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Can Time-Varying Currency Risk Hedging Explain Exchange Rates?
Bräuer, Leonie; Hau, Harald - 2022
bond positions, which creates a net hedging demand for dollar assets that depreciates USD rates in both the forward and … spot markets. We document the time-varying nature of this net hedging demand and show how it relates to eco … FX hedging pressure can account for approximately 30% of all monthly variation in the seven most important dollar …
Persistent link: https://www.econbiz.de/10014242128
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Currency Portfolio of External Debt, Exchange Rate Cyclicality, and Consumption Volatility
Fujii, Eiji - 2020
Even though external debt can play a buffer role against adverse shocks to assist consumption smoothing, it may also exert a volatility amplifying effect, depending on the currency of denomination and the cyclicality of the borrower's exchange rate. We empirically investigate the nexus between...
Persistent link: https://www.econbiz.de/10012833738
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Currency Concentration in Sovereign Debt, Exchange Rate Cyclicality, and Volatility in Consumption
Fujii, Eiji - 2022
For emerging economies, borrowing abroad is a double-edged sword: it can buffer against adverse economic shocks and smooth their domestic consumption; however, it can also amplify volatility in consumption, depending on the currency in which the debt is denominated and cyclicality in the...
Persistent link: https://www.econbiz.de/10014241998
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Marriage and the City
Gautier, Pieter A.; Svarer, Michael; Teulings, Coen N. - 2021
Do people move to cities because of marriage market considerations? In cities singles can meet more potential partners than in rural areas. Singles are therefore prepared to pay a premium in terms of higher housing prices. Once married, the marriage market benefits disappear while the housing...
Persistent link: https://www.econbiz.de/10013318738
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How to Escape from the Debt Trap : Lessons from the Past
Mayer, Thomas; Schnabl, Gunther - 2021
Rising public debt everywhere has raised the question of how to reduce debt again in the future. High public debt also seems to be an impediment for the exit of central banks from ultra-low interest rates and quantitative easing. Historical precedents and proposals have included austerity,...
Persistent link: https://www.econbiz.de/10013227606
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The Worst of Both Worlds : Fiscal Policy and Fixed Exchange Rates
Born, Benjamin - 2019
Under fixed exchange rates, fiscal policy is an effective tool. According to classical views because it impacts the real exchange rate, according to Keynesian views because it impacts output. Both views have merit because the effects of government spending are asymmetric. A spending cut lowers...
Persistent link: https://www.econbiz.de/10012859987
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Exchange Rate Parities and Taylor Rule Deviations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper investigates the PPP and UIP conditions by taking into account possible nonlinearities as well as the role of Taylor rule deviations under alternative monetary policy frameworks. The analysis is conducted using monthly data from January 1993 to December 2020 for five...
Persistent link: https://www.econbiz.de/10013236279
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Selective Attention in Exchange Rate Forecasting
Kapounek, Svatopluk; Kučerová, Zuzana; Kočenda, Evžen - 2021
We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency markets react to a variety of different information, we hypothesize that market participants process only a limited amount of information. Our analysis includes more than 100,000...
Persistent link: https://www.econbiz.de/10013245625
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Exchange Rate and Inflation Under Weak Monetary Policy : Turkey Verifies Theory
Gürkaynak, Refet S.; Kısacıkoğlu, Burçin; Lee, … - 2022
For the academic audience, this paper presents the outcome of a well-identified, large change in the monetary policy rule from the lens of a standard New Keynesian model and asks whether the model properly captures the effects. For policymakers, it presents a cautionary tale of the dismal...
Persistent link: https://www.econbiz.de/10014083478
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Exchange Rate Elasticities of International Tourism and the Role of Dominant Currency Pricing
Ding, Ding; Timmer, Yannick - 2022
We estimate exchange rate elasticities of international tourism. We show that, in addition to the bilateral exchange rate, the exchange rate between the tourism origin country vis-à-vis the U.S. dollar is an important driver of tourism flows, indicating a strong role of U.S. dollar pricing. The...
Persistent link: https://www.econbiz.de/10014083483