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  1. Do Foreign Yield Curves Predict U.S. Recessions and GDP Growth?
    Autor*in: Ahmed, Rashad; Chinn, Menzie David
    Erschienen: December 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    This paper shows that foreign term spreads constructed from bond yields of non-U.S. G-7 constituents predict future U.S. recessions and that foreign term spreads are stronger predictors of U.S. recessions occurring within the next year than U.S. term... mehr

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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    This paper shows that foreign term spreads constructed from bond yields of non-U.S. G-7 constituents predict future U.S. recessions and that foreign term spreads are stronger predictors of U.S. recessions occurring within the next year than U.S. term spreads. U.S. and foreign term spreads are both informative of the U.S. economy but over different horizons and for different components of economic activity. Smaller U.S. term spreads lead to smaller foreign term spreads and U.S. Dollar appreciation. Smaller foreign term spreads do not lead to significant U.S. Dollar depreciation but do lead to persistent declines in U.S. exports and FDI flows into the United States. These findings are consistent with the proposition that foreign term spreads embed growth spillovers from the U.S. and the resulting Dollar strength and slowdown abroad spill back to the United States

     
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    Schriftenreihe: NBER working paper series ; no. w30737
    Schlagworte: Prognoseverfahren; Wirtschaftsprognose; Staatspapier; Zinsstruktur; Wechselkurs; Welt; USA; Interest Rates: Determination, Term Structure, and Effects; General
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  2. Non-Fundamental Flows and Foreign Exchange Rates
    Autor*in: Aldunate, Felipe E.; Da, Zhi; Larrain, Borja; Sialm, Clemens
    Erschienen: December 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    Frequent, yet uninformed, fund flows in Chilean pension plans generate substantial trading in currency markets due to the high allocation to international securities. These non-fundamental flows have a significant impact on the Chilean peso, which is... mehr

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    Frequent, yet uninformed, fund flows in Chilean pension plans generate substantial trading in currency markets due to the high allocation to international securities. These non-fundamental flows have a significant impact on the Chilean peso, which is estimated to have a relatively low price elasticity of 0.81. Hedging by the banking sector propagates the price pressure to currency forward markets and results in violations of the covered interest rate parity. Using trading data and bank balance sheet data, we confirm that regulatory requirements and banks' risk bearing constraints create limits of arbitrage

     
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  3. Essays on frictional financial markets
    Autor*in: Somogyi, Fabricius
    Erschienen: 2022

    This dissertation consists of three essays that uncover the origins of market frictions and their implications for the functioning of the global foreign exchange (FX) market. The first research paper speaks to the hegemony of the US dollar in FX... mehr

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    This dissertation consists of three essays that uncover the origins of market frictions and their implications for the functioning of the global foreign exchange (FX) market. The first research paper speaks to the hegemony of the US dollar in FX trading. Over 85% of all FX transactions involve the US dollar, despite the United States accounting for less than one quarter of global economic activity. I show both theoretically and empirically that the US dollar dominates FX volumes because FX market participants are strategic about their trading costs. Hence, they avoid directly transacting in non-dollar currency pairs if the expected trading cost is too large. Instead, market participants exchange non-dollar pairs indirectly by using the US dollar as a vehicle currency. That is, market participants first exchange a non-dollar currency into US dollars, and then trade those US dollars for their target currency. I derive a set of theoretical conditions for currency dominance in FX trading volume. To validate these conditions empirically, I use a granular and globally representative FX trade data set. My empirical findings are consistent with the predictions of my theoretical framework and corroborate the importance of strategic behaviour as a novel determinant of currency dominance. Using a novel identification strategy, I show that up to 36-40% of the daily volume in the most liquid dollar currency pairs are due to vehicle currency trading. The second paper studies the information content of trades in the FX market. Specifically, we analyse a novel, comprehensive order flow data set, distinguishing among different groups of market participants and covering a large cross-section of currency pairs. We find compelling evidence that global FX order flows convey superior information heterogeneously across agents, time, and currency pairs. These findings are consistent with theories of asymmetric information and over-the-counter market fragmentation. A trading strategy based on exposure to asymmetric information risk generates high returns even after accounting for risk, transaction cost, and other common risk factors shown in the FX literature. Finally, the third paper analyses the cross-sectional asset pricing implications of liquidity risk in the FX market. Precisely because of its sheer size and despite its decentralised nature, the FX market is commonly known as one of the most liquid and resilient trading venues. However, a clear understanding of whether FX liquidity matters for asset prices is still missing. This paper aims to fill this gap by providing the first systematic study of the pricing implications of FX liquidity risk. We show that, even in this market, exposure to liquidity risk commands a non-trivial risk premium of up to 4% percent per annum. In particular, systematic (marketwide) and idiosyncratic liquidity risk are not subsumed by existing FX risk factors and successfully price the cross-section of currency returns. However, we also find that liquidity and carry trade premia are significantly correlated. The carry trade is a simple trading strategy that aims to profit from the interest rate differential between high- and low-yielding currencies. The correlation between liquidity and carry trade premia lends support to a liquidity-based explanation of the infamous carry trade risk premium. To illustrate this point, we decompose carry trade returns and show that the commonality with liquidity risk stems from periods of high market stress and is confined to the static but not the dynamic carry trade.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Dissertation
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    Weitere Identifier:
    hdl: 20.500.14171/108276
    5252
    Schlagworte: Wechselkurs; Asymmetrische Information; Liquidität; Handelsvolumen; strategic complementarity; price impact; Dollar dominance; foreign exchange; trading volume
    Umfang: 1 Online-Ressource (circa 173 Seiten), Illustrationen
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    Dissertation, University of St.Gallen, 2022
  4. La dinámica de la inflación doméstica ante cambios en cotizaciones internacionales de commodities, expectativas de inflación y tipo de cambio
    Autor*in: Cornejo, Gerson; Florián Hoyle, David; Ledesma, Alan
    Erschienen: [2022]
    Verlag:  [Banco Central de Reserva del Perú], [Lima, Peru]

