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Cyclicality of international reserves, exchange rate flexibility, and output volatility

Fujii, Eiji; Qian, Xingwang - 2025

output volatility, particularly when interacting with de facto flexible exchange rate regimes. This stabilizing effect is …

Persistent link: https://www.econbiz.de/10015371901

Renminbising China's foreign assets

Cheung, Yin-Wong; Ma, Guonan; McCauley, Robert N. - 2010

Since the 2008 global financial crisis, China has rolled out a number of initiatives to actively promote the international role of the renminbi and to denominate more of its international claims away from the US dollar and into the renminbi. This paper discusses the factors shaping the prospects...

Persistent link: https://www.econbiz.de/10003956012

Exorbitant privilege : a safe-asset view

Jiang, Zhengyang - 2024

I propose a model of the reserve currency paradigm that centers on liquidity demand for safe assets. In global recessions, the demand for U.S. safe assets increases and raises their convenience yields, giving rise to stronger dollar and countercyclical seigniorage revenues. The seigniorage...

Persistent link: https://www.econbiz.de/10015048365

The impact of macro news and central bank communication on emerging European forex markets

Égert, Balázs; Kočenda, Evžen - 2013

news and communication along with the estimated exchange rate misalignment on exchange rate as well as its volatility …

Persistent link: https://www.econbiz.de/10009764449

Oil prices, exchange rates and interest rates

Kilian, Lutz; Zhou, Xiaoqing - 2019

There has been much interest in the relationship between the price of crude oil, the value of the U.S. dollar, and the U.S. interest rate since the 1980s. For example, the sustained surge in the real price of oil in the 2000s is often attributed to the declining real value of the U.S. dollar as...

Persistent link: https://www.econbiz.de/10011966739

Energy contagion analysis : a new perspective with application to a small petroleum economy

Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2018

-skewness, and co-volatility contagion tests. Our analysis is applied to the oil-exchange rate and oil-stock market relationships of … and turbulent oil price volatility episodes with a non-hierarchical k-means clustering algorithm on volatility measures …

Persistent link: https://www.econbiz.de/10011922053

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/10013440410

Total, asymmetric and frequency connectedness between oil and forex markets

Baruník, Jozef; Kočenda, Evžen - 2019

that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …

Persistent link: https://www.econbiz.de/10012035050

The impact of FX central bank intervention in a noise trading framework

Beine, Michel (contributor); De Grauwe, Paul (contributor); … - 2005

In this paper we investigate the effects of central bank interventions (CBI) in a noise trading model with chartists and fundamentalists. We first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a mean reverting dynamics of the exchange rate towards a...

Persistent link: https://www.econbiz.de/10003113337

Volatility connectedness on the Central European forex markets

Albrecht, Peter; Kočenda, Evžen - 2023

We provide a comprehensive assessment of volatility connectedness between the currencies of Central European (CE … currencies before) and document domination of the negative volatility, especially during periods of economic distress. We further … robust with respect to a volatility measure and provide direct policy implications for portfolio composition and hedging. …

Persistent link: https://www.econbiz.de/10014414188