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Monetary Policy and Exchange Rate Returns : Time-Varying Risk Regimes
Calomiris, Charles W. - 2020
We develop an empirical model of exchange rate returns, applied separately to samples of developed (DM) and developing (EM) economies' currencies against the dollar. Monetary policy stance of the global central banks, measured via a natural-language-based approach, has a large effect on exchange...
Persistent link: https://www.econbiz.de/10012850036
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On Quantitative Easing and High Frequency Exchange Rate Dynamics
Kenourgios, Dimitris - 2015
affected in mean and volatility. The empirical results indicate: (i) a direct negative impact on GBP and JPY and no effect of … their volatility around the QE announcements of the corresponding central banks, (ii) a delayed devaluation of EUR and an … increase of its volatility before and after the ECB's announcements. Furthermore, the behavior of dynamic conditional …
Persistent link: https://www.econbiz.de/10013028646
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Unconventional monetary policy under appreciation pressure : the role of financial frictions
Aregger, Nicole; Leutert, Jessica - 2017 - This draft: September 2017
We build a two-country model with imperfect financial intermediation. Banks face limits to arbitrage which lead to positive excess returns in the investment markets and a risk premium in the international credit market. Gross capital flows affect the exchange rate since banks are balance sheet...
Persistent link: https://www.econbiz.de/10011742713
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Central bank information shocks and exchange rates
Franz, Thorsten - 2020 - This version: February 2020
The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...
Persistent link: https://www.econbiz.de/10012180641
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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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Exchange rate pass-through in Russia
Ponomarev, Jurij; Trunin, Pavel V.; Uljukaev, Aleksej V. - 2014
assessments on different sub-periods and exchange rate volatility effect on pass-through are also provided. …
Persistent link: https://www.econbiz.de/10011398366
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Dynamic demand adjustment and exchange rate volatility
Corbo, Vesna - 2014
exchange rate persistence in the presence of interest rate smoothing. A high volatility of the exchange rate turns out to be …
Persistent link: https://www.econbiz.de/10010437790
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Home Bias, Exchange Rate Disconnect, and Optimal Exchange Rate Policy
Wang, Jian - 2015
in consumption is important to duplicate the exchange rate volatility and exchange rate disconnect documented in the data … volatility while leaving the volatility of real macroeconomic variables, such as GDP, almost untouched. The model predicts the … volatility of the real exchange rate relative to that of GDP increases with the extent of home bias. This relation is strongly …
Persistent link: https://www.econbiz.de/10012707889
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Real exchange rate decompositions
Feunou, Bruno; Fontaine, Jean-Sébastien; Krohn, Ingomar - 2022
We provide a novel daily decomposition of the real exchange rate that exploits a direct link between bond and foreign exchange (FX) markets. Real exchange rate dynamics can be attributed to changes in the expected future level of the exchange rate; cross-country differentials of expected...
Persistent link: https://www.econbiz.de/10013175434
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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