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The Bitcoin-macro disconnect
Benigno, Gianluca; Rosa, Carlo - 2023
This paper investigates the link between Bitcoin and macroeconomic fundamentals by estimating the impact of … macroeconomic news on Bitcoin using an event study with intraday data. The key result is that, unlike other U.S. asset classes …, Bitcoin is orthogonal to monetary and macroeconomic news. This disconnect is puzzling as unexpected changes in discount rates …
Persistent link: https://www.econbiz.de/10013548985
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Real-time price discovery in stock, bond and foreign exchange markets
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2004
We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...
Persistent link: https://www.econbiz.de/10010298290
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Real-time price discovery in stock, bond and foreign exchange markets
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004
We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...
Persistent link: https://www.econbiz.de/10010958800
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Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004
We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...
Persistent link: https://www.econbiz.de/10005022409
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Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Department of Economics, University of Pennsylvania - 2003
We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high frequency futures returns for each of the markets. We find that news surprises produce conditional mean...
Persistent link: https://www.econbiz.de/10005126708
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Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - School of Economics and Management, University of Aarhus - 2007
Using a unique high-frequency futures dataset, we characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We find that news produces conditional mean jumps, hence high-frequency stock, bond and exchange rate dynamics...
Persistent link: https://www.econbiz.de/10005440071
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The Case for a Wholesale Central Bank Digital Currency Architecture
Hamdy, Mohammad - 2023
Among the countries currently considering issuing a central bank digital currency (CBDC), including nearly all of G20, there is a strong preference for a retail CBDC made available to the general public through private intermediaries. This Policy Brief sheds light on the technical complexities...
Persistent link: https://www.econbiz.de/10014348596
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Central Bank Digital Currency with Adjustable Interest Rate in Small Open Economies
George, Ammu - 2020
We examine the economic consequences of an interest-bearing design of the Central-Bank Digital Currency (CBDC), and extend the discussion to an open-economy context with trade and capital flows. We use a dynamic stochastic general equilibrium (DSGE) model to simulate a baseline scenario with...
Persistent link: https://www.econbiz.de/10012833531
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Capitals controls and macroprudential measures: What are they good for?
Forbes, Kristin; Fratzschner, Marcel; Straub, Roland - 2013
Are capital controls and macroprudential measures successful in achieving their objectives? Assessing their effectiveness is complicated by selection bias and endogeneity; countries which change their capital-flow management measures (CFMs) often share specific characteristics and are responding...
Persistent link: https://www.econbiz.de/10010327856
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Bubble thy neighbor: portfolio effects and externalities from capital controls
Forbes, Kristin; Fratzscher, Marcel; Kostka, Thomas; … - 2012
We use changes in Brazil’s tax on capital inflows from 2006 to 2011 to test for direct portfolio effects and externalities from capital controls on investor portfolios. The analysis is structured based on information from investor interviews. We find that an increase in Brazil’s tax on...
Persistent link: https://www.econbiz.de/10011605501