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External shocks and FX intervention policy in emerging economies

Carrasco, Alex; Florián Hoyle, David - 2021

This paper discusses the role of sterilized foreign exchange (FX) interventions as a monetary policy instrument for emerging market economies in response to external shocks. We develop a model for a commodity-exporting small open economy in which FX intervention is considered as a balance sheet...

Persistent link: https://www.econbiz.de/10012616248

Preemptive Policies and Risk-Off Shocks in Emerging Markets

Das, Mitali; Gopinath, Gita; Kalemli-Ozcan, Sebnem - 2022

We show that “preemptive” capital flow management measures (CFM) can reduce emerging markets and developing countries’ (EMDE) external finance premia during risk-off shocks, especially for vulnerable countries. Using a panel dataset of 56 EMDEs during 1996–2020 at monthly frequency, we...

Persistent link: https://www.econbiz.de/10013295150

Determining underlying macroeconomic fundamentals during emerging market crises: Are conditions as bad as they seem?

Aguiar, Mark; Broner, Fernando - Department of Economics and Business, Universitat … - 2001

Emerging market crises are characterized by large swings in both macroeconomic fundamentals and asset prices. The economic significance of observed movements in macroeconomic variables is obscured by the brief and extreme nature of crises. In this paper we propose to study the macroeconomic...

Persistent link: https://www.econbiz.de/10005707990

Macroeconomic determinants of foreign exchange rate exposure

Fuchs, Fabian U. - 2020

over the period 1995 to 2017. I find strong evidence that the after-hedging exposures of potential exporters are affected …

Persistent link: https://www.econbiz.de/10012158943

Better more than one : portfolio currency pricing and exchange rate hedging

Sokolova, Maria V. - 2016 - This version: March 2016

the concept of "exchange rate hedging costs" into the existent literature on currency choice. These costs are firm … rate hedging costs will be using only one currency, but still continue exporting to the destination. …

Persistent link: https://www.econbiz.de/10011478552

Foreign exchange rate exposure of companies under dynamic regret

Entrop, Oliver; Fuchs, Fabian U. - 2020

optimal hedge ratio given the outcome of past hedging decisions and future expectations. The model implies that the optimal … 2015 and find strong evidence for the model's predictions. By adding a dynamic regret approach to the hedging and FX … literature we shed further light on the rationale behind selective hedging. …

Persistent link: https://www.econbiz.de/10012158926

Implicit currency carry trades of companies

Entrop, Oliver; Fuchs, Fabian U. - 2020

The currency carry trade (CCT) strategy - borrowing in low-interest-rate currencies and investing in high-interest-rate currencies - has been found to generate excess returns that cannot be explained by common risk factors. We argue that companies implicitly execute carry trades, when they have...

Persistent link: https://www.econbiz.de/10012158939

Price setting transactions and the role of denominating currency in FX markets

Friberg, Richard; Wilander, Fredrik - 2007

This report, commissioned by Sveriges Riksbank, examines the role of currency denomination in international trade transactions. It is divided in two parts. The first part consists of a survey of the price setting and payment practices of a large sample of Swedish exporting firms. The second part...

Persistent link: https://www.econbiz.de/10010320795

Estimating exchange rate exposure over various return horizons : focusing on major countries in East Asia

Lee, Jeong Wook; Ahn, Sunghee; Kang, Sam-mo - In: East Asian economic review 20 (2016) 4, pp. 469-491

In this paper, we estimate the exchange rate exposure, indicating the effect of exchange rate movements on firm values, for a sample of 1,400 firms in seven East Asian countries. The exposure estimates based on various exchange rate variables, return horizons and a control variable are compared....

Persistent link: https://www.econbiz.de/10011765037

Price Setting Transactions and the Role of Denominating Currency in FX Markets

Friberg, Richard; Wilander, Fredrik - Sveriges Riksbank - 2007

Persistent link: https://www.econbiz.de/10005649065