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  1. Foreign safe asset demand for U.S. treasurys and the Dollar
    Author: Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno
    Published: [2018]
    Publisher:  [Stanford Graduate School of Business], [Stanford, CA]

    The convenience yield that foreign investors derive from holding U.S. Treasurys causes a failure of Covered Interest Rate Parity by driving a wedge between the yield on the foreign bonds and the currency-hedged yield on the U.S. Treasury bonds. Even... more

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    The convenience yield that foreign investors derive from holding U.S. Treasurys causes a failure of Covered Interest Rate Parity by driving a wedge between the yield on the foreign bonds and the currency-hedged yield on the U.S. Treasury bonds. Even before the 2007-2009 financial crisis, the Treasury-based dollar basis is negative and occasionally large. We use the Treasury basis as a measure of the foreign convenience yield. Consistent with the theory, an increase in the convenience yield that foreign investors impute to U.S. Treasurys coincides with an immediate appreciation of the dollar, but predicts future depreciation of the dollar. The Treasury basis variation accounts for up to 25% of the quarterly variation in the dollar between 1988 and 2017

     
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    Series: [Stanford University Graduate School of Business research paper ; no. 18, 1]
    Subjects: Covered Interest Rate Parity; exchange rates; safe asset demand; convenience yields
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  2. Portfolio rebalancing in times of stress
    Author: Fischer, Andreas M.; Greminger, Rafael P.; Grisse, Christian
    Published: June 2017
    Publisher:  Swiss National Bank, Zurich

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    Edition: This version: June 2017
    Series: SNB working papers ; 2017, 11
    Subjects: Portfolio rebalancing; equity flows; exchange rates; financial stress; structural VAR; sign restrictions; regime switching
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  3. On the singular control of exchange rates
    Author: Ferrari, Giorgio; Vargiolu, Tiziano
    Published: 2017
    Publisher:  Center for Mathematical Economics (IMW), Bielefeld University, Bielefeld, Germany

    Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads to a... more

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    Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads to a proportional cost whose instantaneous marginal value depends on the current level of the exchange rate. The central bank aims at minimizing the total expected costs of interventions on the exchange market, plus a total expected holding cost. We formulate this problem as an infinite time-horizon stochastic control problem with controls that have paths which are locally of bounded variation. The exchange rate evolves as a general linearly controlled one-dimensional diffusion, and the two nondecreasing processes giving the minimal decomposition of a bounded-variation control model the cumulative amount of foreign currency that has been purchased and sold by the central bank. We provide a complete solution to this problem by finding the explicit expression of the value function and a complete characterization of the optimal control. At each instant of time, the optimally controlled exchange rate is kept within a band whose size is endogenously determined as part of the solution to the problem. We also study the expected exit time from the band, and the sensitivity of the width of the band with respect to the model's parameters in the case when the exchange rate evolves (in absence of any intervention) as an Ornstein-Uhlenbeck process, and the marginal costs of controls are constant. The techniques employed in the paper are those of the theory of singular stochastic control and of one-dimensional diffusions.

     
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    hdl: 10419/201619
    Series: Working papers / Center for Mathematical Economics ; 594 (December 2017)
    Subjects: singular stochastic control; exchange rates; target zones; central bank; variational inequality; optimal stopping
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  4. Dynamic connectedness of global currencies
    a conditional Granger-causality approach
    Author: Le, Tan T. M.; Martin, Franck; Nguyen, Duc Khuong
    Published: [2018]
    Publisher:  Center for Research in Economics and Management, University of Rennes 1, University of Caen Normandie, [Rennes]

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    Series: Working paper / Center for Research in Economics and Management ; WP 2018, 04 (April 2018)
    Subjects: conditional granger causality; exchange rates; connectedness; systemic risk
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  5. Purchasing-power-parity and the saving behavior of temporary migrants
    Author: Akay, Alpaslan; Brausmann, Alexandra; Djajić, Slobodan; Kirdar, Murat G.
    Published: July 2018
    Publisher:  IZA, Bonn, Germany

    How does saving behavior of immigrants respond to changes in purchasing power parity between the source and host countries? We examine this question by building a theoretical model of joint return-migration and saving decisions of temporary migrants... more

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    How does saving behavior of immigrants respond to changes in purchasing power parity between the source and host countries? We examine this question by building a theoretical model of joint return-migration and saving decisions of temporary migrants and then test its implications by using data from the German Socioeconomic Panel on immigrants from 92 source countries. As implied by our theoretical model, we find that the saving rate increases in the nominal exchange rate but decreases in the source-country price level and that the absolute magnitude of both relationships increases as the time to retirement becomes shorter. At the median level of years to retirement, the absolute values of the elasticity of savings with respect to the nominal exchange rate and with respect to the source-country price level are both close to unity. Moreover, as we gradually restrict the sample to individuals with stronger return intentions, the estimated magnitudes become larger and their statistical significance higher.

