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Exchange Rate Uncertainty and International Portfolio Flows
Caporale, Guglielmo Maria - 2013
This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean...
Persistent link: https://www.econbiz.de/10013081704
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Synchronization and Changes in International Inflation Uncertainty
Henzel, Steffen - 2013
We investigate the international linkages of inflation uncertainty in the G7. In a first step, we document that … inflation uncertainty in the G7 is intertwined. Moreover, the degree of synchronization has increased during the recent two … international shock that drives national inflation uncertainty and which is closely related to oil and commodity price uncertainty …
Persistent link: https://www.econbiz.de/10013082970
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Macroeconomic Uncertainty and the Impact of Oil Shocks
Van Robays, Ine - 2014
This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil demand and supply shocks. The results show that...
Persistent link: https://www.econbiz.de/10013065379
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Inflation and Inflation Uncertainty in the Euro Area
Caporale, Guglielmo Maria - 2013
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and … inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly …
Persistent link: https://www.econbiz.de/10013095747
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Foreign Currency Denominated Assets and International Shock Absorption in Switzerland and Japan
Schnabl, Gunther - 2015
Currencies of countries with persistent current account surpluses and high foreign currency denominated assets such as the Swiss franc and Japanese yen are under a persistent appreciation pressure, what restricts the degree of freedom in the choice of exchange rate regime. Official announcements...
Persistent link: https://www.econbiz.de/10013009766
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Foreign Currency Loans and Credit Risk : Evidence from U.S. Banks
Niepmann, Friederike - 2020
When firms borrow in foreign currency but collect revenues in local currency, exchange rate changes can affect their ability to repay their debt. Using loan-level data from U.S. banks' regulatory filings, this paper studies the effect of exchange rate changes on firms' loan payments. A 10...
Persistent link: https://www.econbiz.de/10012853395
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On Remittances, Foreign Currency Exposure and Credit Constraints : Evidence from Nepal
Maskay, Nephil Matangi - 2014
In this paper, we investigate whether foreign currency accounts help overcome credit constraints in developing countries. We analyze a novel bank-level data set from Nepal, where a steady inflow of remittances has contributed to foreign currency deposits on commercial bank balance sheets. In...
Persistent link: https://www.econbiz.de/10013043617
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Pegxit Pressure : Evidence from the Classical Gold Standard
Mitchener, Kris James - 2017
We develop a simple model that highlights the costs and benefits of fixed exchange rates as they relate to trade, and show that negative export-price shocks reduce fiscal revenue and increase the likelihood of an expected currency devaluation. Using a new high-frequency data set on...
Persistent link: https://www.econbiz.de/10012965714
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Financial Dollarization and European Union Membership
Neanidis, Kyriakos C. - 2013
We analyze the effect of European Union (EU) membership on financial dollarization for the Central and Eastern European countries. Using a unique monthly dataset that spans about two decades, we find that both the accession process toward EU membership and EU entry have a direct impact on...
Persistent link: https://www.econbiz.de/10013094571
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The Macroeconomics of TANSTAAFL
Grossmann, Volker - 2011
This paper shows that dynamic inefficiency can occur in dynamic general equilibrium models with fully optimizing, infinitely-lived households even in a situation with underinvestment. We identify necessary conditions for such a possibility and illustrate it in a standard R&D-based growth model....
Persistent link: https://www.econbiz.de/10013117910