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    Schriftenreihe: Serie de documentos de trabajo / Banco Central de Reserva del Perú ; DT. no. 2022, 007 (junio 2022)
    Schlagworte: Inflation; Rohstoffpreis; Energiepreis; Lebensmittelpreis; Wechselkurs; Inflationserwartung; Peru
    Umfang: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  5. Understanding the Strength of the Dollar
    Autor*in: Jiang, Zhengyang; Richmond, Robert J.; Zhang, Tony
    Erschienen: October 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    We link the sustained appreciation of the U.S. dollar from 2011 to 2019 to international capital flows driven by primitive economic factors. We show that increases in foreign investors' net savings, increases in U.S. monetary policy rates relative to... mehr

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    We link the sustained appreciation of the U.S. dollar from 2011 to 2019 to international capital flows driven by primitive economic factors. We show that increases in foreign investors' net savings, increases in U.S. monetary policy rates relative to the rest of the world, and shifts in investor demand for U.S. financial assets contributed approximately equally to the dollar's appreciation. We then quantify the impact of potential future demand shifts for U.S. assets on the value of the dollar

     
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    Schriftenreihe: NBER working paper series ; no. w30558
    Schlagworte: US-Dollar; Wechselkurs; Kapitalmobilität; Gesamtwirtschaftliche Nachfrage; Wirkungsanalyse; USA; Foreign Exchange; International Financial Markets
    Umfang: 1 Online-Ressource, illustrations (black and white)
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  6. Currency Undervaluation and Comparative Advantage
    Autor*in: Bergin, Paul R.
    Erschienen: 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    This paper highlights a tradeoff implied by a policy of export-led growth through currency undervaluation. While undervaluation can foster domestic manufacturing in countries like China by sustaining trade surplus, it also can harm a country's... mehr

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    This paper highlights a tradeoff implied by a policy of export-led growth through currency undervaluation. While undervaluation can foster domestic manufacturing in countries like China by sustaining trade surplus, it also can harm a country's comparative advantage by altering the composition of exports. Undervaluation may discourage specializing in high-value added manufacturing and instead favor specialization in non-differentiated goods with higher price elasticity. A dynamic general equilibrium model of two traded good sectors and capital account restrictions shows that undervaluation can either raise or lower welfare depending on two competing effects on comparative advantage: agglomeration versus an elasticity effect

     
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    Schriftenreihe: NBER working paper series ; no. w29699
    Schlagworte: Wechselkurs; Komparativer Vorteil; Exportinduziertes Wachstum; Theorie; China
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  7. How Can Asset Prices Value Exchange Rate Wedges?
    Autor*in: Lewis, Karen K.; Liu, Edith
    Erschienen: September 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    When available financial securities allow investors to optimally diversify risk across countries, standard theory implies that exchange rates should reflect this behavior. However, exchange rates observed in the data deviate from these predictions.... mehr