     
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    hdl: 10419/185139
    Series: Discussion paper series / IZA ; no. 11679
    Subjects: Migranten; Sparen; Rückwanderung; Altersgrenze; Kaufkraftparität; Theorie; Deutschland; migrants' savings; return migration; exchange rates; prices; PPP
    Scope: 1 Online-Ressource (circa 75 Seiten), Illustrationen
  6. International investment income
    patterns, drivers, and heterogeneous sensitivities
    Author: Donato, Giovanni; Tille, Cédric
    Published: [2024]
    Publisher:  Graduate Institute of International and Development Studies, International Economics Department, Geneva, Switzerland

    Financial globalization has led to a large increase in international asset holdings. While the rise of associated dividend and interest flows has until now been muted by the decreasing trend in interest rates, this pattern could change, leading to a... more

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    Financial globalization has led to a large increase in international asset holdings. While the rise of associated dividend and interest flows has until now been muted by the decreasing trend in interest rates, this pattern could change, leading to a larger role of investment income flows in the balance of payments. We use a broad sample of countries to document the heterogeneous evolution of the various components of investment income flows, with a rising role of FDI and equity income, especially in advanced economies. We then assess the impact of various variables on yields with a panel analysis. Various drivers have highly heterogeneous effects across investment categories and country groups, often impacting the yields on both assets and liabilities. This translates into substantial heterogeneity in the response of countries' income balance, due to different compositions of asset and liabilities. This heterogeneity is amplified if we consider country-specific estimates in complement to the panel ones. Focusing on the impact of changes in interest rates, we find that higher rates only had a limited impact in the 2013 taper tantrum, investment income balances are likely to benefit from higher US rates in the current phase of higher rates, with offsetting effects of higher domestic rates.

     
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    hdl: 10419/301216
    Series: Working paper series / Graduate Institute of International and Development Studies, International Economics Department ; no. HEIDWP2024, 13
    Subjects: Financial integration; primary investment income flows; interest rates; exchange rates
    Scope: 1 Online-Ressource (circa 71 Seiten), Illustrationen
  7. On bubbles in cryptocurrency prices
    Author: Oordt, Maarten R. C. van
    Published: [2024]
    Publisher:  Tinbergen Institute, Amsterdam, The Netherlands

    This paper investigates how cryptocurrencies relate to concepts such as bubbles, Ponzi-schemes and digital gold in a tractable model for cryptocurrency prices. Investors in the baseline equilibrium hold coins to sell them at a profit to future users... more

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    This paper investigates how cryptocurrencies relate to concepts such as bubbles, Ponzi-schemes and digital gold in a tractable model for cryptocurrency prices. Investors in the baseline equilibrium hold coins to sell them at a profit to future users if they anticipate in increase in transactional demand per coin. Investors in a bubble equilibrium hold the cryptocurrency because they expect its price to appreciate merely due to future investment inflows. Investors who participate in a bubble equilibrium for a cryptocurrency with non-negative money growth experience Ponzi-scheme equivalent payoffs in the aggregate. The net investment inflows required to sustain a bubble equilibrium are smaller for cryptocurrencies with less new issuance, a lower level of transactional demand and higher growth in transactional demand. Cryptocurrencies with negative issuance (e.g., that burn transaction fees) may generate positive aggregate cash flows to investors even if their price path follows a bubble trajectory.

     
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    hdl: 10419/301110
    Series: Array ; TI 2024, 050
    Subjects: Asset pricing; Bitcoin; crypto-asset; exchange rates; rational bubble
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  8. Interest rates, convenience yields, and inflation expectations
    drivers of US dollar exchange rates
    Author: Bernoth, Kerstin; Herwartz, Helmut; Trienens, Lasse
    Published: 2024
    Publisher:  DIW Berlin, German Institute for Economic Research, Berlin

    Using a data-driven approach to identify structural vector autoregressive models, we examine key factors influencing the US dollar exchange rate across eight advanced economies from 1980 to 2022. We find that shocks to inflation expectations, which... more

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    Using a data-driven approach to identify structural vector autoregressive models, we examine key factors influencing the US dollar exchange rate across eight advanced economies from 1980 to 2022. We find that shocks to inflation expectations, which are closely tied to unfunded government transfer payments, have a pronounced effect on the US dollar’s value. This underscores the fiscal dimension of exchange rates. External shocks, related to the convenience yield investors forgo to hold US dollar assets, have emerged over time as the most powerful driver of US dollar exchange rate fluctuations. These findings provide new insights into the complex interplay of monetary policy, fiscal dynamics, and global market forces in shaping US dollar exchange rates.

