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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
and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of … activities to maximise returns and minimize exposure to uncertainty. Furthermore, since exchange rate volatility and the …
Persistent link: https://www.econbiz.de/10009743845
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/10012319440
direction. Interventions increase volatility in the short run as they are regarded as information; but they can reduce … volatility overall. Ways of transmission may reach beyond the signaling channel and also include the portfolio balance and a …
Persistent link: https://www.econbiz.de/10003790983
implications for exchange rates, volatility, returns to currency investing, and transaction costs. This blow-by-blowʺ narrative is …
Persistent link: https://www.econbiz.de/10003861767
Persistent link: https://www.econbiz.de/10003599280
volatility of the basket. Although, in the past, RMB inclusion would have had negligible impact due to its limited weight, a much … stable, at least in the short and medium run. -- SDR ; renminbi ; international monetary system ; foreign exchange volatility …
Persistent link: https://www.econbiz.de/10009682824
This paper investigates the effects of equity and bond portfolio in.ows on exchange rate volatility, using monthly … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility … state. In particular, net bond inflows increase the probability of remaining in the low volatility state in the case of …
Persistent link: https://www.econbiz.de/10011387464
also look at the impact of mistakes in exchange rate regime choice on actual (nominal) exchange rate volatility. Countries … higher exchange rate volatility than other countries having a fixed exchange rate regime. We also investigate the role of …
Persistent link: https://www.econbiz.de/10009781534
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