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U.S. dollar dynamics : how important are policy divergence and FX risk premiums?

Balakrishnan, Ravi; Laséen, Stefan; Pescatori, Andrea - 2016

We investigate the drivers of dynamics of major U.S. FX bilaterals. We first construct a novel measure of FX risk … premiums using Consensus exchange rate forecasts. We then use VAR analysis to show that (i) risk premium shocks play a key role … exporter); and (iv) risk appetite shocks (e.g., VIX shocks) generally lead to U.S. dollar appreciation. The importance of risk …

Persistent link: https://www.econbiz.de/10011711595

Crowding-out or crowding-in? : public and private investment in India

Bahal, Girish; Raissi, Mehdi; Tulin, Volodymyr - 2015

This paper contributes to the debate on the relationship between public-capital accumulation and private investment in India along the following dimensions. First, acknowledging major structural changes that the Indian economy has undergone in the past three decades, we study whether public...

Persistent link: https://www.econbiz.de/10011445833

Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets

Chan-Lau, Jorge A. - 2004

This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads converge despite various pressures that arise in the market. In most countries,...

Persistent link: https://www.econbiz.de/10014404117

The costs of macroprudential deleveraging in a liquidity trap

Chen, Jiaqian; Finocchiaro, Daria; Lindé, Jesper; … - 2020

We examine the effects of various borrower-based macroprudential tools in a New Keynesian environment where both real and nominal interest rates are low. Our model features long-term debt, housing transaction costs and a zero-lower bound constraint on policy rates. We find that the long-term...

Persistent link: https://www.econbiz.de/10012251966

The Zero Interest Rate Floor (ZIF) and its Implications for Monetary Policy in Japan

Laxton, Douglas - 2001

This paper uses the IMF''s macroeconomic model MULTIMOD to examine the implications of the zero-interest-rate floor (ZIF) for the design of monetary policy in Japan. Similar to findings in other studies, targeting rates of inflation lower than 2.0 percent significantly increases the likelihood...

Persistent link: https://www.econbiz.de/10014401235

Credible Commitment to Optimal Escape from a Liquidity Trap : The Role of the Balance Sheet of an Independent Central Bank

Jeanne, Olivier - 2004

An independent central bank can manage its balance sheet and its capital so as to commit itself to a depreciation of its currency and an exchange rate peg. This way, the central bank can implement the optimal escape from a liquidity trap, which involves a commitment to higher future inflation....

Persistent link: https://www.econbiz.de/10014404026

Monetary Policy and the Lost Decade : Lessons From Japan

Leigh, Daniel - 2009

This paper investigates how monetary policy can help ward off a protracted deflationary slump when policy rates are near the zero bound by studying the experience of Japan during the ""Lost Decade"" which followed the asset-price bubble collapse in the early 1990s. Estimation results based on a...

Persistent link: https://www.econbiz.de/10014402365

Euro Area Monetary Policy in Uncharted Waters

Stavrev, Emil - 2009

We analyze the European Central Bank''s (ECB''s) response to the global financial crisis. Our results suggest that even during the crisis, the core part of ECB''s monetary policy transmission-from policy rates to market rates-has continued to operate, but at a decreased efficiency. We also find...

Persistent link: https://www.econbiz.de/10014402463

Financial frictions in data : evidence and impact

Taheri Sanjani, Marzie - 2014

Persistent link: https://www.econbiz.de/10010479493

Unemployment surges in the EU : the role of risk premium shocks

Bakker, Bas B.; Korczak, Marta; Krogulski, Krzysztof - 2019

large risk premium shocks. Previous papers have focused on the impact of these shocks on demand. This paper, by contrast …, focuses on the impact on supply. We show that risk premium shocks reduce the output level that maximizes profit. They also …. As a result, all countries with risk premium shocks saw unemployment surge, even as euro area core countries managed to …

Persistent link: https://www.econbiz.de/10012009587

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