Similar Search Results

Productivity Shocks and Aggregate Fluctuations in an Estimated Endogenous Growth Model with Human Capital

Malley, James R. - 2011

Employing an endogenous growth model with human capital, this paper explores how productivity shocks in the goods and human capital producing sectors contribute to explaining aggregate fluctuations in output, consumption, investment and hours. Given the importance of accounting for both the...

Persistent link: https://www.econbiz.de/10013120659

Currency Concentration in Sovereign Debt, Exchange Rate Cyclicality, and Volatility in Consumption

Fujii, Eiji - 2022

smooth their domestic consumption; however, it can also amplify volatility in consumption, depending on the currency in which … external debt portfolios, exchange rate cyclicality, and volatility in consumption of low- and middle-income countries. Since …

Persistent link: https://www.econbiz.de/10014241998

Can Time-Varying Currency Risk Hedging Explain Exchange Rates?

Bräuer, Leonie; Hau, Harald - 2022

Over the last decade foreign bond portfolio positions in US dollar assets have risen above the reciprocal US investor positions in foreign currencies. In periods of increased economic uncertainty, institutional investors hedge their international bond positions, which creates a net hedging...

Persistent link: https://www.econbiz.de/10014242128

Currency Portfolio of External Debt, Exchange Rate Cyclicality, and Consumption Volatility

Fujii, Eiji - 2020

exert a volatility amplifying effect, depending on the currency of denomination and the cyclicality of the borrower … consumption volatility of low- and middle-income countries. On constructing the debt-weighted effective exchange rates, we examine …

Persistent link: https://www.econbiz.de/10012833738

Real-Time Forecasting Using Mixed-Frequency Vars with Time-Varying Parameters

Heinrich, Markus - 2020

by evaluating a mixed-frequency time-varying parameter VAR with stochastic volatility (MF-TVP-SV-VAR). Overall, the MF …

Persistent link: https://www.econbiz.de/10012842676

Nonlinearities and Asymmetric Adjustment to PPP in an Exchange Rate Model with Inflation Expectations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

This paper estimates a model of the real exchange rate including standard fundamentals as well as two alternative measures of inflation expectations for five inflation targeting countries (UK, Canada, Australia, New Zealand, Sweden) over the period January 1993-July 2019. Both a benchmark linear...

Persistent link: https://www.econbiz.de/10013243236

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007

than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …

Persistent link: https://www.econbiz.de/10010276212

Global Investors, the Dollar, and U.S. Credit Conditions

Niepmann, Friederike - 2019

This paper documents that an appreciation of the U.S. dollar is associated with a reduction in the supply of commercial and industrial loans by U.S. banks. An increase in the broad dollar index by 2.5 points (one standard deviation) reduces U.S. banks’ corporate loan originations by 10...

Persistent link: https://www.econbiz.de/10012892284

The Dollar and Corporate Borrowing Costs

Meisenzahl, Ralf - 2020

We show that U.S. dollar movements affect syndicated loan terms for U.S. borrowers, even for those without trade exposure. We identify the effect of dollar movements using spread and loan amount adjustments during the syndication process. Using this high-frequency, within loan variation, we find...

Persistent link: https://www.econbiz.de/10012830351

The Causal Effect of the Dollar on Trade

Ma, Sai; Schmidt-Eisenlohr, Tim; Zhang, Shaojun - 2021

This paper establishes a causal link between the dollar exchange rate and international trade flows, employing a new instrument for the U.S. Dollar that is based on domestic U.S. housing activity (Ma and Zhang (2019)). In line with the dominant currency paradigm (Gopinath et al. (2020)), import...

Persistent link: https://www.econbiz.de/10013314884