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    When available financial securities allow investors to optimally diversify risk across countries, standard theory implies that exchange rates should reflect this behavior. However, exchange rates observed in the data deviate from these predictions. In this paper, we develop a framework to value the welfare costs of these exchange rate wedges, as disciplined by asset returns. This framework applies to a general class of asset pricing and exchange rate models. We further decompose the value of these wedges into components, showing that the ability of goods markets to respond to financial markets through exchange rate adjustment has significant implications for welfare

     
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    Schriftenreihe: NBER working paper series ; no. w30422
    Schlagworte: Internationaler Finanzmarkt; Wechselkurs; CAPM; Offene Volkswirtschaft; Foreign Exchange; Open Economy Macroeconomics; General; International Financial Markets
    Umfang: 1 Online-Ressource, illustrations (black and white)
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  8. Origins of International Factor Structures
    Autor*in: Jiang, Zhengyang; Richmond, Robert J.
    Erschienen: August 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    We show that exchange rate correlations tend to be explained by the global trade network while consumption correlations tend to be explained by productivity correlations. Sharing common trade linkages with other countries increases exchange rate... mehr

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    We show that exchange rate correlations tend to be explained by the global trade network while consumption correlations tend to be explained by productivity correlations. Sharing common trade linkages with other countries increases exchange rate correlations beyond bilateral linkages. We explain these findings using a model of the global trade network with market segmentation. Interdependent global production generates international comovements, while market segmentation disconnects the drivers of exchange rate correlations from the drivers of consumption correlations. Moreover, we show that the trade network generates common factors found in exchange rates. Our findings offer a trade-based account of the origins of international comovements and shed light on important frictions in international markets

     
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    Schriftenreihe: NBER working paper series ; no. w30319
    Schlagworte: Außenhandel; Außenhandelsstruktur; Internationale Wirtschaftsbeziehungen; Marktsegmentierung; Wechselkurs; Foreign Exchange; International Financial Markets
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  9. Global monetary and financial spillovers
    evidence from a new measure of Bundesbank policy shocks
    Autor*in: Cloyne, James S.; Hürtgen, Patrick; Taylor, Alan M.
    Erschienen: [2022]
    Verlag:  Deutsche Bundesbank, Frankfurt am Main

    Identifying exogenous variation in monetary policy is crucial for investigating central bank policy transmission. Using newly-collected archival real-time data utilized by the Central Bank Council of the German Bundesbank, we identify unexpected... mehr

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    Identifying exogenous variation in monetary policy is crucial for investigating central bank policy transmission. Using newly-collected archival real-time data utilized by the Central Bank Council of the German Bundesbank, we identify unexpected changes in German monetary policy from 580 policy meetings between 1974 and 1998. German monetary policy shocks produce conventional effects on the German domestic economy: activity, prices, and credit decline significantly following a monetary contraction. But given Germany's central role in the European Monetary System (EMS), we can also shed light on debates about the international transmission of monetary policy and the relative importance of the U.S. Federal Reserve for the global cycle during these years. We find that Bundesbank policy spillovers were much stronger in major EMS economies with Deutschmark pegs than in non-EMS economies with floating exchange rates. Furthermore, compared to monetary spillovers from the U.S., German spillovers were comparable or even larger in magnitude for both pegs and floats.

     
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    ISBN: 9783957299116
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    hdl: 10419/265430
    Schriftenreihe: Discussion paper / Deutsche Bundesbank ; no 2022, 34
    Schlagworte: Geldpolitik; Geldpolitische Transmission; Wechselkurs; Wechselkurspolitik; Internationaler Finanzmarkt; Europäisches Währungssystem; Deutschland; Monetary policy; Bundesbank; trilemma; exchange rate; spillovers
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  10. Global Monetary and Financial Spillovers
    Evidence from a New Measure of Bundesbank Policy Shocks
    Autor*in: Cloyne, James; Hürtgen, Patrick; Taylor, Alan M.
    Erschienen: September 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    Identifying exogenous variation in monetary policy is crucial for investigating central bank policy transmission. Using newly-collected archival real-time data utilized by the Central Bank Council of the German Bundesbank, we identify unexpected... mehr

