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Foreign Exchange Intervention and the Australian Dollar : Has it Mattered?
Edison, Hali; Cashin, Paul - 2021
(RBA) have had on the level and volatility of the Australian dollar exchange rate. First, using an event study we evaluate … Australian dollar. Second, we investigate the effects of RBA intervention policies on exchange rate volatility over the floating … volatility, which suggests that official intervention may have added to market uncertainty. Overall, the effects of RBA …
Persistent link: https://www.econbiz.de/10013211943
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Soft Power and Exchange Rate Volatility
Cevik, Serhan - 2015
, institutional, political and social underpinnings to uncover the “missing” determinants of exchange rate volatility over time and … volatility, especially in emerging market economies. After controlling for standard macroeconomic factors, we find that the “soft … exchange rate volatility across countries …
Persistent link: https://www.econbiz.de/10013024431
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Measuring Off-Balance-Sheet Leverage
Breuer, Peter - 2021
-balance-sheet activities. This paper provides measures of leverage implicit in derivative contracts by decomposing the contracts into cash …
Persistent link: https://www.econbiz.de/10013212029
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Unconventional Monetary Policy and Asset Price Risk
Roache, Shaun K. - 2013
We examine the effects of unconventional monetary policy (UMP) events in the United States on asset price risk using risk-neutral density functions estimated from options prices. Based on an event study including a key exchange rate, an equity index, and five commodities, we find that “tail...
Persistent link: https://www.econbiz.de/10013075541
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Discriminatory Pricing of Over-the-Counter Derivatives
Hau, Harald - 2019
New regulatory data reveal extensive price discrimination against non-financialclients in the FX derivatives market. The client at the 90th percentile pays aneffective spread of 0.5%, while the bottom quarter incur transaction costs of lessthan 0.02%. Consistent with models of search frictions...
Persistent link: https://www.econbiz.de/10012868480
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The Curious Case of the Yen as a Safe Haven Currency : A Forensic Analysis
Botman, Dennis P. J. - 2013
coordination to address excessive exchange rate volatility might be limited in certain cases …
Persistent link: https://www.econbiz.de/10013071928
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China : Sources of Real Exchange Rate Fluctuations
Wang, Tao - 2006
This paper reviews the evolution of China`s real effective exchange rate between 1980 and 2002, and uses a structural vector autoregression model to study the relative importance of different types of macroeconomic shocks for fluctuations in the real exchange rate. The structural decomposition...
Persistent link: https://www.econbiz.de/10012783233
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Global Liquidity, House Prices, and the Macroeconomy : Evidence from Advanced and Emerging Economies
Cesa-Bianchi, Ambrogio - 2015
In this paper we first compare house price cycles in advanced and emerging economies using anew quarterly house price data set covering the period 1990-2012. We find that house prices in emerging economies grow faster, are more volatile, less persistent and less synchronized across countries...
Persistent link: https://www.econbiz.de/10013027667
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The Imf's Reserves Template and Nominal Exchange Rate Volatility
Cady, John - 2007
exchange rate volatility are investigated for 48 countries. Estimation of panel data models indicates that nominal exchange … rate volatility decreases following dissemination of reserves template data while the effects of indebtedness and reserve … adequacy on volatility exhibit statistically significant changes …
Persistent link: https://www.econbiz.de/10012777957
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How to Capture Macro-Financial Spillover Effects in Stress Tests?
Hesse, Heiko - 2014
One of the challenges of financial stability analysis and bank stress testing is how to establish scenarios with meaningful macro-financial linkages, i.e., taking into account spillover effects and other forms of contagion. We come up with an approach to simulate the potential impact of...
Persistent link: https://www.econbiz.de/10013050679