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  1. Exchange rate fluctuations and firm leverage
    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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  2. Relative prices and hysteresis: evidence from US manufacturing
    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)
  3. The diminishing impact of monetary policy on asset prices around non-FOMC macroeconomic announcements
    Author: Alam, Zohair
    Published: [2021]
    Publisher:  [University of Toronto - Rotman School of Management], [Toronto]

    I examine the effects of monetary policy surprises on asset prices around non-FOMC macroeconomic announcements that are directly relevant to the Fed's monetary policy decisions. While FOMC announcements are known to have similar effects during... more

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    I examine the effects of monetary policy surprises on asset prices around non-FOMC macroeconomic announcements that are directly relevant to the Fed's monetary policy decisions. While FOMC announcements are known to have similar effects during periods of conventional and unconventional monetary policies, I show that non-FOMC announcements affect asset prices much less in the latter period. Moreover, bond premium, volatility and the overall resolution of uncertainty decrease on these announcements. These findings are described in an information framework. Taken together, the evidence suggests unconventional monetary policies deter market's ability to anticipate Fed actions, which has implications for its transmission to asset prices

     

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    Series: [Rotman School of Management working paper ; no. 3808178]
    Subjects: Monetary Policy; Federal Reserve; Equity Prices; UST yields; Corporate Bond Yields,Exchange Rates; Financial Conditions; Principal Component Analysis; Sign Restrictions
    Other subjects: Array
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  4. Climate risk and commodity currencies
    Published: [2020]
    Publisher:  Centre for Applied Macroeconomics and Commodity Prices, Oslo

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    VS 321
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    Source: Union catalogues
    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
  5. The global transmission of U.S monetary policy
    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
  6. Predictability of aggregated time series
    Published: [2021]
    Publisher:  LCERPA, Laurier Centre for Economic Research & Policy Analysis, [Waterloo, ON]

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    Series: LCERPA working paper ; no. 2021, 5 (September 2021)
    Subjects: Forecasting and Prediction Methods; Interest Rates; Exchange Rates; AssetPrices; Oil Prices; Commodity Prices
    Scope: 1 Online-Ressource (circa 26 Seiten)
  7. 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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    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
  8. Scrambling for dollars
    international liquidity, banks and exchange rates
    Published: 11 November 2021
    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 ; DP16712
    Subjects: Exchange Rates; liquidity premia; monetary policy
    Scope: 1 Online-Ressource (circa 98 Seiten), Illustrationen
  9. Expecting brexit
    Published: 30 January 2022
    Publisher:  Centre for Economic Policy Research, London

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP16970
    Subjects: Brexit; trade policy; uncertainty; Exchange Rates
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  10. Exchange rate depreciations and local business cycles
    the role of bank loan supply
    Published: [2021]
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    This paper uses matched bank-firm-level data and the 2014 depreciation of the euro to show that exchange rate depreciations lead to increased bank loan supply of large banks with significant net foreign asset exposure. This increase in lending can be... more

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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    This paper uses matched bank-firm-level data and the 2014 depreciation of the euro to show that exchange rate depreciations lead to increased bank loan supply of large banks with significant net foreign asset exposure. This increase in lending can be explained by a shift in credit towards both export-intensive firms and small banks without foreign asset exposure that have a higher share of exporting firms in their credit portfolio. We also find that German regions where these reallocation effects are stronger experience higher output growth. In economic terms, we show that such regions grow by 1.2 percentage points more than less exposed regions, cumulatively, in the two years after the depreciation relative to the two pre-depreciation years.

     

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    Media type: Ebook
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    ISBN: 9783957298621
    Other identifier:
    hdl: 10419/248737
    Series: Discussion paper / Deutsche Bundesbank ; no 2021, 52
    Subjects: Exchange Rates; Bank Lending; Interbank Markets; Real Effects; Regional Business Cycles; Germany
    Scope: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  11. A preferred-habitat model of term premia, exchange rates, and monetary policy spillovers
    Published: 18 March 2022
    Publisher:  Centre for Economic Policy Research, London

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    Source: Union catalogues
    Language: English
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    Format: Online
    Series: Array ; DP17119
    Subjects: Arbitrage; Geldpolitik; Geldpolitische Transmission; Wechselkurs; Zins; Zinsstruktur; Spillover-Effekt; Risikoprämie; Exchange Rates; interest rates; monetary policy; Limits of arbitrage
    Scope: 1 Online-Ressource (circa 78 Seiten), Illustrationen
  12. Heterogeneous effect of exchange rates on firms' exports
    role of labor intensity
    Published: [2021]
    Publisher:  Central Bank of the Republic of Turkey, Head Office, Structural Economic Research Department, Ankara, Turkey

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    Series: Working paper / Türkiye Cumhuriyet Merkez Bankası ; no: 21, 15 (July 2021)
    Subjects: Exports; Exchange Rates; Labor-intensity
    Scope: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  13. Protectionism, bilateral integration, and the cross section of exchange rate returns in US presidential debates
    Published: November 2022
    Publisher:  Faculty of Business and Economics, Technische Universität Dresden, [Dresden]

    We study the impact of US presidential election TV debates on intraday exchange rates of 96 currencies from 1996 to 2016. Expectations about protectionist measures are the main transmission channel of debate outcomes. Currencies of countries with... more

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    We study the impact of US presidential election TV debates on intraday exchange rates of 96 currencies from 1996 to 2016. Expectations about protectionist measures are the main transmission channel of debate outcomes. Currencies of countries with high levels of bilateral foreign trade with the US depreciate if the election probability of the protectionist candidate increases during the debate. We rationalize our results in a model where a debate victory of a protectionist candidate raises expectations about future tariffs and reduces future net exports to the US, resulting in relative depreciation of currencies with high bilateral trade integration.