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    Identifying exogenous variation in monetary policy is crucial for investigating central bank policy transmission. Using newly-collected archival real-time data utilized by the Central Bank Council of the German Bundesbank, we identify unexpected changes in German monetary policy from 580 policy meetings between 1974 and 1998. German monetary policy shocks produce conventional effects on the German domestic economy: activity, prices, and credit decline significantly following a monetary contraction. But given Germany's central role in the European Monetary System (EMS), we can also shed light on debates about the international transmission of monetary policy and the relative importance of the U.S. Federal Reserve for the global cycle during these years. We find that Bundesbank policy spillovers were much stronger in major EMS economies with Deutschmark pegs than in non-EMS economies with floating exchange rates. Furthermore, compared to monetary spillovers from the U.S., German spillovers were comparable or even larger in magnitude for both pegs and floats

     
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    Schriftenreihe: NBER working paper series ; no. w30485
    Schlagworte: Geldpolitik; Geldpolitische Transmission; Wechselkurs; Wechselkurspolitik; Internationaler Finanzmarkt; Europäisches Währungssystem; Deutschland; Business Fluctuations; Cycles; Monetary Policy; International Policy Coordination and Transmission; International Business Cycles
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  11. Determinants of the exchange rate, its volatility and currency crash risk in Africa's low and lower middle-income countries
    Autor*in: Okot, Anjelo; Kaltenbrunner, Annina; Perez Ruiz, Daniel
    Erschienen: [2022]
    Verlag:  European Investment Bank, Luxembourg

    This paper investigates the determinants of nominal exchange rates, their volatility, and crash risk in Africa's lower and lower-middle income countries (LLMICs). It combines macro-panel estimations for 15 African LLMICs with floating or lightly... mehr

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    This paper investigates the determinants of nominal exchange rates, their volatility, and crash risk in Africa's lower and lower-middle income countries (LLMICs). It combines macro-panel estimations for 15 African LLMICs with floating or lightly managed exchange rates, with insights from 13 semi-structured interviews with 17 foreign exchange market participants in six case study countries. It shows the important role African LLMICs' distinct productive and export structure, concentrated in a few agricultural and mineral-based commodities, and recent financial integration for exchange rate determination. In particular, whereas productive factors such as terms of trade, export concentration, and export prices are found to have a significant impact on the exchange rate level and volatility, financial factors including the interest rate differential, international market conditions, and short-term financial flows, matter for the likelihood of currencies to experience sudden and large exchange rate movements.

     
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    ISBN: 9789286153716
    Weitere Identifier:
    hdl: 10419/265382
    Schriftenreihe: Economics - working papers ; 2022, 12
    Schlagworte: Wechselkurs; Volatilität; Währungsrisiko; Schätzung; Entwicklungsländer; Afrika
    Umfang: 1 Online-Ressource (circa 48 Seiten)
  12. Exchange rate and inflation under weak monetary policy
    turkey verifies theory
    Autor*in: Gürkaynak, Refet S.; Kısacıkoğlu, Burçin; Lee, Sang Seok
    Erschienen: May 2022
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    For the academic audience, this paper presents the outcome of a well-identified, large change in the monetary policy rule from the lens of a standard New Keynesian model and asks whether the model properly captures the effects. For policymakers, it... mehr

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    For the academic audience, this paper presents the outcome of a well-identified, large change in the monetary policy rule from the lens of a standard New Keynesian model and asks whether the model properly captures the effects. For policymakers, it presents a cautionary tale of the dismal effects of ignoring basic macroeconomics. The Turkish monetary policy experiment of the past decade, stemming from a belief of the government that higher interest rates cause higher inflation, provides an unfortunately clean exogenous variance in the policy rule. The mandate to keep rates low, and the frequent policymaker turnover orchestrated by the government to enforce this, led to the Taylor principle not being satisfied and eventually a negative coefficient on inflation in the policy rule. In such an environment, was the exchange rate still a random walk? Was inflation anchored? Does the "standard model" suffice to explain the broad contours of macroeconomic outcomes in an emerging economy with large identifying variance in the policy rule? There are no surprises for students of open-economy macroeconomics; the answers are no, no, and yes.

