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Financial Spillovers to Emerging Economies : the Role of Exchange Rates and Domestic Fundamentals

Ciarlone, Alessio - 2020

Financial integration of emerging economies is on the rise and so are financial and monetary spillovers, especially those originating from US economic policy decisions and the (related) evolution of the US dollar. We revisit the “trilemma” vs. “dilemma” hypothesis and assess whether, and...

Persistent link: https://www.econbiz.de/10012824769

The Commodity Currency Puzzle

Powers, Thomas - 2015

Commodity-exporting countries have persistently high real interest rates and currency excess returns. To explain this fact, I adapt a classic idea: labor cost disease, or the Balassa-Samuelson effect. Commodity booms raise wages in exporter countries, and thus make local goods and services less...

Persistent link: https://www.econbiz.de/10013011388

Banks' Foreign Currency Exposure and the Real Effects of Exchange Rate Shocks

Agarwal, Isha - 2020

This paper shows that banks' net foreign currency exposure is an important channel through which exchange rate shocks get transmitted to the real economy. I construct a new dataset on net foreign currency exposures of Swiss banks and exploit the large and unanticipated currency appreciation...

Persistent link: https://www.econbiz.de/10012852148

The Renminbi Central Parity : An Empirical Investigation

Cheung, Yin-Wong - 2016

On August 11 2015, China revamped its procedure of setting the official central parity of the renminbi (RMB) against the US dollar. Our empirical investigation shows that the intertemporal dynamics of China's central parity are not the same before and after this policy change. They are more...

Persistent link: https://www.econbiz.de/10012986235

Exchange Rate Parities and Taylor Rule Deviations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

This paper investigates the PPP and UIP conditions by taking into account possible nonlinearities as well as the role of Taylor rule deviations under alternative monetary policy frameworks. The analysis is conducted using monthly data from January 1993 to December 2020 for five...

Persistent link: https://www.econbiz.de/10013236279

The Geography of Exchange Rate Disconnect

Bakshi, Gurdip; Crosby, John; Gao Bakshi, Xiaohui - 2021

This paper proposes a measure of exchange rate disconnect. Working in a two-currency international economy, our theory implies that the disconnect is the ratio of two martingales. Weanalyze empirically our measure of disconnect using 406 pairs of economies to reveal a geography of disconnect....

Persistent link: https://www.econbiz.de/10013242011

Currency Value

Menkhoff, Lukas - 2015

We assess the properties of currency value strategies based on real exchange rates in a cross-sectional portfolio setting. We find that real exchange rates predict currency excess returns, but in a way that is inconsistent with the notion of currency value because a high valuation level...

Persistent link: https://www.econbiz.de/10013032642

Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons

Zhang, Hui Jun - 2015

countries (Canada, Australia, Norway, Chile), over the period 1986-2015. To go beyond pure significance tests of Granger non-causality … and provide a relatively complete picture of the links, measures of the strength of causality for different horizons and … conditions and short-term interest rates) causality measures are considered, and allowance for “dollar effects” is made by …

Persistent link: https://www.econbiz.de/10013034533

Currency Value

Menkhoff, Lukas - 2015

Persistent link: https://www.econbiz.de/10013035463

The Renminbi Central Parity : An Empirical Investigation

Cheung, Yin-Wong; Hui, Cho-Hoi; Tsang, Andrew - 2021

On August 11, 2015, China revamped its procedure for setting the official central parity of the renminbi (RMB) against the US dollar. Our empirical investigation suggests that the intertemporal dynamics of China’s central parity shifted after this policy change, though the deviation of the RMB...

Persistent link: https://www.econbiz.de/10013315458