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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

that a rise in conditional consumption growth volatility relative to the rest of the world reduces the foreign exchange … relation between the volatility in consumption growth and the level of real interest rates relative to the world interest rate …We construct a measure of the short-term world interest rate using principal component analysis. Drawing on real …

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

Central bank information shocks and exchange rates

Franz, Thorsten - 2020 - This version: February 2020

The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...

Persistent link: https://www.econbiz.de/10012180641

International investment positions and exchange rate dynamics

Binder, Michael; Offermanns, Christian J. - 2014

We revisit medium- to long-run exchange rate determination, focusing on the role of international investment positions. To do so, we make use of a new econometric framework accounting for conditional long-run homogeneity in heterogeneous dynamic panel data models. In particular, in our model the...

Persistent link: https://www.econbiz.de/10010414236

Shorting the dollar when global stock markets roar : the equity hedging channel of exchange rate determination

Ben Zeev, Nadav; Nathan, Daniel - 2023

Persistent link: https://www.econbiz.de/10014486893

The shocks matter : improving our estimates of exchange rate pass-through

Forbes, Kristin; Hjortsoe, Ida; Nenova, Tsvetelina - 2015

A major challenge for monetary policy has been predicting how exchange rate movements will impact inflation. We propose a new focus: incorporating the underlying shocks that cause exchange rate fluctuations when evaluating how these fluctuations "pass through" into import and consumer prices. We...

Persistent link: https://www.econbiz.de/10011384119