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Exchange rate anchoring : is there still a de facto US dollar standard?

Bracke, Thierry; Bunda, Irina - 2011

The paper provides a measure of exchange rate anchoring behaviour across 149 emerging market and developing economies for the 1980-2010 period. An extension of the Frankel and Wei (2008) methodology is used to determine whether exchange rates are pegged or floating, and in the case of pegs, to...

Persistent link: https://www.econbiz.de/10009160000

US shocks and global exchange rate configurations

Fratzscher, Marcel (contributor) - 2007

The paper analyses the heterogeneity in the link between macroeconomic fundamentals and exchange rates. For a set of important US-specific economic shocks, it shows that such shocks have exerted a remarkably heterogeneous effect on global exchange rate configurations over the past 25 years....

Persistent link: https://www.econbiz.de/10003599566

Global risk and the dollar

Georgiadis, Georgios; Müller, Gernot J.; Schumann, Ben - 2021

How does global risk impact the world economy? In taking up this question, we focus on the dollar’s role in the …

Persistent link: https://www.econbiz.de/10012705529

Dominant-currency pricing and the global output spillovers from US dollar appreciation

Georgiadis, Georgios; Schumann, Ben - 2019

Different export-pricing currency paradigms have different implications for a host of issues that are critical for policymakers such as business cycle co-movement, optimal monetary policy, optimum currency areas and international monetary policy co-ordination. Unfortunately, the literature has...

Persistent link: https://www.econbiz.de/10012058993

America First? : a US-centric view of global capital flows

McQuade, Peter; Schmitz, Martin - 2019

with those of the rest of the world. We analyse the relative importance of US, country-specific, and global variables as …. Global and national risk indicators perform better in explaining "rest of the world" flows. Moreover, we find that the … correlation between US and rest of the world flows peaks in periods of elevated uncertainty. We interpret our findings as evidence …

Persistent link: https://www.econbiz.de/10011975553

How successful are exchange rate communication and interventions? : Evidence from time-series and event-study approaches

Fratzscher, Marcel (contributor) - 2005

The paper analyses whether communication and actual interventions in FX markets are successful in moving exchange rates over the medium- to long-run. It compares empirical evidence based on time-series analysis with that obtained from an eventstudy approach. Both the time-series approach based...

Persistent link: https://www.econbiz.de/10003117214

What explains global exchange rate movements during the financial crisis?

Fratzscher, Marcel - 2009

A striking and unexpected feature of the financial crisis has been the sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific macroeconomic shocks during the crisis have triggered a significant strengthening of the US dollar,...

Persistent link: https://www.econbiz.de/10003867020

External imbalances and the US current account : how supply-side changes affect an exchange rate adjustment

Engler, Philipp (contributor); Fidora, Michael (contributor) - 2007

The influential work of Obstfeld and Rogoff argues that a closing-up of the US current account deficit involves a large exchange rate adjustment. However, the Obstfeld-Rogoff model works exclusively via demand-side channels and abstracts from possible supply-side changes. We extend the framework...

Persistent link: https://www.econbiz.de/10003484082

Asset prices, exchange rates and the current account

Fratzscher, Marcel (contributor); … - 2007

This paper analyses the role of asset prices in comparison to other factors, in particular exchange rates, as a driver of the US trade balance. It employs a Bayesian structural VAR model that requires imposing only a minimum of economically meaningful sign restrictions. We find that equity...

Persistent link: https://www.econbiz.de/10003516646

Explaining exchange rate dynamics : the uncovered equity return parity condition

Cappiello, Lorenzo (contributor); … - 2005

By employing Lucas' (1982) model, this study proposes an arbitrage relationship - the Uncovered Equity Return Parity (URP) condition - to explain the dynamics of exchange rates. When expected equity returns in a country/region are lower than expected equity returns in another country/region, the...

Persistent link: https://www.econbiz.de/10003117226