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Cross-border currency exposures : new evidence based on an enhanced and updated dataset

Bénétrix, Agustín; Gautam, Deepali; Juvenal, Luciana; … - 2020

This paper provides a dataset on the currency composition of the international investment position for a group of 50 countries for the period 1990-2017. It improves available data based on estimates by incorporating actual data reported by statistical authorities and refining estimation methods....

Persistent link: https://www.econbiz.de/10012224121

The fundamentals of safe assets

Habib, Maurizio Michael; Stracca, Livio; Venditti, Fabrizio - 2020

We study what makes government bonds a safe asset. Building on a sample of monthly changes in government bond yields in 40 advanced and emerging countries, we analyse the sensitivity of yields to country specific fundamentals interacted with changes in global risk (VIX). We find that inertia...

Persistent link: https://www.econbiz.de/10012138612

Foreign currency exposure and the financial channel of exchange rates

Anaya Longaric, Pablo Andrés - 2022

Exchange rate movements affect the economy through changes in net exports, i.e. the trade channel, and through valuation changes in assets and liabilities denominated in foreign currencies, i.e. the financial channel. In this paper, I investigate the macroeconomic and financial effects of U.S....

Persistent link: https://www.econbiz.de/10013390993

Should larger reserve holdings be more diversified?

Beck, Roland; Weber, Sebastian - 2010

The notable increase in international reserve holdings over the past decade and their use during the global financial crisis of 2008/2009 has sparked renewed interest in the analysis of the optimal level of reserve holdings, in particular in countries which are subject to sudden stops. Less...

Persistent link: https://www.econbiz.de/10003973324

E pluribus plures : shock dependency of the USD pass-through to real and financial variables

Ferrari, Massimo Minesso; Gräb, Johannes - 2022

in a panel of 34 countries. Pass-through coefficients are highly shock-dependent: if the appreciation is driven by a US … expansionary shock, the positive effects of stronger global demand - the "real" channel-dominate the negative effects of a stronger … stock valuations up to 2.2 (2.5) and 8% (15%) respectively, while if the appreciation is driven by a monetary policy shock …

Persistent link: https://www.econbiz.de/10013285964

Exchange rate shocks and inflation comovement in the euro area

Leiva-Leon, Danilo; Martínez-Martín, Jaime; Ortega, Eva - 2020

This paper decomposes the time-varying effect of exogenous exchange rate shocks on euro area countries in ation into country-specific (idiosyncratic) and region-wide (common) components. To do so, we propose a exible empirical framework based on dynamic factor models subject to drifting...

Persistent link: https://www.econbiz.de/10012181317

Methodological advances in the assessment of equilibrium exchange rates

Bussière, Matthieu; Ca'Zorzi, Michele; Chudík, Alexander - 2010

This paper reviews three different concepts of equilibrium exchange rates that are widely used in policy analysis and constitute the backbone of the IMF CGER assessment: the Macroeconomic Balance, the External Sustainability and the reduced form approaches. We raise a number of econometric...

Persistent link: https://www.econbiz.de/10003970419

The global capital flows cycle : structural drivers and transmission channels

Habib, Maurizio Michael; Venditti, Fabrizio - 2019

In this paper, we study the effects of structural shocks that influence global risk - the main factor behind a "global capital flows cycle" - and how risk, in turn, is transmitted to capital flows. Our results show that not all the risk shocks driving the global financial cycle have the same...

Persistent link: https://www.econbiz.de/10012009141

Dominant currencies and the export supply channel

Frohm, Erik - 2021

highlight an "export supply channel" of exchange rates in a world with dominant currencies, deepen our understanding of …

Persistent link: https://www.econbiz.de/10012596321

The exchange rate insulation puzzle

Corsetti, Giancarlo; Küster, Keith; Müller, Gernot J.; … - 2021

We confront the notion that flexible rates insulate a country from external disturbances with new evidence on spillovers from euro-area shocks to neighboring countries. We find that in response to euro-area shocks, spillovers are not smaller, and currency movements not significantly larger, in...

Persistent link: https://www.econbiz.de/10012705556

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