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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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Point, interval and density forecasts of exchange rates with time-varying parameter models
Abbate, Angela; Marcellino, Massimiliano - 2016
We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence...
Persistent link: https://www.econbiz.de/10011489395
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US trade policy and the US dollar
Khalil, Makram; Strobel, Felix - 2021
We investigate the extent to which the effect of the 2018/2019 US import tariff hikes on US (post-tariff) import prices was offset by the concurrent appreciation of the US dollar and trace the source of the appreciation back to US trade policy itself. The dollar response to trade policy...
Persistent link: https://www.econbiz.de/10012792730
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Asymmetric arbitrage trading on offshore and onshore renminbi markets
Eraslan, Sercan - 2017
This paper investigates the asymmetries in arbitrage trading with onshore and offshore renminbi spot rates, focusing on the time-varying driving factors behind the deviations of the two rates from their long-run equilibrium. Fundamentally, offshore and onshore renminbi rates represent the same...
Persistent link: https://www.econbiz.de/10011649208
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Chinese monetary policy and the dollar peg
Reade, J. James; Volz, Ulrich - 2010
monetary model for China, in which we include also other monetary policy tools besides the central bank interest rate, namely … reserve requirement ratios and open market operations. Our results suggest China has been relatively successful in isolating … conclude that by employing capital controls and relying on other instruments than the interest rate China has been able to …
Persistent link: https://www.econbiz.de/10008796581
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Do exchange rates absorb demand shocks at the ZLB?
Hoffmann, Mathias; Hürtgen, Patrick - 2021
According to the two-country full information New Keynesian model with flexible exchange rates, the real exchange rate appreciates in response to an asymmetric negative demand shock at the zero lower bound (ZLB) and exacerbates the adverse macroeconomic effects. This finding requires inflation...
Persistent link: https://www.econbiz.de/10012510174
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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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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
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The role of non-performing loans for bank lending rates
Bredl, Sebastian - 2019
Against the backdrop of a high stock of non-performing loans (NPLs) in several European countries, this paper investigates the role of NPLs for lending rates charged for newly granted loans in the euro area. More precisely, it looks for an effect that extends beyond losses caused by that stock...
Persistent link: https://www.econbiz.de/10011955694
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Do speculative traders anticipate or follow USD/EUR exchange rate movements? : new evidence on the efficiency of the EUR currency futures market
Hossfeld, Oliver; Röthig, Andreas - 2015
We address the question of whether various types of speculative investor correctly anticipate future USD/EUR currency movements or whether they tend rather to react to past exchange rate movements. Throughout the analysis, we differentiate between large and small traders, and an upper bound of...
Persistent link: https://www.econbiz.de/10011391722