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Displaying results 1 to 13 of 13.

  1. Macroeconomic management on becoming an African oil exporter
    Author: Morrissey, Oliver; Spreng, Lars
    Published: [2020]
    Publisher:  Centre for Research in Economic Development and International Trade, University of Nottingham, Nottingham

    This paper provides analysis of the macroeconomic management implications of becoming an exporter of oil, taking the case of Ghana and applying to Uganda as a prospective exporter. The paper proceeds in two steps. First, we construct a Dynamic... more

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    This paper provides analysis of the macroeconomic management implications of becoming an exporter of oil, taking the case of Ghana and applying to Uganda as a prospective exporter. The paper proceeds in two steps. First, we construct a Dynamic Stochastic General Equilibrium (DSGE) model of a primary commodity exporting developing country calibrated to Ghana and Uganda and simulate the impulse response to shocks to the oil price and oil production. Second, using parameters from the DSGE model to obtain priors for parameter values, we use a Structural Vector Autoregressive (SVAR) with monthly data over 2001 to 2019 to estimate the response to oil shocks as an importer for both countries and as an exporter for Ghana after 2010. The DSGE results suggest that although an oil price shock generates appreciation and initially output falls, there are reductions in interest rates and inflation and ultimately output increases. The larger the oil sector the greater the appreciation and inflationary effects, but output rises more quickly and there are larger increases in wages and taxes. The SVAR results for Ghana when exporting suggest an initial depreciation in response to an oil price shock, with a reduction in inflation, but the immediate negative output response slowly turns positive (and becomes consistent with the DSGE). When Ghana and Uganda are importers, oil price shocks generate appreciation, mild inflation and interest rate reductions, so although output declines initially it rises after a year and this persists. The analysis suggests that the adoption of inflation targeting, in conjunction with an improved monitoring of macroeconomic developments, has mitigated the effects of oil price shocks on domestic variables in Ghana and Uganda.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/250293
    Series: CREDIT research paper ; no. 20, 03
    Subjects: Oil; Exchange Rates; DSGE; SVAR; sub-Saharan Africa (Ghana, Uganda)
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  2. The dominant currency financing channel of external adjustment
    Author: Casas, Camila; Meleshchuk, Sergii; Timmer, Yannick
    Published: [2020]
    Publisher:  Banco de la Republica Colombia, Bogotá, Colombia

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Borradores de economía ; no. 1111 (2020)
    Subjects: Imports; Exports; Exchange Rates; Foreign Currency Exposure; Capital Structure; Debt Revaluation
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  3. Climate risk and commodity currencies
    Author: Kapfhammer„, Felix; Larsen, Vegard Høghaug; Thorsrud, Leif Anders
    Published: [2020]
    Publisher:  Norges Bank, Oslo

    The positive relationship between real exchange rates and natural resource income is well understood and studied. However, climate change and the transition to a lower-carbon economy now challenges this relationship. We document this by proposing a... more

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    The positive relationship between real exchange rates and natural resource income is well understood and studied. However, climate change and the transition to a lower-carbon economy now challenges this relationship. We document this by proposing a novel news media-based measure of climate change transition risk and show that when such risk is high, major commodity currencies experience a persistent depreciation and the relationship between commodity price fluctuations and currencies tends to become weaker.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9788283791815
    Other identifier:
    hdl: 11250/2727312
    hdl: 10419/246121
    Edition: This version: December 16, 2020
    Series: Working paper / Norges Bank ; 2020, 18
    Subjects: Exchange Rates; Climate; Risk; Commodities
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  4. Exchange rate fluctuations and firm leverage
    Author: Shim, Ilhyock; Kalemli-Ozcan, Sebnem; Liu, Xiaoxi
    Published: December 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    We quantify the effect of exchange rate fluctuations on firm leverage. When home currency appreciates, firms who hold foreign currency debt and local currency assets observe higher net worth as appreciation lowers the value of their foreign currency... more

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    We quantify the effect of exchange rate fluctuations on firm leverage. When home currency appreciates, firms who hold foreign currency debt and local currency assets observe higher net worth as appreciation lowers the value of their foreign currency debt. These firms can borrow more as a result and increase their leverage. When home currency depreciates, the reverse happens as firms have to de-lever with a negative shock to their balance sheets. Using firm-level data for leverage from 10 emerging market economies during the period from 2002 to 2015, we show that firms operating in countries whose non-financial sectors hold more of the debt in foreign currency, increase (decrease) their leverage relatively more after home currency appreciations (depreciations). Combining the leverage data with firm-level FX debt data for 4 emerging market countries, we further show that our results hold at the most granular level. Our quantitative results are asymmetric: the effects of depre-ciations, that are generally associated with sudden stops, are quantitatively larger than those of appreciations, which take place at a slower pace over time during capital inflow episodes. As our exercise compares depreciations and appreciations of similar size, these results are suggestive of financial frictions being more binding during depreciations than a possible relaxation of such frictions during appreciations

     
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  5. Relative prices and hysteresis: evidence from US manufacturing
    Author: Campbell, Douglas L.
    Published: April 2020
    Publisher:  CEFIR, Moscow

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NES working paper series ; no. 263
    Subjects: Exchange Rates; American Manufacturing; Hysteresis; Trade
    Scope: 1 Online-Ressource (circa 101 Seiten)
  6. Climate risk and commodity currencies
    Author: Kapfhammer, Felix; Larsen, Vegard Høghaug; Thorsrud, Leif Anders
    Published: [2020]
    Publisher:  Centre for Applied Macroeconomics and Commodity Prices, Oslo