     
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    hdl: 10419/307253
    Series: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 2100
    Subjects: exchange rates; convenience yield; inflation expectations; monetary policy; fiscal policy; unfunded government transfer payment; monetary-fiscal policy mix
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  9. Nontraded goods, market segmentation, and exchange rates
    Author: Dotsey, Michael; Duarte, Margarida
    Published: 2006

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    Series: Working papers / Research Department, Federal Reserve Bank of Philadelphia ; 06.8
    Subjects: Wechselkurs; Marktsegmentierung; Nicht-handelbare Güter; Finanzmarkt; Theorie; OECD-Staaten; exchange rates
    Scope: 39 S., graph. Darst.
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  10. Measurement matters for modeling US import prices
    Author: Thomas, Charles P.; Marquez, Jaime R.
    Published: 2006
    Publisher:  Board of Governors of the Federal Reserve System, Washington, DC

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    W 132 (883)
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    Series: International finance discussion papers ; 883
    Subjects: Außenhandelspreis; Wechselkurs; Exchange Rate Pass-Through; Aggregation; USA; Welt
    Other subjects: Array
    Scope: 31 S., graph. Darst.
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  11. Global asset prices and FOMC announcements
    Author: Hausman, Joshua; Wongswan, Jon
    Published: 2006
    Publisher:  Board of Governors of the Federal Reserve System, Washington, DC

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    Series: International finance discussion papers ; 886
    Other subjects: Array
    Scope: 58 S., graph. Darst.
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  12. Taxonomy of global risk, uncertainty, and volatility measures
    Author: Datta, Deepa Dhume; Londono, Juan M.; Sun, Bo; Beltran, Daniel; Ferreira, Thiago; Iacoviello, Matteo; Jahan-Parvar, Mohammad R.; Li, Canlin; Giudice Rodriguez, Marius del; Rogers, John H.
    Published: 2017
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

    A large number of measures for monitoring risk and uncertainty surrounding macroeconomic and financial outcomes have been proposed in the literature, and these measures are frequently used by market participants, policy makers, and researchers in... more

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    A large number of measures for monitoring risk and uncertainty surrounding macroeconomic and financial outcomes have been proposed in the literature, and these measures are frequently used by market participants, policy makers, and researchers in their analyses. However, risk and uncertainty measures differ across multiple dimensions, including the method of calculation, the underlying outcome (that is, the asset price or macroeconomic variable), and the horizon at which they are calculated. Therefore, in this paper, we review the literature on global risk, uncertainty, and volatility measures drawing on internal and external academic research as well as ongoing monitoring conducted by the Federal Reserve Board's economics divisions to catalog measures by method of data collection, computation, and subject. We first explore a set of non asset-marketbased measures of risk and uncertainty, including news-based and survey-based uncertainty measures of monetary policy and macroeconomic outcomes. We then turn to asset-market-based measures of risk uncertainty for equity prices, interest rates, currencies, oil prices, and inflation

     
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    Series: International finance discussion papers ; number1216 (November 2017)
    FRB International Finance Discussion Paper ; No. 1216
    Subjects: Risk; uncertainty; volatility; monetary policy; geopolitical risk; equities; interest rates; exchange rates; commodities; inflation; variance risk premium
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  13. Trilemma-dilemma
    constraint or choice? : some empirical evidence from a structurally identified heterogeneous panel VAR
    Author: Montiel, Peter; Pedroni, Peter Louis
    Published: August 2018
    Publisher:  Williams College : Economics, Williamstown, MA, USA

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    Series: Williams College Economics Department working paper series ; 2018, 08
    Subjects: Trilemma; exchange rates; financial integration; monetary policy,heterogeneous panel structural VAR
    Scope: 1 Online-Ressource (ca 36 Seiten), Illustrationen
  14. Trade and currency weapons
    Author: Bénassy-Quéré, Agnès; Bussière, Matthieu; Wibaux, Pauline
    Published: [2018]
    Publisher:  Paris-Jourdan Sciences Economiques, Paris

