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Exchange Rate Regimes and Current Account Adjustment : An Empirical Investigation
Eguren Martin, Fernando - 2016
The acceleration in the formation of global imbalances in the period preceding the last financial crisis prompted a revival of the debate on whether exchange rate regimes affect the flexibility of the current account (ie its degree of mean reversion), as originally proposed by Friedman (1953). I...
Persistent link: https://www.econbiz.de/10013003874
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Global Spillovers of the Fed Information Effect
Pinchetti, Marco; Szczepaniak, Andrzej - 2022
This paper sheds lights on the open economy dimension of the Fed information effect, by evaluating its international spillovers on exchange rates, capital flows, and global economic activity. We provide empirical evidence that in response to unexpected increases in the Federal Funds rate...
Persistent link: https://www.econbiz.de/10013311137
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Step Away from the Zero Lower Bound : Small Open Economies in a World of Secular Stagnation
Corsetti, Giancarlo - 2017
We study how small open economies can escape from deflation and unemployment in a situation where the world economy is …
Persistent link: https://www.econbiz.de/10012951833
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Dollar Shortages and Central Bank Swap Lines
Eguren Martin, Fernando - 2020
We explore the role of ‘dollar shortage' shocks and central bank swap lines in a two-country New Keynesian model with financial frictions. Domestic banks issue both domestic and foreign currency debt and lend in domestic currency. Foreign currency-specific funding shocks, which are amplified...
Persistent link: https://www.econbiz.de/10012828063
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Time-Varying Dynamics of the Real Exchange Rate : A Structural VAR Analysis
Mumtaz, Haroon; Sunder-Plassmann, Laura - 2010
The aim of this paper is to explore the evolution of real exchange rate dynamics over time. We use a time-varying structural vector autoregression to investigate the role of demand, supply and nominal shocks and consider their impact on, and contribution to fluctuations in, the real exchange...
Persistent link: https://www.econbiz.de/10014197083
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Common Determinants of Currency Crises : Role of External Balance Sheet Variables
Licchetta, Mirko - 2009
This paper investigates the role of external balance sheet variables as determinants of currency crises in emerging market (EME) and advanced economies. A random effect probit model is used in a panel of 40 countries with monthly data over the January 1980-December 2004 period. The main results...
Persistent link: https://www.econbiz.de/10014208365
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Deflation Probability and the Scope for Monetary Loosening in the United Kingdom
Haberis, Alex - 2016
monetary policy since the onset of the 2007–08 financial crisis in a number of measures of deflation probability — the Survey …) forecasts. To do so, we use stochastic simulations of the model to generate measures of deflation probability in which the … a lower bound on policy rates. We find that measures of deflation probability are consistent with the perception that …
Persistent link: https://www.econbiz.de/10012979756
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A Shadow Rate without a Lower Bound Constraint
B De Rezende, Rafael - 2020
We propose a shadow rate that measures the overall stance of monetary policy when the lower bound is not necessarily binding. Using daily yield curve data we estimate shadow rates for the US, Sweden, the euro area and the UK, and document that they fall (rise) as monetary policy becomes more...
Persistent link: https://www.econbiz.de/10012832992
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Threshold-Based Forward Guidance : Hedging the Zero Bound
Koerber, Lena - 2015
Motivated by policies implemented by some central banks in response to the financial crisis, we use a simple New Keynesian model to study a particular form of forward guidance. We assume that the policy maker makes a state-contingent commitment to hold the policy rate at the zero lower bound...
Persistent link: https://www.econbiz.de/10013013019
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Risk Shocks Close to the Zero Lower Bound
Seneca, Martin - 2016
Large risk shocks give rise to cost-push effects in the canonical New Keynesian model. At the same time, monetary policy becomes less effective. Therefore, stochastic volatility introduces occasional trade-offs for monetary policy between inflation and output gap stabilisation. The cost-push...
Persistent link: https://www.econbiz.de/10012985094