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Asymmetric Exchange Rate Dependence : An Empirical Investigation for Small Inflation-Targeting Economies

Li, Xiaoming - 2009

This paper examines asymmetry in exchange rate dependence between domestic and foreign currencies vis-à-vis some world currencies for small inflation targeters, and find mixed evidence. Positive-type asymmetry (i.e., greater dependence during joint appreciations than joint depreciations) is...

Persistent link: https://www.econbiz.de/10013159267

A 'Vertical' Analysis of Monetary Policy in Emerging Markets

Caballero, Ricardo J.; Krishnamurthy, Arvind - 2003

During emerging market crises, domestic agents might have sufficient collateral to borrow from the other domestic agents, but they are unable to borrow from foreigners because the country, as a whole, lacks international collateral. In this setting, we show that an (ex-post) optimizing central...

Persistent link: https://www.econbiz.de/10014118568

Uncertainty and Exchange Rate Volatility : The Case of Mexico

Bush, G. - 2019

This paper investigates the effect of domestic and global uncertainty on the volatility of the Mexican peso US dollar … estimated exchange rate volatility on domestic and global uncertainty proxies, built with data from the survey of professional … Davis global economic policy uncertainty index (EPU). A trade uncertainty index based on Google trends is incorporated in …

Persistent link: https://www.econbiz.de/10012897453

Exchange Rates and Liquidity Risk

Evans, Martin D.D. - 2020

I use Forex trading data to study how risks associated with the lack of liquidity contribute to the dynamics of 17 spot exchange rates through their time-varying contributions to risk premia. I find that liquidity risk matters. All the foreign exchange risk premia compensate investors for...

Persistent link: https://www.econbiz.de/10012824202

The Dollar, Global Growth Risks and the US Safety Puzzle

Kim, Sun Yong - 2022

The United States (US) extracts a large macroeconomic premium from foreigners: she enjoys higher consumption and GDP growths on average relative to the rest of the world (ROW). This is earned even though the US is relatively insulated against global consumption and GDP risks, challenging a...

Persistent link: https://www.econbiz.de/10014077659

China's current account and exchange rate

Cheung, Yin-Wong; Chinn, Menzie David; Fujii, Eiji - 2009

We examine whether the Chinese exchange rate is misaligned and how Chinese trade flows respond to the exchange rate and to economic activity. We find, first, that the Chinese currency, the renminbi (RMB), is substantially below the value predicted by estimates based upon a cross-country sample,...

Persistent link: https://www.econbiz.de/10003818038

In search of real rigidities

Gopinath, Gita; Itskhoki, Oleg - 2010

The closed and open economy literatures both work on evaluating the role of real rigidities, but in parallel. This paper brings the two literatures together. We use international price data and exchange rate shocks to evaluate the importance of real rigidities in price setting. We show that,...

Persistent link: https://www.econbiz.de/10008663357

India's trilemma : financial liberalization, exchange rates and monetary policy

Hutchison, Michael M.; Sengupta, Rajeswari; Singh, Nirvikar - 2010

A key challenge for macroeconomic policy in open economies is how to simultaneously manage exchange rates, interest rates and capital account openness - the trilemma. This paper calculates a trilemma index for India and investigates its evolution over time. We find that financial integration has...

Persistent link: https://www.econbiz.de/10008698332

Welfare effects of commodity price and exchange rate volatilities in a multi-sector small open economy model

Dib, Ali (contributor) - 2008

This paper develops a multi-sector New Keynesian model of a small open economy that includes commodity, manufacturing, non-tradable, and import sectors. Price and wage rigidities are sector specific, modelled à la Calvo-Yun style contracts. Labour and capital are imperfectly mobile across...

Persistent link: https://www.econbiz.de/10003711673

Exchange rate pass-through, currency of invoicing and market share

Devereux, Michael B.; Dong, Wei; Tomlin, Ben - 2015

This paper investigates the impact of market structure on the joint determination of exchange rate pass-through and currency of invoicing in international trade. A novel feature of the study is the focus on market share of firms on both sides of the market - that is, exporting firms and...

Persistent link: https://www.econbiz.de/10011304162

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