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Dollar shortages, CIP deviations, and the safe haven role of the dollar

Bacchetta, Philippe; Davis, Scott; Van Wincoop, Eric - 2023

Persistent link: https://www.econbiz.de/10014483257

Can sticky portfolios explain international capital flows and asset prices?

Bacchetta, Philippe; Davenport, Margaret; Van Wincoop, Eric - 2021

Recently portfolio choice has become an important element of many DSGE open economy models. Yet, a substantial body of evidence is inconsistent with standard frictionless portfolio choice models. In this paper we introduce a quadratic cost of changes in portfolio allocation into a two-country...

Persistent link: https://www.econbiz.de/10012800076

Global portfolio rebalancing and exchange rates

Costa Neto, Nelson Camanho da; Hau, Harald; Rey, Hélène - 2018

We examine international equity allocations at the fund level and show how different returns on the foreign and domestic proportion of portfolios determine rebalancing behavior and trigger capital flows. We document the heterogeneity of rebalancing across fund types, its greater intensity under...

Persistent link: https://www.econbiz.de/10011875988

The global factor structure of exchange rates

Korsaye, Sofonias Alemu; Trojani, Fabio; Vedolin, Andrea - 2020

We provide a model-free framework to study the global factor structure of exchange rates. To this end, we propose a new methodology to estimate international stochastic discount factors (SDFs) that jointly price cross-sections of international assets, such as stocks, bonds, and currencies, in...

Persistent link: https://www.econbiz.de/10012419696

Economic support during the COVID crisis : quantitative easing and lending support schemes in the UK

Fatouh, Mahmoud; Giansante, Simone; Ongena, Steven - 2021

We investigate how the interaction of the Brexit and COVID waves of the Bank of England’s quantitative easing with the leverage ratio capital requirements or government COVID lending support schemes affected bank business lending. We find that the former QE programme was particularly...

Persistent link: https://www.econbiz.de/10012614521

Does quantitative easing boost bank lending to the real economy or cause other bank asset reallocation? : the case of the UK

Giansante, Simone; Fatouh, Mahmoud; Ongena, Steven - 2019

We investigate the impact of the Bank of England's asset purchase program (APP) on the composition of assets of UK banks, and the implications for the real economy, using a unique database on the program. Knowing the identity of the banks that receive reserves injections through APP (QE banks)...

Persistent link: https://www.econbiz.de/10012179328

Overconfident bank CEOs : risk amplification amid economic uncertainty

Addo, Kwabena Aboah; Pathan, Shams; Ongena, Steven - 2024 - This draft: April 30,2024

Persistent link: https://www.econbiz.de/10014533702

CDS and credit: the effect of the bangs on credit insurance, lending and hedging

Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2023 - This draft: October 31, 2023

Persistent link: https://www.econbiz.de/10014483049

An intermediation-based model of exchange rates

Malamud, Semyon; Schrimpf, Andreas - 2018 - This version: June 5, 2018

We develop a general equilibrium model with intermediaries at the heart of international financial markets. Global intermediaries bargain with households and extract rents for providing access to foreign claims. The behavior of intermediaries, by tilting state prices, breaks monetary neutrality...

Persistent link: https://www.econbiz.de/10011877302

Dominant currency debt

Eren, Egemen; Malamud, Semyon - 2018 - This version: August 22, 2018

We propose a "debt view" to explain the dominant international role of the dollar and provide broad empirical support … suggest that the dollar fits this description better than all major currencies, especially for longer horizons. The debt view … can jointly explain the fall and the rise of the dollar in international debt markets over the last two decades …

Persistent link: https://www.econbiz.de/10011900333

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