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A Structural Break in the Effects of Japanese Foreign Exchange Intervention on Yen/Dollar Exchange Rate Volatility

Hillebrand, Eric T.; Schnabl, Gunther - 2021

volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …

Persistent link: https://www.econbiz.de/10013317566

China's Dominance Hypothesis and the Emergence of a Tri-Polar Global Currency System

Fratzscher, Marcel - 2011

This paper assesses whether the international monetary system is already tripolar and centred around the US dollar, the euro and the Chinese renminbi (RMB). It focuses on what we call China's “dominance hypothesis”, i.e. whether the renminbi is already the dominant currency in Asia, exerting...

Persistent link: https://www.econbiz.de/10013119934

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

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

How Successful is the G7 in Managing Exchange Rates?

Fratzscher, Marcel - 2015

The paper assesses the extent to which the Group of Seven (G7) has been successful in its management of major currencies since the 1970s. Using an event-study approach, the paper finds evidence that the G7 has been overall effective in moving the US dollar, yen and euro in the intended direction...

Persistent link: https://www.econbiz.de/10012750085

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

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 international adjustment mechanism. First, we rely on high-frequency surprises in the price of gold to identify the effects of global risk shocks in a Bayesian Proxy VAR model. They...

Persistent link: https://www.econbiz.de/10013310676

Assessing the Compensation for Volatility Risk Implicit in Interest Rate Derivatives

Fornari, Fabio - 2021

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

Persistent link: https://www.econbiz.de/10013316627

Can Non-Linear Real Shocks Explain the Persistence of PPP Exchange Rate Disequilibria?

Peltonen, Tuomo - 2011

much shorter than estimated using linear PPP and more consistent with the observed volatility of nominal and real exchange …

Persistent link: https://www.econbiz.de/10013134541

Bond Market Co-Movements, Expected Inflation and the Equilibrium Real Exchange Rate

Macchiarelli, Corrado - 2011

Since the end of the fixed rates in 1973 and after the EMS sterling dismissal in 1992, the value of the pound has undergone large cyclical fluctuations on average. Of particular interest to policy makers is the understanding of whether such movements are consistent with the lack or not of a...

Persistent link: https://www.econbiz.de/10013118031