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    Series: Working paper / Paris School of Economics ; no 2018, 30
    Subjects: tariffs; exchange rates; trade elasticities; protectionism
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  15. Exchange rate movements and fundamentals
    impact of oil prices and the People's Republic of China's growth
    Author: Chen, Hongyi; Cao, Shuo
    Published: [2019]
    Publisher:  Asian Development Bank Institute, Tokyo, Japan

    This paper identifies five factors that can capture 95% of the variance across 39 US dollar exchange rates based on the principal component method. A time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model is used to analyze... more

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    This paper identifies five factors that can capture 95% of the variance across 39 US dollar exchange rates based on the principal component method. A time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model is used to analyze the determinants of movements in these exchange rates, revealing that their impact on global oil prices and the People's Republic of China's growth has increased significantly since 2008. In particular, the variance of US dollar exchange rates has mainly been driven by these two shocks in recent years. The impact of monetary policy shocks on the currency pairs is comparatively small.

     
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    Other identifier:
    hdl: 10419/222705
    Series: ADBI working paper series ; no. 938 (March 2019)
    Subjects: exchange rates; commodity prices; People's Republic of China's growth; monetary policy; factor model; TVP-FAVAR; Bayesian methods
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  16. The dynamic impact of FX interventions on financial markets
    Author: Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias
    Published: 2019
    Publisher:  Verein für Socialpolitik, [Leipzig]

    Evidence on the effectiveness of FX interventions in the prevailing higher frequency approaches leaves a gap at horizons going beyond a few days. This is addressed by identifying a structural vector autoregressive model for the daily frequency with... more

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    Evidence on the effectiveness of FX interventions in the prevailing higher frequency approaches leaves a gap at horizons going beyond a few days. This is addressed by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Using Japanese data, we find that FX interventions significantly affect exchange rates, although the effect is smaller than in emerging markets, and this impact persists for up to a year. There is no major effect on interest rates, but stock prices increase in line with currency devaluation, in particular those of large (exporting) firms. The results qualitatively hold for US and UK interventions.

     
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    hdl: 10419/203504
    Series: Array ; Array
    Subjects: Foreign exchange intervention; structural VAR; exchange rates; interest rates; stock prices
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  17. Dollar invoicing, global value chains, and the business cycle dynamics of international trade
    Author: Cook, David; Patel, Nikhil
    Published: 2020
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Series: BIS working papers ; no 860 (April 2020)
    Subjects: dollar invoicing; exchange rates; monetary policy; global value chains
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
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    A previous version of the paper was circulated under the title "International Price System, Intermediate Inputs and Regional Trade"
  18. The multifaceted impact of US trade policy on financial markets
    Author: Boer, Lukas; Menkhoff, Lukas; Rieth, Malte
    Published: 2021
    Publisher:  DIW Berlin, German Institute for Economic Research, Berlin

    We study the multifaceted effects of trade policy shocks on financial markets using a structural vector autoregression identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock... more

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    We study the multifaceted effects of trade policy shocks on financial markets using a structural vector autoregression identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock prices heterogeneously, but generally negatively. They increase market uncertainty, lower US interest rates, and lead to an appreciation of the US -Dollar. The effects are significant for several weeks or quarters. Decomposing the trade policy shocks further suggests that trade policy uncertainty dominates tariff level effects. Chinese trade policy shocks against the US further hurt US stocks.

     
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    hdl: 10419/259822
    Edition: This (updated) version: May 2022
    Series: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1956
    Subjects: Außenwirtschaftspolitik; Aktienmarkt; Wechselkurs; Zins; Wirkungsanalyse; VAR-Modell; USA; China; Trade policy shock; structural VAR; stock prices; exchange rates; interest rates; heteroskedasticity
    Scope: 1 Online-Ressource (circa 76 Seiten), Illustrationen
  19. Exchange rate elasticities of international tourism and the role of dominant currency pricing
    Author: Ding, Ding; Timmer, Yannick
    Published: May 2022
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We estimate exchange rate elasticities of international tourism. We show that, in addition to the bilateral exchange rate, the exchange rate between the tourism origin country vis-à-vis the U.S. dollar is an important driver of tourism flows,... more

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    We estimate exchange rate elasticities of international tourism. We show that, in addition to the bilateral exchange rate, the exchange rate between the tourism origin country vis-à-vis the U.S. dollar is an important driver of tourism flows, indicating a strong role of U.S. dollar pricing. The U.S. dollar exchange rate is more important for tourism destination countries with higher U.S. dollar borrowing, pointing toward a complementarity between U.S. dollar pricing and financing. Country-specific dominant currencies (CSDCs) play only a minor role for the average country but are important for tourism-dependent countries and those with a high concentration of tourists. The importance of the U.S. dollar exchange rate represents a strong piece of evidence of dominant currency pricing (DCP) in the international trade of services and suggests that the benefits of exchange rate flexibility for tourism-dependent countries may be weaker than previously thought.

