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Identifying the effects of monetary policy shocks on exchange rates using high frequency data

Faust, Jon; Rogers, John H.; Swanson, Eric; Wright, … - 2002

autoregression. Using high-frequency data on the prices of eurodollar contracts, we measure the impact of the surprise component of …

Persistent link: https://www.econbiz.de/10011604213

China's dominance hypothesis and the emergence of a tri-polar global currency system

Fratzscher, Marcel; Mehl, Arnaud - 2011

This paper assesses whether the international monetary system is already tripolar and centred around the US dollar, the euro and the Chinese renminbi (RMB). It focuses on what we call China’s “dominance hypothesis”, i.e. whether the renminbi is already the dominant currency in Asia,...

Persistent link: https://www.econbiz.de/10011605438

Capital controls and foreign exchange policy

Fratzscher, Marcel - 2012

The empirical analysis of the paper suggests that an FX policy objective and concerns about an overheating of the domestic economy have been the two main motives for the (re-)introduction and persistence of capital controls over the past decade. Capital controls are strongly associated with...

Persistent link: https://www.econbiz.de/10011605460

Oil prices, exchange rates and asset prices

Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - 2014

This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and … asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a … bidirectional causality between the US dollar and oil prices since the early 2000s. Moreover, both oil prices and the US dollar are …

Persistent link: https://www.econbiz.de/10011605734

The Global Macroeconomics of a Trade War: The EAGLE model on the US-China trade conflict

Bolt, Wilko; Mavromatis, Kostas; van Wijnbergen, Sweder - 2019

We study the global macroeconomic effects of tariffs using a multiregional, general equilibrium model, EAGLE, that we extend by introducing US tariffs against Chinese imports into the US, and subsequently Chinese tariffs against US imports into China, consistent with recent trade policies by the...

Persistent link: https://www.econbiz.de/10012114768

The crisis in the foreign exchange market

Melvin, Michael; Taylor, Mark P. - 2009

The financial crisis of 2007-2008 had major implications for the foreign exchange market. We review events and implications for exchange rates, volatility, returns to currency investing, and transaction costs. This blow-by-blow" narrative is intended to be a resource for researchers seeking a...

Persistent link: https://www.econbiz.de/10010266026