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Forward guidance and financial stability in a model of optimal central bank swap lines
Yun, Tack - In: Seoul journal of economics 28 (2015) 2, pp. 237-264
Persistent link: https://www.econbiz.de/10011311646
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Dollar illiquidity and central bank swap arrangements during the global financial crisis
Rose, Andrew; Spiegel, Mark - In: Journal of international economics 88 (2012) 2, pp. 326-340
Persistent link: https://www.econbiz.de/10009691854
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Central banks swaps and international dollar illiquidity
Rose, Andrew; Spiegel, Mark - In: Global journal of economics 1 (2012) 1, pp. 201-220
Persistent link: https://www.econbiz.de/10009670832
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The Fed's international dollar liquidity facilities: new evidence on effects
Goldberg, Linda S.; Ravazzolo, Fabiola - 2021
In March 2020, the Federal Reserve eased the terms on its standing swap lines in collaboration with other central banks …, reactivated temporary swap agreements, and then introduced the new Foreign and International Monetary Authorities (FIMA) Repo … Facility. We provide new evidence on how the central bank swap lines and FIMA Repo Facility can reduce strains in global dollar …
Persistent link: https://www.econbiz.de/10012797880
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Essays on FX variance risk premium, monetary policy and currency returns
Pozdeev, Igor - 2020
overnight index swap (OIS) rates to forecast the path of future monetary policy. We first document no significant risk premium … embedded in swap rates for maturities up to one year, which enables them to be unbiased predictors of future OIS underlying …
Persistent link: https://www.econbiz.de/10012214090
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Three essays on international finance
Borisenko, Dmitrij - 2019
This thesis contributes to three major fields in the international finance literature: forward premium anomaly, monetary policy and exchange rate determination, and measuring monetary policy expectations from asset prices. In the first chapter, I develop a production-based asset pricing model...
Persistent link: https://www.econbiz.de/10011992377
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Overnight index swap rates as forecasts of monetary policy
Borisenko, Dmitrij; Pozdeev, Igor - In: Three essays on international finance, (pp. 92-117). 2019
In the third chapter (jointly with Igor Pozdeev), we document overnight index swaps (OIS) to be unbiased predictors of future short rates in developed economies, bearing no significant risk premium for maturities up to one year. We show that the OIS underlying overnight rates accurately reflect...
Persistent link: https://www.econbiz.de/10011992407
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Central Bank Swap Arrangements and Exchange Rate Volatility : Evidence from China
Yu, Ziliang; Liu, Xiaomeng; Liu, Zhuqing; Li, Yang - 2022
AbstractsWe examine how bilateral currency swap arrangements (BSAs) conducted by the People’s Bank of China affects …. These findings contribute to the study of central bank swap and Renminbi internationalization …
Persistent link: https://www.econbiz.de/10014078921
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Central bank swap arrangements and exchange rate volatility : evidence from China
Yu, Ziliang; Liu, Xiaomeng; Liu, Zhuqing; Li, Yang - In: Emerging markets review 56 (2023), pp. 1-24
Persistent link: https://www.econbiz.de/10014478642
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Monetary policy, default risk and the exchange rate
Gonçalves, Carlos Eduardo Soares; Guimarães, Bernardo - 2007
Persistent link: https://www.econbiz.de/10003574538