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Current account balance and dollar standard: Exploring the linkages
Steiner, Andreas - In: Journal of International Money and Finance 41 (2014) C, pp. 65-94
This paper examines whether the international role of the dollar as main global reserve currency has contributed to persistent current account imbalances. To this end, we analyse how central banks' accumulation of reserve assets affects the current account balance of both reserve-accumulating...
Persistent link: https://www.econbiz.de/10010743969
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Forecasting exchange rates out-of-sample with panel methods and real-time data
Ince, Onur - In: Journal of International Money and Finance 43 (2014) C, pp. 1-18
This paper evaluates out-of-sample exchange rate forecasting with Purchasing Power Parity (PPP) and Taylor rule fundamentals for 9 OECD countries vis-à-vis the U.S. dollar over the period from 1973:Q1 to 2009:Q1 at short and long horizons. In contrast with previous work, which reports...
Persistent link: https://www.econbiz.de/10011048511
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A consistent set of multilateral productivity approach-based indicators of price competitiveness – Results for Pacific Rim economies
Fischer, Christoph; Hossfeld, Oliver - In: Journal of International Money and Finance 49 (2014) PA, pp. 152-169
We propose a novel, multilaterally consistent productivity approach-based indicator to assess the international price competitiveness of 57 industrialized and emerging economies. It is designed to be a useful assessment tool for monetary policy authorities and, thereby, differs from previously...
Persistent link: https://www.econbiz.de/10011077092
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Financial globalization, convergence and growth: The role of foreign direct investment
Gomes Neto, Delfim; Veiga, Francisco José - In: Journal of International Money and Finance 37 (2013) C, pp. 161-186
direct investment on growth through diffusion of technology and innovation. Using an otherwise standard growth regression and … regressions on productivity growth, we introduce a direct effect of foreign direct investment, which may be proxying for … positive effect on productivity growth and on GDP growth. These results are consistent with an open economy model, in which …
Persistent link: https://www.econbiz.de/10010709327
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The determinants of vulnerability to the global financial crisis 2008 to 2009: Credit growth and other sources of risk
Feldkircher, Martin - In: Journal of International Money and Finance 43 (2014) C, pp. 19-49
growth in shaping the real economy's response to the crisis. Specifically, a 1% increase in pre-crisis lending translates … into a 0.2% increase in the cumulative loss in real output. Moreover, the combination of pronounced growth in lending ahead … growth in real GDP in parallel with strong growth of credit particularly exacerbated the effects of the recent crisis on the …
Persistent link: https://www.econbiz.de/10010753305
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Has the CDS market influenced the borrowing cost of European countries during the sovereign crisis?
Delatte, Anne-Laure; Gex, Mathieu; … - In: Journal of International Money and Finance 31 (2012) 3, pp. 481-497
This paper assesses the potential influence of the growing CDS market on the borrowing cost of sovereign states during the European sovereign crisis. We analyze the sovereign debt market to ascertain the pattern of information transmission between the CDS and corresponding bond markets. Our...
Persistent link: https://www.econbiz.de/10011048496
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Currency excess returns and global downside market risk
Atanasov, Victoria; Nitschka, Thomas - In: Journal of International Money and Finance 47 (2014) C, pp. 268-285
We assess cross-sectional differences in 23 bilateral currency excess returns in an empirical model that distinguishes between US-specific and global risks, conditional on US bull (upside) or bear (downside) markets. Using the US dollar as numeraire currency, our results suggest that global...
Persistent link: https://www.econbiz.de/10010906602
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System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies
Gnabo, Jean-Yves; Hvozdyk, Lyudmyla; Lahaye, Jérôme - In: Journal of International Money and Finance 48 (2014) PA, pp. 147-174
This paper studies bivariate tail comovements on financial markets that are of crucial importance for the world economy: the S&P 500, US bonds, and currencies. We propose to study that form of dependence under the lens of cojump identification in a bivariate Brownian semimartingale with...
Persistent link: https://www.econbiz.de/10010939657
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The interbank market risk premium, central bank interventions, and measures of market liquidity
Alexius, Annika; Birenstam, Helene; Eklund, Johanna - In: Journal of International Money and Finance 48 (2014) PA, pp. 202-217
When the interbank market risk premium soared during the financial crisis, it created a wedge between interest rates actually paid by private agents and the rapidly falling policy rates. Many central banks attempted to improve the situation by supplying liquidity to the domestic interbank...
Persistent link: https://www.econbiz.de/10010939659
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Official financial flows, capital mobility, and global imbalances
Bayoumi, Tamim; Gagnon, Joseph; Saborowski, Christian - In: Journal of International Money and Finance 52 (2015) C, pp. 146-174
We use a cross-country panel framework to analyze the effect of net official flows (chiefly foreign exchange intervention) on current accounts. We find that net official flows have a large but plausible effect on current account balances. The estimated effects are larger with instrumental...
Persistent link: https://www.econbiz.de/10011208911