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Displaying results 1 to 6 of 6.

  1. Empirical effects of sanctions and support measures on stock prices and exchange rates in the Russia-Ukraine war
    Author: Klose, Jens
    Published: [2023]
    Publisher:  Philipps-University Marburg, School of Business and Economics, Marburg

    What are the effects of sanctions and economic support on stock prices and exchange rates in the Russia-Ukraine war? We address this question using a panel-VAR model that incorporates data from 23 countries, besides Russia and Ukraine, spanning the... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 102
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    What are the effects of sanctions and economic support on stock prices and exchange rates in the Russia-Ukraine war? We address this question using a panel-VAR model that incorporates data from 23 countries, besides Russia and Ukraine, spanning the period from 02/01/2022 to 02/24/2023. Our analysis relies on a detailed database to capture the nuances of sanctions and economic support. The results are presented from three distinct perspectives: firstly, in relation to the global economies; secondly, with regard to Russia; and thirdly, concerning Ukraine. The findings reveal that the overall impact of economic support provided to Ukraine is generally limited. In contrast, sanctions imposed by countries have minimal effects on the sanctioning country itself, but they can have significant consequences for the targeted nation. This is particularly evident when financial sanctions are implemented. However, it is important to note that such sanctions also exert effects on the opposing party in the war, Ukraine. Furthermore, if the sanctions originate from G7 or developed countries, the effects on Russia tend to be more pronounced.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/278554
    Series: Joint discussion paper series in economics ; no. 2023, 17
    Subjects: Sanctions; Support Measures; Stock Prices; Exchange Rates; Panel-VAR
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  2. The global transmission of U.S. monetary policy
    Author: Degasperi, Riccardo; Hong, Seokki Simon; Ricco, Giovanni
    Published: [2023]
    Publisher:  Center for Research in Economics and Statistics, Palaiseau, France

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 647
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Center for Research in Economics and Statistics ; 2023, no. 2 (January 2023)
    Subjects: Monetary policy; Trilemma; Exchange Rates; Monetary Policy Spillovers
    Scope: 1 Online-Ressource (circa 76 Seiten), Illustrationen
  3. The global transmission of U.S. monetary policy
    Author: Degasperi, Riccardo; Hong, Seokki Simon; Ricco, Giovanni
    Published: [2023]
    Publisher:  [Paris School of Economics], [Paris]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Paris School of Economics ; no 2023, 06
    Subjects: Monetary policy; Trilemma; Exchange Rates; Monetary Policy Spillovers
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  4. Do professional forecasters believe in uncovered interest rate parity?
    Author: Bürgi, Constantin; Song, Mengdi
    Published: 2023
    Publisher:  UCD School of Economics, University College Dublin, Dublin

    No, not according to our data. Using a unique data set, we run panel regressions to test whether professional forecasters believe in uncovered interest rate parity (UIP). Specifically, we test whether the interest rate expectations for individual... more

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    No, not according to our data. Using a unique data set, we run panel regressions to test whether professional forecasters believe in uncovered interest rate parity (UIP). Specifically, we test whether the interest rate expectations for individual forecasters are in line with their exchange rate expectations using the UIP condition. This new approach allows us to test directly whether forecasters believe in UIP. We find that professional forecasters generally do not believe in UIP across a range of currencies and horizons. Given the prevalence of the UIP condition in our international macro models, these results reiterate the importance of finding the drivers for these deviations.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/296698
    Series: Working paper series / UCD Centre for Economic Research ; WP23, 24 (November 2023)
    Subjects: Focus Economics; Bloomberg Survey; Exchange Rates
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  5. Exchange Rates and Government Debt
    Author: Favaretto, Federico
    Published: 2023
    Publisher:  SSRN, [S.l.]

    This paper studies how government debt variables impact estimates of the classic and new UIP puzzles for quarterly data between 2000 and 2020 of 6 developed countries in relation to the United States. I estimate country-pair VECMs to model... more

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    This paper studies how government debt variables impact estimates of the classic and new UIP puzzles for quarterly data between 2000 and 2020 of 6 developed countries in relation to the United States. I estimate country-pair VECMs to model cointegration relations between debt variables, price differences, interest rates differences and nominal exchange rate. I compare this framework with one without debt variables following Engel (2016) using quarterly data between 1979 and 2020. In the framework without debt, I don’t find the new UIP puzzle while in the framework with debt, I do find it. Government debt variables are significant and alter the sign of co-movements between difference in interest rates and far-ahead ex-post and ex-ante excess currency returns. The magnitude of the effect is economically relevant. Government debts coefficients cannot be uniquely associated with convenience yield story

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: BAFFI CAREFIN Centre Research Paper ; No. 198
    Subjects: Exchange Rates; Government Debt; UIP puzzle; Excess Currency Returns
    Other subjects: Array
    Scope: 1 Online-Ressource (86 p)
    Notes:

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 8, 2023 erstellt
  6. Exchange rate elasticities of international tourism and the role of dominant currency pricing
    Author: Ding, Ding; Timmer, Yannick
    Published: [2023]
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 201
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: International finance discussion papers ; number 1378 (August 2023)
    Subjects: Exchange Rates; Trade Flows; Tourism; Dominant Currency Pricing
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen