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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

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

Do China and Oil Exporters Influence Major Currency Configurations?

Fratzscher, Marcel - 2015

This paper analyses the impact of the shift away from a US dollar focus of systemically important emerging market economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US dollar exchange rate regimes remain pervasive and...

Persistent link: https://www.econbiz.de/10012749953

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

Exchange Rate Volatility and Growth in Small Open Economies at the EMU Periphery

Schnabl, Gunther - 2008

accelerating growth. Panel estimations reveal a robust negative relationship between exchange rate volatility and growth for …

Persistent link: https://www.econbiz.de/10012773503

Real Convergence in Central and Eastern European EU Member States : Which Role for Exchange Rate Volatility?

Arratibel, Olga - 2008

This paper analyzes the relation between exchange rate volatility and several macroeconomic variables, namely real per … find that lower exchange rate volatility is associated with higher growth (for relatively less financially developed …

Persistent link: https://www.econbiz.de/10012770727

The Scapegoat Theory of Exchange Rates : The First Tests

Fratzscher, Marcel - 2012

This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011), as an attempt to evaluate its potential for explaining the poor empirical performance of traditional exchange rate models. This theory suggests that market participants may at...

Persistent link: https://www.econbiz.de/10013111946

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