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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 11250/2711929
    Edition: This version: December 3, 2020
    Series: CAMP working paper series ; no. 2020, 10
    Subjects: Exchange Rates; Climate; Risk; Commodities
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  7. The global transmission of U.S monetary policy
    Author: Degasperi, Riccardo; Hong, Seokki Simon; Ricco, Giovanni
    Published: March 2020
    Publisher:  Economic Research Southern Africa, [Cape Town]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: ERSA working paper ; 814
    Subjects: Monetary policy; Trilemma; Exchange Rates; Foreign Spillovers
    Scope: 1 Online-Ressource (circa 88 Seiten), Illustrationen
  8. The global transmission of U.S. monetary policy
    Author: Degasperi, Riccardo; Hong, Seokki Simon; Ricco, Giovanni
    Published: [2020]
    Publisher:  University of Warwick, Department of Economics, Coventry, United Kingdom

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    Media type: Book
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    Edition: This version: 25 March 2020
    Series: Warwick economics research papers ; no: 1257 (March 2020)
    Subjects: Monetary policy; Trilemma; Exchange Rates; Foreign Spillovers
    Scope: 1 Online-Ressource (circa 88 Seiten), Illustrationen
  9. To what extent are tariffs offset by exchange rates?
    Author: Jeanne, Olivier
    Published: January 2020
    Publisher:  PIIE, Peterson Institute for International Economics, Washington, DC

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    Media type: Book
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    Series: Working paper / PIIE, Peterson Institute for International Economics ; 20, 1
    Subjects: Tariffs; Exchange Rates; Dollar; Renminbi
    Scope: 1 Online-Ressource (circa 11 Seiten), Illustrationen
  10. The global transmission of U.S. monetary policy
    Author: Degasperi, Riccardo; Hong, Simon; Ricco, Giovanni
    Published: 26 March 2020
    Publisher:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP14533
    Subjects: monetary policy; trilemma; Exchange Rates; Foreign Spillovers
    Scope: 1 Online-Ressource (circa 90 Seiten), Illustrationen
  11. Structured eurobonds
    optimal construction, impact on the Euro and the influence of interest rates
    Author: Adolph, Marc-Patrick
    Published: 2020
    Publisher:  Universität Trier, Trier

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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    Subjects: Common Liability; Exchange Rates; Structured Eurobonds
    Scope: 1 Online-Ressource (circa 168 Seiten), Illustrationen
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    Dissertation, Universität Trier, 2020
  12. Exchange rates and political uncertainty
    the Brexit case
    Author: Manasse, Paolo; Moramarco, Graziano; Trigilia, Giulio
    Published: [2020]
    Publisher:  Alma Mater Studiorum - Università di Bologna, Department of Economics, Bologna, Italy

    This paper studies the impact of political risk on exchange rates. We focus on the Brexit Referendum as it provides a natural experiment where both exchange rate expectations and a time-varying political risk factor can be measured directly. We build... more

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    This paper studies the impact of political risk on exchange rates. We focus on the Brexit Referendum as it provides a natural experiment where both exchange rate expectations and a time-varying political risk factor can be measured directly. We build a simple portfolio model which predicts that an increase in the Leave probability triggers a depreciation of the British Pound, both on account of exchange rate expectations and of political risk. We estimate the model for multilateral and bilateral British Pound exchange rates. The results confirm the model’s main implications. When we extend the analysis to a portfolio model of multiple currencies, we find that the cross-currencies restrictions implied by the theory are not rejected by our system estimation. Moreover, the joint estimates of the multi-currency model in the presence of time-varying political risk premium are in many cases consistent with the Uncovered Interest Parity.

     
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    hdl: 10419/245883
    Series: Quaderni - working paper DSE / Alma Mater Studiorum - Università di Bologna, Department of Economics ; no 1141
    Subjects: Brexit; Exchange Rates; Political Risk; Time-Varying Risk Premium; Uncovered Interest Parity
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  13. Exchange rate fluctuations and firm leverage
    Author: Shim, Ilhyock; Kalemli-Ozcan, Sebnem; Liu, Xiaoxi
    Published: December 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    We quantify the effect of exchange rate fluctuations on firm leverage. When home currency appreciates, firms who hold foreign currency debt and local currency assets observe higher net worth as appreciation lowers the value of their foreign currency... more

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    We quantify the effect of exchange rate fluctuations on firm leverage. When home currency appreciates, firms who hold foreign currency debt and local currency assets observe higher net worth as appreciation lowers the value of their foreign currency debt. These firms can borrow more as a result and increase their leverage. When home currency depreciates, the reverse happens as firms have to de-lever with a negative shock to their balance sheets. Using firm-level data for leverage from 10 emerging market economies during the period from 2002 to 2015, we show that firms operating in countries whose non-financial sectors hold more of the debt in foreign currency, increase (decrease) their leverage relatively more after home currency appreciations (depreciations). Combining the leverage data with firm-level FX debt data for 4 emerging market countries, we further show that our results hold at the most granular level. Our quantitative results are asymmetric: the effects of depre-ciations, that are generally associated with sudden stops, are quantitatively larger than those of appreciations, which take place at a slower pace over time during capital inflow episodes. As our exercise compares depreciations and appreciations of similar size, these results are suggestive of financial frictions being more binding during depreciations than a possible relaxation of such frictions during appreciations

     
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