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On the Determinants of Exporters' Currency Pricing : History vs. Expectations

Fukuda, Shin-ichi - 2006

The purpose of this paper is to investigate why the choice of invoice currency under exchange rate uncertainty depends not only on expectations but also on history. The analysis is motivated by the fact that the U.S. dollar has historically been the dominant vehicle currency in developing...

Persistent link: https://www.econbiz.de/10012466232

Optimal Currency Shares in International Reserves : The Impact of the Euro and the Prospects for the Dollar

Papaioannou, Elias - 2006

Foreign exchange reserve accumulation has risen dramatically in recent years. The introduction of the euro, greater … currencies. Making various assumptions on expected currency returns and the variance-covariance structure, we assess how the euro …-free) currency. (ii) The optimum portfolios show a much lower weight for the euro than is observed. This suggests that the euro may …

Persistent link: https://www.econbiz.de/10012466332

The Dollar versus the Euro as International Reserve Currencies

Chinn, Menzie David; Frankel, Jeffrey A.; Itō, Hiro - National Bureau of Economic Research - 2024

We begin by examining determinants of aggregate foreign exchange reserve holdings by central banks (size of issuing country's economy and financial markets, ability of the currency to hold value, and inertia). But understanding the determination of reserve holdings probably requires going beyond...

Persistent link: https://www.econbiz.de/10014528426

Macroeconomic Interdependence and the International Role of the Dollar

Goldberg, Linda S. - 2008

The U.S. dollar holds a dominant place in the invoicing of international trade, along two complementary dimensions. First, most U.S. exports and imports invoiced in dollars. Second, trade flows that do not involve the United States are also substantially invoiced in dollars, an aspect that has...

Persistent link: https://www.econbiz.de/10012464827

Pricing Currency Risk : Facts and Puzzles from Currency Boards

Schmukler, Sergio L. - 2002

Hard pegs, such as currency boards, intend to reduce or even eliminate currency risk. This paper investigates the patterns and determinants of the currency risk premium in two currency boards -- Argentina and Hong Kong. Despite the presumed rigidity of currency boards, the currency premium is...

Persistent link: https://www.econbiz.de/10012469666

International Borrowing and Macroeconomic Performance in Argentina

Dominguez, Kathryn M.E. - 2005

This paper provides an overview of the major economic events in Argentina from the adoption of the convertibility plan in 1991 to the collapse of the exchange rate regime in 2001. We focus on the relationship between the credibility of the currency board and capital flows, and the inescapable...

Persistent link: https://www.econbiz.de/10012467330

Large Hoarding of International Reserves and the Emerging Global Economic Architecture

Aizenman, Joshua - 2007

This paper analyzes competing interpretations for the large increases in the hoarding of international reserves by developing countries. While the first phase of the rapid hoarding of reserves in the aftermath of the East Asian crisis has been dominated by self insurance against exposure to...

Persistent link: https://www.econbiz.de/10012465374

International Currency Exposures, Valuation Effects, and the Global Financial Crisis

Bénétrix, Agustín S. - 2015

We examine the evolution of international currency exposures, with a particular focus on the 2002-12 period. During the run up to the global financial crisis, there was a widespread shift towards positive net foreign currency positions, such that relatively few countries exhibited the archetypal...

Persistent link: https://www.econbiz.de/10012457846

Countercyclical Currency Risk Premia

Lustig, Hanno - 2010

We describe a novel currency investment strategy, the 'dollar carry trade,' which delivers large excess returns, uncorrelated with the returns on well-known carry trade strategies. Using a no-arbitrage model of exchange rates we show that these excess returns compensate U.S. investors for taking...

Persistent link: https://www.econbiz.de/10012462229

Forward and Spot Exchange Rates in a Multi-currency World

Hassan, Tarek A. - 2014

Separate literatures study violations of uncovered interest parity using regression-based and portfolio-based methods. We propose a decomposition of these violations into a cross-currency, a between-time-and-currency, and a cross-time component that allows us to analytically relate...

Persistent link: https://www.econbiz.de/10012458373

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