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Optimal Reserve Composition in the Presence of Sudden Stops : The Euro and the Dollar as Safe Haven Currencies
Beck, Roland - 2008
traditional portfolio objectives as debt to reserve ratios decrease. We empirically estimate optimal dollar and euro shares for 24 … reserve ratios, introducing transactions demand has a elatively modest effect. We also find that euro and dollar bonds act as … sudden stops in Asia and Latin America, while the euro is a better hedge for sudden stops in Emerging Europe. We reproduce …
Persistent link: https://www.econbiz.de/10012771394
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Getting Beyond Carry Trade : What Makes a Safe Haven Currency?
Habib, Maurizio Michael - 2011
There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global financial stress and behave as safe havens. The main objective of this paper is to find out what the fundamentals of safe haven currencies are. We analyse a large...
Persistent link: https://www.econbiz.de/10013131638
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China's Dominance Hypothesis and the Emergence of a Tri-Polar Global Currency System
Fratzscher, Marcel - 2011
euro and the Chinese renminbi (RMB). It focuses on what we call China's “dominance hypothesis”, i.e. whether the renminbi …
Persistent link: https://www.econbiz.de/10013119934
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Optimal Currency Shares in International Reserves : The Impact of the Euro and the Prospects for the Dollar
Papaioannou, Elias; Portes, Richard; Siourounis, Gregorios - 2021
Foreign exchange reserve accumulation has risen dramatically in recent years. The introduction of the euro, greater … currencies. Making various assumptions on expected currency returns and the variance-covariance structure, we assess how the euro …-free) currency. (ii) The optimum portfolios show a much lower weight for the euro than is observed. This suggests that the euro may …
Persistent link: https://www.econbiz.de/10013317364
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The Global Effects of the Euro Debt Crisis
Stracca, Livio - 2013
This paper is an event study focusing on the global effects of the euro debt crisis in 2010-2013. After identifying 18 … advanced and 13 emerging countries. The main effect of euro debt crisis events is a rise in global risk aversion accompanied by …
Persistent link: https://www.econbiz.de/10013078527
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Exchange Rate Anchoring - Is there Still a De Facto US Dollar Standard?
Bracke, Thierry - 2011
The paper provides a measure of exchange rate anchoring behavior across 149 emerging market and developing economies for the 1980-2010 period. An extension of the Frankel and Wei (2008) methodology is used to determine whether exchange rates are pegged or floating, and in the case of pegs, to...
Persistent link: https://www.econbiz.de/10013124257
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When Did the Dollar Overtake Sterling as the Leading International Currency? Evidence From the Bond Markets
Chitu, Livia - 2012
This paper offers new evidence on the emergence of the dollar as the leading international currency, focusing on its role as currency of denomination in global bond markets. We show that the dollar overtook sterling much earlier than commonly supposed, as early as in 1929. Financial market...
Persistent link: https://www.econbiz.de/10013107004
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What Explains Global Exchange Rate Movements during the Financial Crisis
Fratzscher, Marcel - 2009
A striking and unexpected feature of the financial crisis has been the sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific macroeconomic shocks during the crisis have triggered a significant strengthening of the US dollar,...
Persistent link: https://www.econbiz.de/10013159289
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Dominant-Currency Pricing and the Global Output Spillovers from Us Dollar Appreciation
Georgiadis, Georgios; Schumann, Ben - 2021
Different export-pricing currency paradigms have different implications for a host of issues that are critical for policymakers such as business cycle co-movement, optimal monetary policy, optimum currency areas and international monetary policy co-ordination. Unfortunately, the literature has...
Persistent link: https://www.econbiz.de/10013315352
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Global Risk and the Dollar
Georgiadis, Georgios; Müller, Gernot J.; Schumann, Ben - 2021
How does global risk impact the world economy? In taking up this question, we focus on the dollar’s role in the …
Persistent link: https://www.econbiz.de/10013310676