www.econbiz.de/10009583878

The Usual Suspects? Productivity and Demand Shocks and Asia-Pacific Real Exchange Rates

Chinn, Menzie David - 1997

The evidence for a productivity-based explanation for real exchange rate behavior of East Asian currencies is examined. Using sectoral output and employment data, relative prices and relative productivities are calculated for China, Indonesia, Japan, Korea, Malaysia, Philippines, Singapore,...

Persistent link: https://www.econbiz.de/10012472706

Sectoral Productivity, Government Spending and Real Exchange Rates : Empirical Evidence for OECD Countries

Chinn, Menzie David - 1997

This paper investigates the long- and short-run determinants of the real exchange rate using a panel of data for fourteen OECD countries. The data are analyzed using time series and panel unit root and panel cointegration methods. Two dynamic productivity-based models are used to motivate the...

Persistent link: https://www.econbiz.de/10012472801