     
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    Schriftenreihe: CESifo working paper ; no. 9748 (2022)
    Schlagworte: Geldpolitik; Geldpolitische Transmission; Wechselkurs; Inflation; Theorie; Türkei
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  13. A Luna-tic Stablecoin Crash
    Autor*in: Uhlig, Harald
    Erschienen: July 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    After remaining close to 1 US Dollar since its inception in November 2020, the algorithmic stablecoin UST crashed in the two weeks of May 9th to May 15th, 2022, leading to a price collapse of the underlying LUNA token and the erasure of more than 50... mehr

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    After remaining close to 1 US Dollar since its inception in November 2020, the algorithmic stablecoin UST crashed in the two weeks of May 9th to May 15th, 2022, leading to a price collapse of the underlying LUNA token and the erasure of more than 50 Billion U.S. Dollar or 90% in market value I provide a novel theory to account for these phenomena and use it to shed light on the data. I break new ground methodologically by showing how crashes unfold gradually, and by introducing the method of quantitative interpretation. To obtain a gradual unfolding of the crash, I allow for the possibility that the market might return to normal at any moment. Suspension of convertibility happens, once the price has fallen sufficiently far. Agents price LUNA, taking into account these probabilities as well as the ongoing inflow from burning UST coins. Agents sell their UST coins when the probability of an eventual suspension of convertibility exceeds some agent-specific threshold. The implications of the theory are highlighted in an analytically tractable example. The theory is then used as a guide to examine and interpret the data, using bi-hourly observations. I use the observed data to quantify theory variables and use them in turn to interpret the data. I find that the majority of the UST coin holders waited until the probability of suspension was rather high, before deciding to burn their holdings

     
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    Schriftenreihe: NBER working paper series ; no. w30256
    Schlagworte: Virtuelle Währung; Wechselkurs; Finanzkrise; Währungskrise; Stablecoin; Demand for Money; Foreign Exchange; Current Account Adjustment; Short-Term Capital Movements; Financial Crises; Asset Pricing; Trading Volume; Bond Interest Rates; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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  14. Fear of Appreciation and Current Account Adjustment
    Autor*in: Bergin, Paul R.; Kim, Kyunghun; Pyun, Ju Hyun
    Erschienen: July 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    This paper finds that limited exchange rate flexibility in the form of "fear of appreciation" significantly slows adjustment of current account imbalances, providing novel support for Friedman's conjecture regarding exchange-rate flexibility. We... mehr

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    This paper finds that limited exchange rate flexibility in the form of "fear of appreciation" significantly slows adjustment of current account imbalances, providing novel support for Friedman's conjecture regarding exchange-rate flexibility. We present a new stylized fact: floaters have faster convergence than peggers for current account deficits, but not so for surpluses. A striking implication is that current account surpluses are more persistent than deficits on average. We provide evidence that this asymmetry is associated with a one-sided muting of exchange rate appreciations. We develop a multi-country DSGE model augmented with an asymmetric exchange rate policy to represent fear of appreciation; when solved to a third-order approximation, it can explain greater persistence of current account surpluses compared to deficits

     
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    Schriftenreihe: NBER working paper series ; no. w30281
    Schlagworte: Wechselkurs; Außenwirtschaftliches Gleichgewicht; Leistungsbilanz; Wechselkurspolitik; Aufwertung; Monetäre Außenwirtschaftstheorie; Foreign Exchange; International Monetary Arrangements and Institutions; International Business Cycles
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  15. Sanctions and the Exchange Rate
    Autor*in: Itskhoki, Oleg; Mukhin, Dmitry
    Erschienen: April 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    We show that the exchange rate may appreciate or depreciate depending on the specific mix of sanctions imposed, even if the underlying equilibrium allocation is the same. Sanctions that limit a country's imports tend to appreciate the country's... mehr

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    We show that the exchange rate may appreciate or depreciate depending on the specific mix of sanctions imposed, even if the underlying equilibrium allocation is the same. Sanctions that limit a country's imports tend to appreciate the country's exchange rate, while sanctions that limit exports and/or freeze net foreign assets tend to depreciate it. Increased precautionary household demand for foreign currency is another force that depreciates the exchange rate, and it can be offset with domestic financial repression of foreign currency savings. The overall effect depends on the balance of currency demand and currency supply forces, where exports and official reserves contribute to currency supply and imports and foreign currency precautionary savings contribute to currency demand. Domestic economic downturn and government fiscal deficits are additional forces that affect the equilibrium exchange rate. The dynamic behavior of the ruble exchange rate following Russia's military invasion of Ukraine in February 2022 and the resulting sanctions is entirely consistent with the combined effects of these mechanisms