     

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/266451
    RVK Categories: QC 000
    Series: CEPIE working paper ; no. 22, 03
    Subjects: Exchange Rates; US Presidential Elections; TV Debates; Protectionism; Bilateral Trade Integration
    Scope: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  14. The global transmission of U.S. monetary policy
    Published: [2023]
    Publisher:  Center for Research in Economics and Statistics, Palaiseau, France

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    VS 647
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    Language: English
    Media type: Book
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    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
  15. EQCHANGE annual assessment 2021
    Author: Grekou, Carl
    Published: 28.01.22
    Publisher:  CEPII, Paris

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    VSP 1686
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    Series: CEPII working paper ; no. 2021, 13 (December 2021)
    Subjects: EQCHANGE; Exchange Rates; Currency Misalignments; Global Imbalances
    Scope: 1 Online-Ressource (circa 43 Seiten)
  16. EQCHANGE annual assessment 2022
    Author: Grekou, Carl
    Published: 13.01.23
    Publisher:  CEPII, Paris

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    Series: CEPII working paper ; no. 2022, 13 (December 2022)
    Subjects: EQCHANGE; Exchange Rates; Currency Misalignments; Global Imbalances
    Scope: 1 Online-Ressource (circa 43 Seiten)
  17. The global transmission of U.S. monetary policy
    Published: [2023]
    Publisher:  [Paris School of Economics], [Paris]

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    VS 331
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    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
  18. Four facts about international central bank communication
    Published: March 2024
    Publisher:  Sveriges Riksbank, Stockholm

    This paper introduces a novel database of text features extracted from the speeches of 53 central banks from 1996 to 2023 using state-of-the-art NLP methods. We establish four facts: (1) central banks with floating and pegged exchange rates... more

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    This paper introduces a novel database of text features extracted from the speeches of 53 central banks from 1996 to 2023 using state-of-the-art NLP methods. We establish four facts: (1) central banks with floating and pegged exchange rates communicate differently, and these differences are particularly pronounced in discussions about exchange rates and the dollar, (2) communication spillovers from the Federal Reserve are prominent in exchange rate and dollar-related topics for dollar peggers and in hawkish sentiment for others, (3) central banks engage in FX intervention guidance, and (4) more transparent institutions are less responsive to political pressure in their communication.

     

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    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10419/299292
    Series: Sveriges Riksbank working paper series ; 432
    Subjects: Exchange Rates; Natural Language Processing (NLP); International Spillovers; Monetary Policy
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  19. Pass-through of shocks into different U.S. prices
    Published: [2024]
    Publisher:  Florida International University, Department of Economics, [Miami, FL]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    VS 607
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    Series: Working papers / Florida International University, Department of Economics ; 2401 (January 2024)
    Subjects: Pass-Through; Oil Prices; Exchange Rates; Import Prices; Producer Prices; Consumer Prices
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  20. An intermediation-based model of exchange rates
    Published: [2024]
    Publisher:  Swiss Finance Institute, Geneva

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Keine Rechte
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Edition: This version: January 9, 2024
    Series: Swiss Finance Institute research paper series ; no 24, 01
    Subjects: Financial Intermediation; Exchange Rates; Uncovered Interest Parity; Covered Interest Parity Deviations
    Scope: 1 Online-Ressource (circa 74 Seiten), Illustrationen
  21. The global transmission of U.S. monetary policy
    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
  22. To what extent are tariffs offset by exchange rates?
    Published: January 2020
    Publisher:  PIIE, Peterson Institute for International Economics, Washington, DC

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    VS 594
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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
  23. Three essays on the identification of currency risk, its determinants and its economic impact
    Published: 2019

    Universitätsbibliothek Braunschweig
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Universität Hamburg, Universitätsbibliothek
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Hochschule Magdeburg-Stendal, Hochschulbibliothek
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    UB Weimar
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    Source: Union catalogues
    Contributor: Eichler, Stefan (AkademischeR BetreuerIn); Thum, Marcel (AkademischeR BetreuerIn)
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    RVK Categories: QM 331
    Subjects: Currency risk; Currencies; Exchange Rates
    Scope: 1 Online-Ressource (circa 140 Seiten), Illustrationen
    Notes:

    Enthält mehrere Beiträge

    Dissertation, Technische Universität Dresden, 2019

  24. The global transmission of U.S. monetary policy
    Published: 26 March 2020
    Publisher:  Centre for Economic Policy Research, London

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    LZ 161
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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
  25. US monetary policy and the stability of currency pegs
    Published: October 2018
    Publisher:  Verein für Socialpolitik, [Leipzig]

    I study the pricing of American Depositary Receipts around FOMC meetings to identify the impact of US monetary policy on managed exchange rates. ADR investors assess the domestic central bank’s reluctance to maintain a currency peg regime if the... more

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    I study the pricing of American Depositary Receipts around FOMC meetings to identify the impact of US monetary policy on managed exchange rates. ADR investors assess the domestic central bank’s reluctance to maintain a currency peg regime if the costs of mimicking policy rate increases in the US are high, i.e., the current state of the domestic economy is poor. In line with currency crises models of interest rate defence, I find that positive US monetary surprises increase the breakdown probability of pegs with low real GDP growth, high fiscal deficits, high sovereign risk and a weak domestic banking sector.

     

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/203525
    Series: Array ; Array
    Subjects: American Depositary Receipts; Currency Crises; Exchange Rates; FOMC Meetings; Monetary Policy
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen