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Identifying the weights in exchange market pressure

Klaassen, Franc - 2011

Exchange market pressure (EMP) measures the pressure on a currency to depreciate. It adds to the actual depreciation a weighted combination of policy instruments used to ward off depreciation, such as interest rates and foreign exchange interventions, where the weights are their effectiveness....

Persistent link: https://www.econbiz.de/10011383120

Identifying the Weights in Exchange Market Pressure

Klaassen, Franc - 2011

Exchange market pressure (EMP) measures the pressure on a currencyto depreciate. It adds to the actual depreciation a weightedcombination of policy instruments used to ward off depreciation,such as interest rates and foreign exchange interventions, where theweights are their effectiveness. The...

Persistent link: https://www.econbiz.de/10010325985

Central bank information shocks and exchange rates

Franz, Thorsten - 2020 - This version: February 2020

The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...

Persistent link: https://www.econbiz.de/10012180641

Interest rate rules, exchange market pressure, and successful exchange rate management

Klaassen, Franc; Mavromatis, Kostas - 2016

Central banks with an exchange rate objective set the interest rate in response to what they call "pressure." Instead, existing interest rate rules rely on the exchange rate minus its target. To stay closer to actual policy, we introduce a rule that uses exchange market pressure (EMP), the...

Persistent link: https://www.econbiz.de/10011479735

The Impact of FX Central Bank Intervention in a Noise Trading Framework

De Grauwe, Paul; Grimaldi, Marianna; Beine, Michel A. R. - 2021

In this paper we investigate the effects of central bank interventions (CBI) in a noise trading model with chartists and fundamentalists. We first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a mean reverting dynamics of the exchange rate towards a...

Persistent link: https://www.econbiz.de/10013318288

Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets

Ledenyov, Dimitri - 2015

exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …

Persistent link: https://www.econbiz.de/10013013057

The impact of a political shock on foreign exchange markets in a small and open economy : a dynamic modelling approach

Onour, Ibrahim A.; Sergi, Bruno S. - In: Journal of central banking theory and practice 10 (2021) 3, pp. 137-152

This paper aims to analyse the dynamics of foreign exchange markets in a country facing political uncertainty that prompt capital outflow from the country. The economic environment under investigation is characterized by dual foreign exchange markets: a formal or official market for foreign...

Persistent link: https://www.econbiz.de/10012650924

Inflation targeting in Colombia, 2002 - 2012

Urrutia, Miguel; Hofstetter Gascón, Marcel; Hamann S., … - 2014

After decades using monetary aggregates as the main instrument of monetary policy and having different varieties of crawling peg exchange rate regimes, Colombia adopted a full-fledged inflation-targeting (IT) regime in 1999, with inflation as the nominal anchor, a floating exchange rate, and the...

Persistent link: https://www.econbiz.de/10011285649

Inflation, Monetary Transparency, and G3 Exchange Rate Volatility

Kuttner, Kenneth N.; Posen, Adam S. - 2000

There is a tension between pre-float instincts that a more disciplined monetary policy should diminish exchange rate volatility with the apparent reality that macroeconomic fundamentals do not drive G3 exchange rates in the short-run. The recent movement towards greater transparency in monetary...

Persistent link: https://www.econbiz.de/10014148858

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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