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Adjustment patterns to commodity terms of trade shocks: The role of exchange rate and international reserves policies

Aizenman, Joshua; Edwards, Sebastian; Riera-Crichton, Daniel - In: Journal of International Money and Finance 31 (2012) 8, pp. 1990-2016

, effectively lowering its volatility. We also show that relatively small increases in the average holdings of reserves by Latin … substantially REER volatility. …

Persistent link: https://www.econbiz.de/10011048521

The cyclical properties of disaggregated capital flows

Contessi, Silvio; De Pace, Pierangelo; Francis, Johanna L. - In: Journal of International Money and Finance 32 (2013) C, pp. 528-555

We analyze the second-moment properties of the components of international capital flows and their relationship to business cycle variables (output, investment, and the real interest rate) in 22 industrial and emerging countries. Total inward flows are procyclical with respect to all three macro...

Persistent link: https://www.econbiz.de/10010594666

International reserves before and after the global crisis: Is there no end to hoarding?

Aizenman, Joshua; Cheung, Yin-Wong; Ito, Hiro - In: Journal of International Money and Finance 52 (2015) C, pp. 102-126

regional rivalry in hoarding IR as a motivation; and commodity price volatility induces precautionary buffer hoarding. During …

Persistent link: https://www.econbiz.de/10011208913

Can cross-country portfolio rebalancing give rise to forward bias in FX markets?

Chang, Sanders S. - In: Journal of International Money and Finance 32 (2013) C, pp. 1079-1096

This paper develops a model of exchange rate dynamics that takes into account positions in foreign and domestic equities in addition to “standard” short-term riskless securities. The modeling of cross-country stock holdings is motivated by evidence that a large and ever-increasing proportion...

Persistent link: https://www.econbiz.de/10011048530

Is China or India more financially open?

Ma, Guonan; McCauley, Robert N. - In: Journal of International Money and Finance 39 (2013) C, pp. 6-27

Measures of de facto capital account openness for China and India raise the question whether the Chinn-Ito measure of de jure capital account openness is useful and whether the Lane-Milesi-Ferretti measure of de facto openness ranks the two countries correctly. We examine eight dimensions of de...

Persistent link: https://www.econbiz.de/10010719328

Are capital controls in the foreign exchange market effective?

Straetmans, Stefan T.M.; Versteeg, Roald J.; Wolff, … - In: Journal of International Money and Finance 35 (2013) C, pp. 36-53

One of the reasons for governments to employ capital controls is to obtain some degree of monetary independence. In this paper we test whether capital controls can reduce the link between exchange rates fluctuations and cross border interest differentials. Recent capital control proxies are used...

Persistent link: https://www.econbiz.de/10010665906

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

Is exchange rate – Customer order flow relationship linear? Evidence from the Hungarian FX market

Lovcha, Yuliya; Perez-Laborda, Alejandro - In: Journal of International Money and Finance 35 (2013) C, pp. 20-35

relationship evolves over time and that it is different under different exchange rate volatility conditions. Further, we found that …

Persistent link: https://www.econbiz.de/10010665908

The intra-day impact of communication on euro-dollar volatility and jumps

Dewachter, Hans; Erdemlioglu, Deniz; Gnabo, Jean-Yves; … - In: Journal of International Money and Finance 43 (2014) C, pp. 131-154

two measures: continuous volatility and discontinuous jumps. Focusing on the euro-dollar exchange rate, we provide …. Continuous volatility starts reacting prior to the news, intensifies around the release time and stays at high levels for several … volatility are mostly driven by the communication of the Euro area officials rather than US authorities. …

Persistent link: https://www.econbiz.de/10010753308

Financial flows, financial crises, and global imbalances

Obstfeld, Maurice - In: Journal of International Money and Finance 31 (2012) 3, pp. 469-480

In this lecture I document the proliferation of gross international asset and liability positions and discuss some consequences for individual countries’ external adjustment processes and for global financial stability. In light of the rapid growth of gross global financial flows and the...

Persistent link: https://www.econbiz.de/10010577034