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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
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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
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Market response to Australian current account announcements
Singh, Ranjit A. - 1992
Persistent link: https://www.econbiz.de/10000871106
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A mean variance king? : creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus - 2001
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10013428452
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Exchange rate volatility and cross-border travel : theory and empirics
Wisarut Suwanprasert - 2021
Persistent link: https://www.econbiz.de/10012605965
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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
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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
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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
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Does uncertainty reduce growth? : using disasters as natural experiments
Baker, Scott; Bloom, Nicholas - 2013
Persistent link: https://www.econbiz.de/10010191904
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Efficiency of the forward foreign exchange market : a stability analysis using Canadian/United States weekly and monthly data
Gregory, Allan - 1982
Persistent link: https://www.econbiz.de/10000324804