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Sources of euro real exchange rate fluctuations : what is behind the euro weakness in 1999-2000?

Döpke, Jörg; Gottschalk, Jan; Kamps, Christophe - 2001

This paper analyzes the factors underlying the weakness of the euro. For this purpose, the framework advocated by Clarida and Gali (1994) is used. Within this model, three structural shocks drive the dynamics of the endogenous variables: aggregate supply shocks, aggregate spending shocks, and...

Persistent link: https://www.econbiz.de/10011473872

Forward and Spot Exchange Rates in a Multi-Currency World

Hassan, Tarek A. - 2017

Separate literatures study violations of uncovered interest parity using regression-based and portfolio-based methods. We propose a decomposition of these violations into a cross-currency, a between-time-and-currency, and a cross-time component that allows us to analytically relate...

Persistent link: https://www.econbiz.de/10012974287

Testing for UIP : nonlinearities, monetary announcements and interest rate expectations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...

Persistent link: https://www.econbiz.de/10012508617

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

An investigation into the sources of depreciations in Mongolian Tugrik exchange rate : a structural VAR approach

Ganbayar, Gunbileg - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-16

years after a nominal shock hits the economy. The long-run effect of a monthly one standard deviation nominal shock on … indicates that the nominal shock plays a significant role in explaining the depreciation in nominal MNT exchange rate over the … last three decades. Our recommendation is to stop “cash handling” policy, minimize monetary shock, and coordinate fiscal …

Persistent link: https://www.econbiz.de/10012795308

Effects of monetary policy on the $/£ exchange rate : is there a 'delayed overshooting puzzle'?

Heinlein, Reinhold; Krolzig, Hans-Martin - 2011

The determination of the $/£ exchange rate is studied in a small symmetric macroeconometric model including UK-US differentials in inflation, output gap, short and long-term interest rates for the four decades since the breakdown of Bretton Woods. The key question addressed is the possible...

Persistent link: https://www.econbiz.de/10009410483

U.S. Dollar Dynamics : How Important are Policy Divergence and FX Risk Premiums?

Balakrishnan, Ravi - 2016

We investigate the drivers of dynamics of major U.S. FX bilaterals. We first construct a novel measure of FX risk premiums using Consensus exchange rate forecasts. We then use VAR analysis to show that (i) risk premium shocks play a key role in driving dynamics of the major U.S. FX bilaterals;...

Persistent link: https://www.econbiz.de/10012977825

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

Covered Interest Parity Arbitrage

Rime, Dagfinn - 2020

To understand deviations from Covered Interest Parity (CIP) it is crucial to account for heterogeneity in funding costs---both across banks and currency areas. For most market participants, the no-arbitrage relation holds fairly well when implemented using marginal funding costs and risk-free...

Persistent link: https://www.econbiz.de/10012854893

Dollar safety and the global financial cycle

Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno - 2019

We build a model of the global financial cycle with one key ingredient: the demand for safe dollar assets. The model matches patterns of dollar borrowing and currency mismatch, the U.S. external balance sheet, low U.S. interest rates and exorbitant privilege, spillovers of the U.S. monetary...

Persistent link: https://www.econbiz.de/10012065173

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