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The Signaling Channel of Central Bank Interventions : Modelling the Yen/US Dollar Exchange Rate
Chen, Yu-Fu - 2013
This paper presents a theoretical framework analyzing the signalling channel of exchange rate interventions as an informational trigger. We develop an implicit target zone framework with learning in order to model the signalling channel. The theoretical premise of the model is that interventions...
Persistent link: https://www.econbiz.de/10013092279
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Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate : A Simultaneous Equations Approach Using Realized Volatility
Hillebrand, Eric T.; Schnabl, Gunther; Ulu, Yasemin - 2021
We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate …. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility … increase in volatility associated with interventions. During the period 1999 through 2004, the estimations are consistent with …
Persistent link: https://www.econbiz.de/10013317518
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The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate : Evidence from South Africa
Égert, Balázs - 2013
This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollar-euro exchange rate on...
Persistent link: https://www.econbiz.de/10013095999
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Short-Term and Long-Term Growth Effects of Exchange Rate Adjustment
Kočenda, Evžen - 2013
The European sovereign debt crisis revived the discussion concerning the pros and cons of exchange rate adjustment in the face of asymmetric shocks. Exit from the euro area is to regain rapidly international competitiveness. Exchange rate stability with structural reforms could be beneficial for...
Persistent link: https://www.econbiz.de/10013089423
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Exchange Rate Dynamics Under Alternative Optimal Interest Rate Rules
Binici, Mahir - 2013
We explore the role of interest rate policy in the exchange rate determination process. Specifically, we derive exchange rate equations from interest rate rules that are theoretically optimal under a few alternative settings. The exchange rate equation depends on its underlying interest rate...
Persistent link: https://www.econbiz.de/10013092385
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Monetary Policy, Model Uncertainty and Exchange Rate Volatility
Markiewicz, Agnieszka - 2021
This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard … may lead agents to focus excessively on a subset of fundamental variables. As a result, exchange rate volatility is mainly … determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility …
Persistent link: https://www.econbiz.de/10013316252
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The Relevance or Otherwise of the Central Bank's Balance Sheet
Miles, David - 2014
This paper explores the impacts on an economy of a central bank changing the size and composition of its balance sheet. One of the ways in which such asset purchases could influence prices and demand is via portfolio balance effects. We develop and calibrate a simple OLG model in which...
Persistent link: https://www.econbiz.de/10013058499
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Central Bank Interventions, Communication and Interest Rate Policy in Emerging European Economies
Égert, Balázs - 2021
This paper analyses the effectiveness of foreign exchange interventions in Croatia, the Czech Republic, Hungary, Romania, Slovakia and Turkey using the event study approach. Interventions are found to be effective only in the short run when they ease appreciation pressures. Central bank...
Persistent link: https://www.econbiz.de/10013317277
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The Impact of Yuan Internationalization on the Euro-Dollar Exchange Rate
Bénassy-Quéré, Agnès - 2013
We study the implication of a multipolarization of the international monetary system on cross-currency volatility. More …
Persistent link: https://www.econbiz.de/10013085286
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Exchange Rate Misalignment - The Case of the Chinese Renminbi
Cheung, Yin-Wong - 2013
Assessing exchange rate misalignment is not an easy task. With reference to the debate on the value of China's currency, the renminbi (RMB), this article highlights a few challenges in properly assessing the extent of currency misalignment. The results derived from the fundamental equilibrium...
Persistent link: https://www.econbiz.de/10013091077