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Nonlinear relationship between exchange rate volatility and economic growth
Phiri, Andrew - 2018
In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and … volatility positively and significantly influences economic growth when growth in government spending is below 6 percent. Above … this 6 percent threshold, volatility exerts an insignificant effect on economic growth. In light of the adoption of a free …
Persistent link: https://www.econbiz.de/10011870188
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Stress relief? Funding structures and resilience to the Covid shock
Forbes, Kristin; Friedrich, Christian; Reinhardt, Dennis - 2023
This paper explores whether different funding structures-including the source, instrument, currency, and counterparty location of funding-affected the extent of financial stress experienced in various countries and sectors during the Covid-19 spread in early 2020. We measure financial stress...
Persistent link: https://www.econbiz.de/10014544666
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Four facts about international central bank communication
Bertsch, Christoph; Hull, Isaiah; Lumsdaine, Robin L.; … - 2024
This paper introduces a novel database of text features extracted from the speeches of 53 central banks from 1996 to 2023 using state-of-the-art NLP methods. We establish four facts: (1) central banks with floating and pegged exchange rates communicate differently, and these differences are...
Persistent link: https://www.econbiz.de/10014501000
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Stress relief? : funding structures and resilience to the Covid shock
Forbes, Kristin; Friedrich, Christian; Reinhardt, Dennis - 2023 - Last updated: January 30, 2023
This paper explores whether different funding structures-including the source, instrument, currency, and counterparty location of funding-affected the extent of financial stress experienced in various countries and sectors during the Covid-19 spread in early 2020. We measure financial stress...
Persistent link: https://www.econbiz.de/10013503718
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Exchange rate movements and fundamentals : impact of oil prices and the People's Republic of China's growth
Chen, Hongyi; Cao, Shuo - 2019
This paper identifies five factors that can capture 95% of the variance across 39 US dollar exchange rates based on the principal component method. A time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model is used to analyze the determinants of movements in these exchange...
Persistent link: https://www.econbiz.de/10011992197
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The high-frequency response of the EUR-US Dollar exchange rate to EBC monetary policy announcements
Conrad, Christian A. (contributor);  … - 2007
We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of …
Persistent link: https://www.econbiz.de/10003763600
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A note on the volatilities of the interest rate and the exchange rate under different monetary policy instruments : Mexico 1998 - 2008
Benavides, Guillermo; Capistrán Carmona, Carlos - 2009
transition from the former to the latter. With respect to the volatility transmission from interest rates to exchange rates and … ; Multivariate volatility …
Persistent link: https://www.econbiz.de/10003893830
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Asymmetric and Symmetric Volatility Models for Exchange Rates in India – The Impact of the Net Purchase of US Dollars by the Central Bank and Net Inflows by Foreign Institutional I...
Shah, Anand - 2017
symmetric (sGARCH) and the asymmetric (GJR-GARCH and EGARCH) volatility models with the normal, the student t and the skewed … with the calendar effect dummies in the volatility model are not parsimonious. The net purchase/ sale of USD in a given …
Persistent link: https://www.econbiz.de/10012962908
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A Note on the Volatilities of the Interest Rate and the Exchange Rate Under Different Monetary Policy Instruments : Mexico 1998-2008
Benavides, Guillermo - 2010
transition from the former to the latter. With respect to the volatility transmission from interest rates to exchange rates and …
Persistent link: https://www.econbiz.de/10013144183
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The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Communication
Conrad, Christian; Lamla, Michael J. - 2013
We investigate the impact of the European Central Bank’s monetary policy communication during the press conference held after the monthly Governing Council meeting on the EUR-USD exchange rate in high-frequency. Based on the method of Content Analysis we construct communication indicators for...
Persistent link: https://www.econbiz.de/10014223949