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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

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

Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate

Balaban, Ercan - 1999

Persistent link: https://www.econbiz.de/10001399838

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

Exchange rate volatility and cross-border travel : theory and empirics

Wisarut Suwanprasert - 2021

Persistent link: https://www.econbiz.de/10012605965

Shocks versus structure : explaining differences in exchange rate pass-through across countries and time

Forbes, Kristin; Hjortsoe, Ida; Nenova, Tsvetelina - 2017

. Previous literature has highlighted the role of an economy's "structure" - such as its inflation volatility, inflation rate …

Persistent link: https://www.econbiz.de/10011671018

On the empirical relevance of the exchange rate as a shock absorber at the zero lower bound

Finck, David; Hoffmann, Mathias; Hürtgen, Patrick - 2023 - February 3, 2023

We estimate the effects of a negative asymmetric demand shock on the real exchange rate for the euro area vis-à-vis the United States, Canada, and Japan by state-dependent sign-restricted local projection methods. We find a real depreciation when interest rates are not at the ZLB, but also when...

Persistent link: https://www.econbiz.de/10014320485

Exchange rate in emerging markets : shock absorber or source of shock?

Pym Manopimoke; Nuwat Nookhwun; Jettawat Pattararangrong - 2024 - This version: 22 April 2024

Persistent link: https://www.econbiz.de/10014530657

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 … rates and macroeconomic volatility, on the one hand, and macroeconomic volatility and the net foreign asset position, on the …

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

Exchange rate risk and volatility : Evidence from bid-ask spreads

Glassman, Debra - 1984

Persistent link: https://www.econbiz.de/10003528684

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