     
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    hdl: 10419/260873
    Series: CESifo working paper ; no. 9743 (2022)
    Subjects: exchange rates; trade; tourism; dominant currency pricing
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  20. Foreign currency forecasting: what can stock and bond markets tell us?
    Author: Phylaktis, Kate; Yamani, Ehab
    Published: January 2022
    Publisher:  Emerging Markets Group, Bayes Business School, City University, London

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    Series: EMG working paper series ; WP-EMG-2022, 03
    Subjects: exchange rates; out of sample predictability; equity returns; bond market returns; financial crisis
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  21. International pecking order
    Author: Eren, Egemen; Malamud, Semyon; Zhou, Haonan
    Published: [2022]
    Publisher:  Swiss Finance Institute, Geneva

    We document that corporates in emerging markets borrow more in foreign currency when the local currency provides a better hedge in downturns. We develop an international corporate finance model in which firms facing adverse selection choose the... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    We document that corporates in emerging markets borrow more in foreign currency when the local currency provides a better hedge in downturns. We develop an international corporate finance model in which firms facing adverse selection choose the foreign currency share of their debt. In the unique separating equilibrium, good firms optimally expose themselves to currency risk to signal their type. The nature of this equilibrium crucially depends on the co-movement between cash flows and the exchange rate. We provide extensive empirical evidence for this signalling channel using micro data for firms in multiple emerging markets and event studies of local currency depreciation episodes

     
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    Source: Union catalogues
    Language: English
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    Series: Research paper series / Swiss Finance Institute ; no 22, 15
    Subjects: Foreign currency debt; corporate debt; signalling; exchange rates; pecking order
    Other subjects: Array
    Scope: 1 Online-Ressource (circa 65 Seiten), Illustrationen
  22. Dollar invoicing, global value chains, and the business cycle dynamics of international trade
    Author: Cook, David; Patel, Nikhil
    Published: 2022 FEB
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Recent literature has highlighted that international trade is mostly priced in a few key vehicle currencies and is increasingly dominated by intermediate goods and global value chains (GVCs). Taking these features into account, this paper reexamines... more

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    Recent literature has highlighted that international trade is mostly priced in a few key vehicle currencies and is increasingly dominated by intermediate goods and global value chains (GVCs). Taking these features into account, this paper reexamines the relationship between monetary policy, exchange rates and international trade flows. Using a dynamic stochastic general equilibrium (DSGE) framework, it finds key differences between the response of final goods and GVC trade to both domestic and foreign shocks depending on the origin and ultimate destination of value added and the intermediate shipments involved. For example, the model shows that in response to a dollar appreciation triggered by a US interest rate increase, direct bilateral trade between non-US countries contracts more than global value chain oriented trade which feeds US final demand, and exports to the US decline much more when measured in gross as opposed to value added terms. We use granular data on GVCs at the sector level to document empirical evidence in favor of these key predictions of the model

     
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  23. Exchange rate pass-through in small, open, commodity-exporting economies
    lessons from Canada
    Author: Flaccadoro, Marco
    Published: [2022]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    Series: Temi di discussione / Banca d'Italia ; number 1368 (April 2022)
    Subjects: time series; factor analysis; prices; exchange rates; pass-through; commodity prices; oil shocks
    Scope: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  24. Exploring the role of exchange rate in inflation targeting
    evidence from Thailand
    Author: Pongsak Luangaram; Nipit Wongpunya
    Published: [2022]
    Publisher:  [Puey Ungphakorn Institute for Economic Research], [Bangkok]

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    Series: Discussion paper / Puey Ungphakorn Institute for Economic Research ; no. 179 (May 2022)
    Subjects: small open economy models; monetary policy rules; exchange rates; Bayesian analysis; Thai economy
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  25. Modelling the Australian dollar
    Author: Hambur, Jonathan; Cockerell, Lynne; Potter, Christopher; Smith, Penelope; Wright, Michelle
    Published: October 2015
    Publisher:  Reserve Bank of Australia, [Sydney]

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    Series: Research discussion paper / Reserve Bank of Australia ; RDP 2015, 12
    Subjects: Australian dollar; error correction model; exchange rates; resourcesboom; unconventional monetary policy
    Scope: 1 Online-Ressource (circa 75 Seiten), Illustrationen