Similar Search Results

Oil prices, exchange rates and asset prices

Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - 2013

This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...

Persistent link: https://www.econbiz.de/10009748353

Exchange rates and asset prices : heterogeneous agents at work

Piccillo, Giulia - 2013

This paper merges two branches of the literature. On one hand we study a heterogeneous agents framework to model exchange rates and stock prices. On the other hand we model the relationship between these two series through a DSGE model. Investors choose one of two rules to form their...

Persistent link: https://www.econbiz.de/10009748370

Monetary policy and wealth effects : the role of risk and heterogeneity

Caramp, Nicolas; Silva, Dejanir H. - 2024

We study the role of asset revaluation in the monetary transmission mechanism. We build an analytical heterogeneous-agents model with two main ingredients: i) rare disasters; ii) heterogeneous beliefs. The model captures time-varying risk premia and precautionary savings in a setting that nests...

Persistent link: https://www.econbiz.de/10014514921

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/10011392509

Net foreign asset positions and appreciation expectations on the Swiss franc and the Japanese yen

Latsos, Sophia; Schnabl, Gunther - 2015

regime. Given flexible exchange rates, a negative risk premium on the domestic interest rate can emerge. Empirical …

Persistent link: https://www.econbiz.de/10011309557

Oil prices, exchange rates and sectoral stock returns in the BRICS-T countries : a time-varying approach

Caporale, Guglielmo Maria; Catik, A. Nazif; Kışla, … - 2021

This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural breaks is investigated using the Bai and Perron...

Persistent link: https://www.econbiz.de/10012625861

Exchange rates and sovereign risk : a nonlinear approach based on local Gaussian correlations

Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2024

We empirically assess the interlinkages between sovereign risk, measured in terms of CDS spreads, and exchange rates for a sample of emerging markets. Our period of analysis includes periods of severe stress, such as the Global Financial Crisis, the COVID-19 pandemic and the Ukrainian War. Using...

Persistent link: https://www.econbiz.de/10014505308

A general approach to recovering market expectations from futures prices with an application to crude oil

Baumeister, Christiane; Kilian, Lutz - 2016

the futures price by the estimated risk premium, a common problem is that there are as many measures of the market … expectation as there are estimates of the risk premium. We propose a general solution to this problem that allows us to select the … most accurate estimate of the expectation for any set of risk premium estimates. We illustrate this approach by solving the …

Persistent link: https://www.econbiz.de/10011434566

The signaling effects of fiscal announcements

Melosi, Leonardo; Morita, Hiroshi; Rogantini Picco, Anna; … - 2024

. Analysis of a new dataset of daily stock prices and fiscal news in Japan supports these predictions. We introduce a method to …

Persistent link: https://www.econbiz.de/10015052575

IMF surveillance and financial markets : a political economy analysis

Fratzscher, Marcel; Reynaud, Julien - 2010

The International Monetary Fund (IMF) is in the process of re-inventing itself with bilateral and multilateral surveillance emerging as a key function. The paper analyses how IMF surveillance announcements may be influenced by political power that member countries exert at the IMF. First, we...

Persistent link: https://www.econbiz.de/10003976542

1
2
3
4
5
6
7
8
9
10
Next
Last