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The dynamic impact of FX interventions on financial markets

Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias - 2019

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. Applying this approach to the...

Persistent link: https://www.econbiz.de/10012138448

Macroeconomic stability and the real interest rate : a cross-country analysis

Groth, Charlotta; Zampolli, Fabrizio - 2010

We construct a measure of the short-term world interest rate using principal component analysis. Drawing on real … interest rate data for 18 OECD countries for the period 1985 - 2008, persistent deviations from the world interest rate that … that a rise in conditional consumption growth volatility relative to the rest of the world reduces the foreign exchange …

Persistent link: https://www.econbiz.de/10008695840

Capital controls and covered interest parity between the yen and dollar

Ito, Takatoshi - 1983

Persistent link: https://www.econbiz.de/10003528805

Vehicle currency pricing and exchange rate pass-through

Chen, Natalie; Chung, Wanyu; Novy, Dennis - 2019

Persistent link: https://www.econbiz.de/10012016788

Global monetary and financial spillovers : evidence from a new measure of Bundesbank policy shocks

Cloyne, James S.; Hürtgen, Patrick; Taylor, Alan M. - 2022

Identifying exogenous variation in monetary policy is crucial for investigating central bank policy transmission. Using newly-collected archival real-time data utilized by the Central Bank Council of the German Bundesbank, we identify unexpected changes in German monetary policy from 580 policy...

Persistent link: https://www.econbiz.de/10013361910

Monetary policy actions, intervention, and exchange rates : a re-examination of the empirical relationships using federal funds rate target data

Bonser-Neal, Catherine; Roley, V. Vance; Sellon, Gordon H. - 1997

Persistent link: https://www.econbiz.de/10000648448

Exploring the role of exchange rate in inflation targeting : evidence from Thailand

Pongsak Luangaram; Nipit Wongpunya - 2022

Persistent link: https://www.econbiz.de/10013262839

Foreign exchange interventions under a one-sided target zone regime and the Swiss franc

Hertrich, Markus - 2020

From September 2011 to January 2015, the Swiss National Bank (SNB) implemented a minimum exchange rate regime (i.e. a one-sided target zone) vis-a-vis the euro to fight deflationary pressures in the aftermath of the Great Financial Crisis. During this period of unconventional monetary policy,...

Persistent link: https://www.econbiz.de/10012197889

Relative monetary policy and exchange rates

Karau, Sören - 2024

I show that the majority of short-term nominal exchange rate fluctuations among large economies can be explained by changes in the relative stance of their monetary policies. Adapting recently developed instrumental variable techniques for shock identification, I find that monetary policy shocks...

Persistent link: https://www.econbiz.de/10015079889

Optimal fiscal substitutes for the exchange rate in a monetary union

Kaufmann, Christoph - 2016

This paper studies Ramsey-optimal monetary and fiscal policy in a New Keynesian 2-country open economy framework, which is used to assess how far fiscal policy can substitute for the role of nominal exchange rates within a monetary union. Giving up exchange rate flexibility leads to welfare...

Persistent link: https://www.econbiz.de/10011561923