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Global Liquidity Glut or Global Savings Glut? A Structural VAR Approach
Bracke, Thierry - 2008
Since the late-1990s, the global economy is characterised by historically low risk premia and an unprecedented widening of external imbalances. This paper explores to what extent these two global trends can be understood as a reaction to three structural shocks in different regions of the global...
Persistent link: https://www.econbiz.de/10012771616
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Should Larger Reserve Holdings be More Diversified?
Beck, Roland - 2010
The notable increase in international reserve holdings over the past decade and their use during the global financial crisis of 2008/2009 has sparked renewed interest in the analysis of the optimal level of reserve holdings, in particular in countries which are subject to sudden stops. Less...
Persistent link: https://www.econbiz.de/10013143881
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The Impact of Extreme Weather Events on Budget Balances and Implications for Fiscal Policy
Lis, Eliza M. - 2009
. Based on these findings, we discuss implications for fiscal policy and publicly-provided disaster insurance. Our policy … an increase in the frequency and severity of natural disasters …
Persistent link: https://www.econbiz.de/10013159926
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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 country-specific (idiosyncratic) and region-wide (common) components. To do so, we propose a flexible empirical framework based on dynamic factor models subject to drifting...
Persistent link: https://www.econbiz.de/10012838756
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The Fundamentals of Safe Assets
Habib, Maurizio Michael - 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/10012844631
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The Exchange Rate, Asymmetric Shocks and Asymmetric Distributions
Demian, Vlad - 2015
The elasticity of exports to exchange rate fluctuations has been the subject of a large literature without a clear consensus emerging. Using a novel sector level dataset based on firm level information, we show that exchange rate elasticities double in size when the country and sector specific...
Persistent link: https://www.econbiz.de/10013020655
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E Pluribus Plures : Shock Dependency of the USD Pass-Through to Real and Financial Variables
Minesso, Massimo Ferrari; Gräb, Johannes - 2022
in a panel of 34 countries. Pass-through coefficients are highly shock-dependent: if the appreciation is driven by a US … expansionary shock, the positive effects of stronger global demand - the “real” channel dominate the negative effects of a stronger … stock valuations up to 2.2 (2.5) and 8% (15%) respectively, while if the appreciation is driven by a monetary policy shock …
Persistent link: https://www.econbiz.de/10013403806
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The Global Capital Flows Cycle : Structural Drivers and Transmission Channels
Habib, Maurizio Michael - 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...
Persistent link: https://www.econbiz.de/10012870421
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Methodological advances in the assessment of equilibrium exchange rates
Bussière, Matthieu; Ca' Zorzi, Michele; Chudik, Alexander - 2010
This paper reviews three different concepts of equilibrium exchange rates that are widely used in policy analysis and constitute the backbone of the IMF CGER assessment: the Macroeconomic Balance, the External Sustainability and the reduced form approaches. We raise a number of econometric...
Persistent link: https://www.econbiz.de/10011605197
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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
We analytically derive optimal central bank portfolios in a minimum variance framework with two assets and quot;transaction demandsquot; caused by sudden stops in capital inflows. In this model, the transaction demands become less important relative to traditional portfolio objectives as debt to...
Persistent link: https://www.econbiz.de/10012771394