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Central Bank Swaps Then and Now : Swaps and Dollar Liquidity in the 1960s
McCauley, Robert N. - 2020
, Federal Reserve swap facilities have generally formed a part of a wider network of central bank swap lines. Third, we take …
Persistent link: https://www.econbiz.de/10012837527
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Transmitting Global Liquidity to East Asia : Policy Rates, Bond Yields, Currencies and Dollar Credit
He, Dong - 2014
We review extant work on the transmission of monetary policy, both conventional and unconventional, of the major advanced economies to East Asia through monetary policy reactions, integrated bond markets and induced currency appreciation. We present new results on the growth of foreign currency...
Persistent link: https://www.econbiz.de/10013059558
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Global Dollar Credit : Links to US Monetary Policy and Leverage
McCauley, Robert N. - 2015
Banks and bond investors have extended $9 trillion of US dollar credit to non-bank borrowers outside the United States. This has relevance for the discussion of global liquidity and global monetary policy transmission. This paper contributes to this policy discussion by analysing the links...
Persistent link: https://www.econbiz.de/10013029939
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Dollar Borrowing, Firm-Characteristics, and FX-Hedged Funding Opportunities
Gambacorta, Leonardo - 2020
We explore the link between firms' dollar bond borrowing and their FX-hedged funding opportunities, as reflected in a positive corporate basis (the relative cost of local to synthetic currency borrowing). Consistent with previous research, we first document that firms substitute domestic for...
Persistent link: https://www.econbiz.de/10012840120
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Global Dollar Credit and Carry Trades : A Firm-Level Analysis
Bruno, Valentina - 2015
We conduct a firm-level analysis of borrowing in US dollars by non-financial corporates from outside the United States. The dataset combines bond issuance data with firm-level financial information. We find that firms with already high cash holdings are more likely to issue US dollar-denominated...
Persistent link: https://www.econbiz.de/10013016827
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The Euro as a Reserve Currency : A Challenge to the Pre-Eminence of the US Dollar?
Galati, Gabriele; Wooldridge, Philip D. - 2014
Well developed financial markets are a necessary condition for a currency to play a role as a reserve currency. The introduction of the euro greatly improved the functioning of euro financial markets. This paper investigates whether euro financial markets have developed sufficiently to...
Persistent link: https://www.econbiz.de/10014054281
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Price Discovery from Cross-Currency and FX Swaps : A Structural Analysis
Amatatsu, Yasuaki; Baba, Naohiko - 2013
This paper investigates the relative role of price discovery between two long-term swap contracts that exchange U ….S. dollars for Japanese yen - the cross-currency basis swap and the foreign exchange (FX) swap - using structural state space … models. Our main findings are that: (i) the currency swap market plays a much more dominant role in price discovery than the …
Persistent link: https://www.econbiz.de/10014210969
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From Turmoil to Crisis : Dislocations in the FX Swap Market Before and After the Failure of Lehman Brothers
Baba, Naohiko - 2013
This paper investigates dislocations in the foreign exchange (FX) swap market between the US dollar and three major …, SNB, and BoE, as well as the US Federal Reserve commitment to provide unlimited dollar swap lines are found to have … ameliorated the FX swap market dislocations …
Persistent link: https://www.econbiz.de/10013095699
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Bond Risk Premia and the Exchange Rate
Hofmann, Boris - 2019
In emerging market economies, currency appreciation goes hand in hand with compressed sovereign bond spreads, even for local currency sovereign bonds. This yield compression comes from a reduction in the credit risk premium. Crucially, the relevant exchange rate involved in yield compression is...
Persistent link: https://www.econbiz.de/10012890367
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Effects of Asset Purchases and Financial Stability Measures on Term Premia in the Euro Area
Moessner, Richhild - 2018
We study the effects of the announcements of ECB asset purchases and of financial stability measures in the euro area on ten-year government bond term premia in eleven euro area countries in the wake of the global financial crisis and the euro area sovereign debt crisis. We find that the term...
Persistent link: https://www.econbiz.de/10012919699