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Are the intraday effects of central bank intervention on exchange rate spreads asymmetric and state dependent?

Fatum, Rasmus; Pedersen, Jesper; Sørensen, Peter Norman - Federal Reserve Bank of Dallas - 2010

This paper investigates the intraday effects of unannounced foreign exchange intervention on bid-ask exchange rate spreads using official intraday intervention data provided by the Danish central bank. Our starting point is a simple theoretical model of the bid-ask spread which we use to...

Persistent link: https://www.econbiz.de/10008643749

Globalization and monetary policy: an introduction

Martinez-Garcia, Enrique - Federal Reserve Bank of Dallas - 2008

international model, and explores the role of standard monetary policy rules applied to an open economy. For this purpose, I build a … international literature, and (b) how to start "thinking" about monetary policy in this environment. …

Persistent link: https://www.econbiz.de/10005367953

International portfolios, capital accumulation and foreign assets dynamics

Coeurdacier, Nicolas; Kollmann, Robert; Martin, Philippe - Federal Reserve Bank of Dallas - 2009

two familiar explanations of equity home bias: transaction costs that impede international diversification, and terms of …, shocks to the efficiency of physical investment, as well as international trade in stocks and bonds. In our model, domestic … goods and in foreign goods. In contrast to related models, the low level of international diversification does not depend on …

Persistent link: https://www.econbiz.de/10005367954

Do China and oil exporters influence major currency configurations?

Fratzscher, Marcel; Mehl, Arnaud - Federal Reserve Bank of Dallas - 2009

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

Persistent link: https://www.econbiz.de/10005367955

The real exchange rate in sticky price models: does investment matter?

Martinez-Garcia, Enrique; Søndergaard, Jens - Federal Reserve Bank of Dallas - 2008

This paper re-examines the ability of sticky-price models to generate volatile and persistent real exchange rates. We use a DSGE framework with pricing-to-market akin to those in Chari, et al. (2002) and Steinsson (2008) to illustrate the link between real exchange rate dynamics and what the...

Persistent link: https://www.econbiz.de/10005367958

Technical note on "The real exchange rate in sticky price models: does investment matter?"

Martinez-Garcia, Enrique; Søndergaard, Jens - Federal Reserve Bank of Dallas - 2008

This technical note is developed as a mathematical companion to the paper "The Real Exchange Rate in Sticky Price Models: Does Investment Matter?" (Institute working paper no. 17). It contains three basic calculations. First, we derive the equilibrium conditions of the model. Second, we compute...

Persistent link: https://www.econbiz.de/10005367963

Monetary policy, capital inflows, and the housing boom

Sá, Filipa; Wieladek, Tomasz - Federal Reserve Bank of Dallas - 2011

We estimate an open economy VAR model to quantify the effect of monetary policy and capital inflows shocks on the US housing market. The shocks are identified with sign restrictions derived from a standard DSGE model. We find that monetary policy shocks have a limited effect on house prices and...

Persistent link: https://www.econbiz.de/10009292920

Currency blocs in the 21st century

Fischer, Christoph - Federal Reserve Bank of Dallas - 2011

Based on a classification of countries and territories according to their regime and anchor currency choice, the study considers the two major currency blocs of the present world. A nested logit regression suggests that long-term structural economic variables determine a given country's currency...

Persistent link: https://www.econbiz.de/10009292922

How much asymmetry is there in bond returns and exchange rates?

Fujiwara, Ippei; Körber, Lena Mareen; Nagakura, Daisuke - Federal Reserve Bank of Dallas - 2011

We measure asymmetries in the distribution of bond returns and exchange rates and test their statistical significance. Asymmetries are sizable when measured by the coefficient of skewness, a measure that is highly affected by outliers. In contrast, robustly measured asymmetries to outliers often...

Persistent link: https://www.econbiz.de/10009321086

Financial integration and international business cycle co-movement: the role of balance sheets

Davis, Scott - Federal Reserve Bank of Dallas - 2011

This paper investigates the effect of international financial integration on international business cycle co …

Persistent link: https://www.econbiz.de/10009321090