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Exchange rates, foreign currency exposure and sovereign risk

Bernoth, Kerstin; Herwartz, Helmut - 2019

of exchange rate shocks to sovereign risk in comparison with the traditional 'net trade channel'. …

Persistent link: https://www.econbiz.de/10011985362

Long memory and volatility dynamics in the US dollar exchange rate

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010

This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and...

Persistent link: https://www.econbiz.de/10010271381

The Polish zloty and currency speculation

Fic, Tatiana - 2002

This paper uses Markov switching models to study short-run movements of the Polish zloty and speculative phenomena in Poland, that is, to investigate whether the exchange rate is "contaminated" by a speculative bubble. The zloty movements are examined in terms of so-called long swings - periods...

Persistent link: https://www.econbiz.de/10010273727

The dynamic impact of FX interventions on financial markets

Menkhoff, Lukas; Rieth, Malte; Stöhr, Tobias - 2020

Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Generally, we find, for freely...

Persistent link: https://www.econbiz.de/10012226723

The multifaceted impact of US trade policy on financial markets

Boer, Lukas; Menkhoff, Lukas; Rieth, Malte - 2022

We study the multifaceted effects of trade policy shocks on financial markets using a structural vector autoregression … identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock … appreciation of the US-Dollar. The effects are significant for several weeks or quarters. Decomposing the trade policy shocks …

Persistent link: https://www.econbiz.de/10013208395

The impacts of global risk and US monetary policy on US Dollar exchange rates and excess currency returns

Bernoth, Kerstin; Herwartz, Helmut; Trienens, Lasse - 2023

We examine the causal relationship between US monetary policy shocks, exchange rates and currency excess returns for a sample of eight advanced countries over the period 1980M1 to 2022M11. We find that the dynamics of the US dollar exchange rate is the main driver of currency excess returns. The...

Persistent link: https://www.econbiz.de/10014309448

The scapegoat theory of exchange rates: The first tests

Fratzscher, Marcel; Sarno, Lucio; Zinna, Gabriele - 2013

This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011). This theory suggests that market participants may at times attach significantly more weight to individual economic fundamentals to rationalize the pricing of currencies, which...

Persistent link: https://www.econbiz.de/10010312836

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/10010312842