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Does the Euro Make a Difference? Spatio-Temporal Transmission of Global Shocks to Real Effective Exchange Rates in an Infinite VAR

Bussière, Matthieu - 2011

dollar shock, generalised impulse response function shocks and a global shock to risk aversion. Our results show that the way … depends crucially on the nature of the shock. This result is noteworthy given the apparent divergence in competitiveness …

Persistent link: https://www.econbiz.de/10013130602

Modeling Covered Interest Parity Deviations - A Structural VAR Approach

Rao, Vadhindran K. - 2012

postulated – a country risk premium shock, an inflation rate differential shock and a forward market shock. Long run restrictions …

Persistent link: https://www.econbiz.de/10013113971

Asset Price, the Exchange Rate, and Trade Balances in China : A Sign Restriction VAR Approach

Kim, Wongi - 2018

Although asset price is an important factor in determining changes in external balances, no studies have investigated it from the Chinese perspective. In this study, I empirically examine the underlying driving forces of China's trade balances, particularly the role of asset price and the real...

Persistent link: https://www.econbiz.de/10012909657

Are US-Dollar-Hedged-ETF Investors Aggressive on Exchange Rates? A Panel VAR Approach

Shank, Corey A. - 2017

Exchange traded funds (ETFs) are a multi-trillion dollar market that epitomizes financialization due to its recent growth. This study examines the behavior of U.S. listed currency hedged ETF investors towards changes in the underlying benchmark and foreign exchange rate from July 2011 to...

Persistent link: https://www.econbiz.de/10012969245

Portfolio rebalancing in times of stress

Fischer, Andreas M.; Greminger, Rafael P.; Grisse, Christian - In: Journal of international money and finance 113 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10012798510

The impact of real exchange rate on international trade : evidence from panel structural VAR model

Aslan, Çağlayan; Çepni, Oğuzhan; Gül, Selçuk - In: Journal of international trade & economic development : … 30 (2021) 6, pp. 829-842

Persistent link: https://www.econbiz.de/10012608927

Restrictive US trade policy has a significantly negative effect on financial markets

Boer, Lukas; Menkhoff, Lukas; Rieth, Malte - In: DIW weekly report : economy, politics, science : a … 11 (2021) 31, pp. 219-225

With its America First strategy, the former US administration turned away from an internationally oriented trade policy. It attempted to assert its interests, especially vis-à-vis China, with bilateral and mostly restrictive measures such as import tariffs. This Weekly Report shows that the...

Persistent link: https://www.econbiz.de/10012612721

Innovation Accounting with Incomplete Identification of a Structural VAR – An Application to Exchange Rates

Rao, Vadhindran K. - 2015

Two main objectives of Structural Vector AutoRegression (SVAR) modeling are recovering structural shocks from reduced form shocks and Impulse-Response Analysis and Forecast error variance decomposition. As is well known, the first of these is possible only if the number of structural shocks is...

Persistent link: https://www.econbiz.de/10013036425

Some Empirical Evidence on the Effects of Monetary Policy Shocks on Exchange Rates

Eichenbaum, Martin; Evans, Charles L. - 2021

rates. The temporal pattern of the depreciation in U.S. nominal exchange rates following a positive monetary policy shock is …

Persistent link: https://www.econbiz.de/10013243942

The Impact of Monetary Policy and Exchange Rate Shocks in Poland : Evidence from a Time-Varying VAR

Arratibel, Olga - 2014

-2012) in the Polish economy. The empirical findings show that: (1) output appears more responsive to an interest rate shock at … the beginning of our sample. Since 2000, absorbing this shock has become less costly in terms of output, notwithstanding … some reversal since the beginning of the global financial crisis. The exchange rate shock also has a time-varying effect on …

Persistent link: https://www.econbiz.de/10013060040