     
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    Schriftenreihe: NBER working paper series ; no. w30009
    Schlagworte: Sanktion; Ausfuhrverbot; Wechselkurs; Rubel; Krieg; Russland; Ukraine; Wechselkurstheorie
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  16. Abundance from Abroad
    Migrant Income and Long-Run Economic Development
    Autor*in: Khanna, Gaurav; Murathanoglu, Emir; Theoharides, Caroline; Yang, Dean
    Erschienen: March 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    How does income from international migrant labor affect the long-run development of migrant-origin areas? We leverage the 1997 Asian Financial Crisis to identify exogenous changes in international migrant income across regions of the Philippines,... mehr

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    How does income from international migrant labor affect the long-run development of migrant-origin areas? We leverage the 1997 Asian Financial Crisis to identify exogenous changes in international migrant income across regions of the Philippines, derived from spatial variation in exposure to exchange rate shocks. The initial shock to migrant income is magnified in the long run, leading to substantial increases in income in the domestic economy in migrant-origin areas; increases in population education; better-educated migrants; and increased migration in high-skilled jobs. Four-fifths of long-run income gains are actually from domestic (rather than international migrant) income. A simple structural model yields insights on mechanisms and magnitudes, in particular that one-fifth of long-run income gains are due to increased educational investments in origin areas. Increased income from international labor migration not only benefits migrants themselves, but also fosters long-run economic development in migrant-origin areas

     
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    Schriftenreihe: NBER working paper series ; no. w29862
    Schlagworte: Arbeitsmigranten; Internationale Migration; Rücküberweisungen; Finanzkrise; Wechselkurs; Entwicklung; Philippinen; Welt
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  17. A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers
    Autor*in: Gourinchas, Pierre-Olivier; Ray, Walker; Vayanos, Dimitri
    Erschienen: March 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    We develop a two-country model in which currency and bond markets are populated by different investor clienteles, and segmentation is partly overcome by global arbitrageurs with limited capital. Our model accounts for the empirically documented... mehr

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    We develop a two-country model in which currency and bond markets are populated by different investor clienteles, and segmentation is partly overcome by global arbitrageurs with limited capital. Our model accounts for the empirically documented violations of Uncovered Interest Parity (UIP) and the Expectations Hypothesis, and for how UIP violations depend on bond maturity, investment horizon, and yield curve slope differentials. Large-scale purchases of long-maturity bonds lower domestic and foreign bond yields, and depreciate the currency. Conventional monetary policy is transmitted to domestic and international bond yields as well, but its international transmission is weaker than for unconventional policy

     
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    Schriftenreihe: NBER working paper series ; no. w29875
    Schlagworte: Arbitrage; Geldpolitik; Geldpolitische Transmission; Wechselkurs; Zins; Zinsstruktur; Spillover-Effekt; Risikoprämie
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  18. Sanctions and the exchange rate
    Autor*in: Itskhoki, Oleg; Mukhin, Dmitry
    Erschienen: May 2, 2022
    Verlag:  CFM, Centre for Macroeconomics, London

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    Schriftenreihe: CFM discussion paper series ; CFM-DP 2022, 06
    Schlagworte: Sanktion; Wechselkurs; Wechselkurstheorie
    Umfang: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  19. A preferred-habitat model of term premia, exchange rates, and monetary policy spillovers
    Autor*in: Gourinchas, Pierre-Olivier; Ray, Walker; Vayanos, Dimitri
    Erschienen: 18 March 2022
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP17119
    Schlagworte: Arbitrage; Geldpolitik; Geldpolitische Transmission; Wechselkurs; Zins; Zinsstruktur; Spillover-Effekt; Risikoprämie; Exchange Rates; interest rates; monetary policy; Limits of arbitrage
    Umfang: 1 Online-Ressource (circa 78 Seiten), Illustrationen
  20. The multifaceted impact of US trade policy on financial markets
    Autor*in: Boer, Lukas; Menkhoff, Lukas; Rieth, Malte
    Erschienen: 2022
    Verlag:  Deutsches Institut für Wirtschaftsforschung (DIW), Berlin

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  21. Global monetary and financial spillovers
    evidence from a new measure of Bundesbank policy shocks
    Autor*in: Cloyne, James S.; Hürtgen, Patrick M.; Taylor, Alan M.
    Erschienen: 2022
    Verlag:  Deutsche Bundesbank, Frankfurt am Main

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