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An intermediation-based model of exchange rates
Malamud, Semyon; Schrimpf, Andreas - 2018 - This version: June 5, 2018
We develop a general equilibrium model with intermediaries at the heart of international financial markets. Global intermediaries bargain with households and extract rents for providing access to foreign claims. The behavior of intermediaries, by tilting state prices, breaks monetary neutrality...
Persistent link: https://www.econbiz.de/10011877302
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Global uncertainty and potential shelters : gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets
Feder-Sempach, Ewa; Szczepocki, Piotr; Bogołębska, Joanna - In: Financial innovation : FIN 10 (2024), pp. 1-23
primary world stock market indices-the S&P 500, Financial Times Stock Exchange (FTSE) 100, DAX, STOXX Europe 600, and Nikkei … the Russian invasion of Ukraine in 2022, and an international investor perspective focusing on the world's leading stock … markets. We extend earlier studies by analyzing the interrelations of the world's lead‑ ing stock market indices with fve …
Persistent link: https://www.econbiz.de/10014541628
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The interdependence of gold, US dollar and stock market in the context of COVID-19 pandemic : an insight into analysis in Asia and Europe
Oanh Kim Thi Tran; Ha Nguyen - In: Cogent economics & finance 10 (2022) 1, pp. 1-18
Using the panel data vector autoregression (PVAR) model, this study examines the correlation between the stock market, gold price and USD exchange rate in the context of the COVID-19 pandemic in 55 Asian and 32 European countries from 11 March 2021 to 29 October 2021. The results of Granger...
Persistent link: https://www.econbiz.de/10014500215
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Covered Interest Parity Deviations : Macrofinancial Determinants
Cerutti, Eugenio - 2019
For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely-even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macro...
Persistent link: https://www.econbiz.de/10012892902
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Breaking par : short-term determinants of yen-dollar swap deviations
Angrick, Stefan; Nemoto, Naoko - 2018
spreads opening up in these markets provide an incentive for cross-border financial flows and corresponding hedging demand …
Persistent link: https://www.econbiz.de/10011893926
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The financial channel of the exchange rate and global trade
Ma, Sai; Schmidt-Eisenlohr, Tim - 2023
This paper provides evidence that the U.S. dollar affects countries' exports through the financial channel of the exchange rate (Bruno and Shin (2015)). Using global data on trade between countries whose currency is not the U.S. dollar, it documents a positive relationship between the dollar and...
Persistent link: https://www.econbiz.de/10014293276
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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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Oil, gold, US dollar and stock market interdependencies : a global analytical insight
Arfaoui, Mongi; Ben Rejeb, Aymen - In: European journal of management and business economics : … 26 (2017) 3, pp. 278-293
Persistent link: https://www.econbiz.de/10011823435
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The Global Dollar Cycle
Obstfeld, Maurice; Zhou, Haonan - National Bureau of Economic Research - 2023
cyclical pattern. Over that cycle, world asset prices, leverage, and capital flows move in concert with global growth …
Persistent link: https://www.econbiz.de/10014247924
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The euro and international capital markets
Detken, Carsten; Hartmann, Philipp - 2000
This paper provides a broad empirical examination of the major currencies' roles in international capital markets, with a special emphasis on the first year of the euro. A contribution is made as to how to measure these roles, both for international financing as well as for international...
Persistent link: https://www.econbiz.de/10009767695