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Exchange Rate Pass-through in Central and Eastern European Member States

Beirne, John; Bijsterbosch, Martin - 2009

This paper provides estimates of the exchange rate pass-through (ERPT) to consumer prices for nine central and eastern European EU Member States. Using a five-variate cointegrated VAR (vector autoregression) for each country and impulse responses derived from the VECM (vector error correction...

Persistent link: https://www.econbiz.de/10011605166

Exchange Rate Shocks and Inflation Comovement in the Euro Area

Leiva‐Leon, Danilo - 2020

This paper decomposes the time-varying effect of exogenous exchange rate shocks on euro area countries inflation into … quarters of the past six years, especially in turning point periods. Our main results indicate that headline inflation in euro … inflation this increasing sensitivity is solely reliant on a sustained surge in the degree of comovement, for energy inflation …

Persistent link: https://www.econbiz.de/10012838756

Exchange rate volatility and growth in small open economies at the EMU periphery

Schnabl, Gunther - 2007

Since the introduction of the euro in January 1999, exchange rate stability at the periphery of the euro area is growing. The paper investigates the impact of exchange rate stability on growth for a sample of 41 mostly small open economies at the EMU periphery. It identifies international trade,...

Persistent link: https://www.econbiz.de/10011604819

Oil exporters: in search of an external anchor

Habib, Maurizio Michael; Stráský, Jan - 2008

weight is placed by the policy maker on output stabilisation. Only when inflation becomes the only policy objective and …

Persistent link: https://www.econbiz.de/10011605004

The European Monetary Union as a commitment device for new EU member states

Ravenna, Federico - 2005

credibility a pegged exchange rate regime yields a lower loss compared to an inflation targeting policy, even if this policy … for a policy-maker to adopt inflation targeting over a strict exchange rate targeting regime. Full credibility is not a … precondition, but exposure to foreign and financial shocks and high steady state inflation make joining the EMU relatively more …

Persistent link: https://www.econbiz.de/10011604562

Openness and optimal monetary policy

Lombardo, Giovanni; Ravenna, Federico - 2010

We show that the composition of imports has important implications for the optimal volatility of the exchange rate. Using input-output data for 25 countries we document substantial differences in the import and non-tradable content of final demand components, and in the role played by imported...

Persistent link: https://www.econbiz.de/10011605325

Determinants of currency choice in cross-border bank loans

Emter, Lorenz; McQuade, Peter; Pradhan, Swapan-Kumar; … - 2024

This paper provides insights into the determinants of currency choice in cross-border bank lending, such as bilateral distance, financial and trade linkages to issuer countries of major currencies, and invoicing currency patterns. Cross-border bank lending in US dollars, and particularly in...

Persistent link: https://www.econbiz.de/10014543649

The global capital flows cycle: Structural drivers and transmission channels

Habib, Maurizio Michael; Venditti, Fabrizio - 2019

In this paper, we study the effects of structural shocks that influence global risk - the main factor behind a "global capital flows cycle" - and how risk, in turn, is transmitted to capital flows. Our results show that not all the risk shocks driving the global financial cycle have the same...

Persistent link: https://www.econbiz.de/10012142124

The fundamentals of safe assets

Habib, Maurizio Michael; Stracca, Livio; Venditti, Fabrizio - 2020

We study what makes government bonds a safe asset. Building on a sample of monthly changes in government bond yields in 40 advanced and emerging countries, we analyse the sensitivity of yields to country specific fundamentals interacted with changes in global risk (VIX). We find that inertia...

Persistent link: https://www.econbiz.de/10012389558

Towards European monetary integration: the evolution of currency risk premium as a measure for monetary convergence prior to the implementation of currency unions

González, Fernando; Launonen, Simo - 2005

We assess monetary convergence preceding the implementation of the European Monetary Union (EMU) through Kalman filtering estimates of the risk premium of eleven forward exchange rates of European and non-European currencies. Since all participating currencies are in effect identical from...

Persistent link: https://www.econbiz.de/10011604615