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Central Bank Swap Lines : Micro-level Evidence
Ferrara, Gerardo; Mueller, Philippe; Viswanath-Natraj, … - 2022
In this paper we investigate the price, volatility and micro-level effects of central bank swap lines during the 2020 … pandemic. These policies lowered the ceiling on covered interest rate parity violations and reduced volatility following …
Persistent link: https://www.econbiz.de/10013289210
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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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The impacts of global risk and US monetary policy on US Dollar exchange rates and excess currency returns
Bernoth, Kerstin; Herwartz, Helmut; Trienens, Lasse - 2023
We examine the causal relationship between US monetary policy shocks, exchange rates and currency excess returns for a sample of eight advanced countries over the period 1980M1 to 2022M11. We find that the dynamics of the US dollar exchange rate is the main driver of currency excess returns. The...
Persistent link: https://www.econbiz.de/10014305726
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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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The consequences of exchange rate fluctuations on Nigeria's economic performance : an autoregressive distributed lag (ARDL) approach
Iheanachor, Nkemdilim; Ozegbe, Azuka Elvis - In: International journal of management, economics and … 10 (2021) 2/3, pp. 68-87
This study examined the effects of persistent exchange rate fluctuations on Nigeria's economic performance. It was motivated by the quest to ascertain why concerted efforts of the monetary authorities in Nigeria to pursue internal and external balances yielded little or no positive results in...
Persistent link: https://www.econbiz.de/10012705698
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Taxonomy of global risk, uncertainty, and volatility measures
Datta, Deepa Dhume; Londono, Juan M.; Sun, Bo; Beltran, … - 2017
calculated. Therefore, in this paper, we review the literature on global risk, uncertainty, and volatility measures drawing on …
Persistent link: https://www.econbiz.de/10011780277
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Risk, Uncertainty and Monetary Policy in a Global World
Bekaert, Geert - 2020
Since the global financial crisis, there has been renewed interest in understanding how monetary policy shocks transmit across countries through risk variables, spurring a literature on the "global financial cycle." This paper studies how (conventional and unconventional) monetary policy shocks...
Persistent link: https://www.econbiz.de/10012834260
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Risk, monetary policy and asset prices in a global world
Bekaert, Geert; Hoerova, Marie; Xu, Nancy R. - 2023
We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating between "traditional" monetary policy and communication events, each decomposed into "pure" and information shocks. Communication shocks from the US spill over to risk in the...
Persistent link: https://www.econbiz.de/10014483035
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The effect of Central Bank transparency on exchange rate volatility
Weber, Christoph S. - 2017
. This leads to the question of which effect central bank transparency has on the volatility of exchange rates. According to … exchange rate volatility depends on the development of countries. While there is no effect of central bank transparency in the …
Persistent link: https://www.econbiz.de/10011722975
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Central Bank Reserves and Currency Volatility
Ferreira, Alex Luiz - 2020
We investigate the effects of Central Bank interventions which are designed to smooth exchange rate volatility but are …
Persistent link: https://www.econbiz.de/10012848812