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Showing results 1 to 10 of approximately 149.
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Report
Risk appetite and exchange Rates
Shin, Hyun Song; Etula, Erkko; Adrian, Tobias
(2009)
We present evidence that the growth of U.S.-dollar-denominated banking sector liabilities forecasts appreciations of the U.S. dollar, both in-sample and out-of-sample, against a large set of foreign currencies. We provide a theoretical foundation for a funding liquidity channel in a global banking model where exchange rates fluctuate as a function of banks? balance sheet capacity. We estimate prices of risk using a cross-sectional asset pricing approach and show that the U.S. dollar funding liquidity forecasts exchange rates because of its association with time-varying risk premia. Our ...
Staff Reports
, Paper 361
Working Paper
Real exchange rate forecasting and ppp: this time the random walk loses
Rubaszek, Michal; Muck, Jakub; Ca' Zorzi, Michele
(2015-03-01)
This paper brings four new insights into the Purchasing Power Parity (PPP) debate. First, we show that a half-life PPP (HL) model is able to forecast real exchange rates better than the random walk (RW) model at both short and long-term horizons. Second, we find that this result holds if the speed of adjustment to the sample mean is calibrated at reasonable values rather than estimated. Third, we find that it is preferable to calibrate, rather than to elicit as a prior, the parameter determining the speed of adjustment to PPP. Fourth, for most currencies in our sample, the HL model ...
Globalization Institute Working Papers
, Paper 229
Working Paper
Oil Prices, Exchange Rates and Interest Rates
Kilian, Lutz; Zhou, Xiaoqing
(2019-11-27)
There has been much interest in the relationship between the price of crude oil, the value of the U.S. dollar, and the U.S. interest rate since the 1980s. For example, the sustained surge in the real price of oil in the 2000s is often attributed to the declining real value of the U.S. dollar as well as low U.S. real interest rates, along with a surge in global real economic activity. Quantifying these effects one at a time is difficult not only because of the close relationship between the interest rate and the exchange rate, but also because demand and supply shocks in the oil market in turn ...
Working Papers
, Paper 1914
Journal Article
New summary measures of the foreign exchange value of the dollar
Leahy, Michael P.
(1998-10)
The multilateral trade-weighted index of the foreign exchange value of the U.S. dollar against the currencies of the other countries in the Group of Ten (G-10), developed at the Federal Reserve Board in 1971, has played an important role in staff analysis of foreign influences on the U.S. economy for more than twenty-five years. However, changes in international trading relationships and in the structure of international financial markets have led to increased interest in the currencies of U.S. trading partners outside the G-10 countries. Furthermore, the establishment of the European ...
Federal Reserve Bulletin
, Volume 84
, Issue Oct
Working Paper
US Equity Tail Risk and Currency Risk Premia
Fan, Zhenzhen; Xiao, Xiao; Londono, Juan M.
(2019-07-08)
We find that a US equity tail risk factor constructed from out-of-the-money S&P 500 put option prices explains the cross-sectional variation of currency excess returns. Currencies highly exposed to this factor offer a low currency risk premium because they appreciate when US tail risk increases. In a reduced-form model, we show that country-specific tail risk factors are priced in the cross section of currency returns only if they contain a global risk component. Motivated by the intuition from the model and by our empirical results, we construct a novel proxy for a global tail risk factor by ...
International Finance Discussion Papers
, Paper 1253
Working Paper
“Conditional PPP” and Real Exchange Rate Convergence in the Euro Area
Wu, Jyh-Lin; Glick, Reuven; Bergin, Paul R.
(2016-10-18)
While economic theory highlights the usefulness of flexible exchange rates in promoting adjustment in international relative prices, flexible exchange rates also can be a source of destabilizing shocks. We find that when countries joining the euro currency union abandoned their national exchange rates, the adjustment of real exchange rates toward their long-run equilibrium surprisingly became faster. To investigate, we distinguish between differing rates of purchasing power parity (PPP) convergence conditional on alternative shocks, which we refer to as ?conditional PPP.? We find that the ...
Working Paper Series
, Paper 2016-29
Report
Rational speculators and exchange rate volatility
Osler, Carol L.; Carlson, John A.
(1996-05-01)
This paper examines whether rational, fully informed speculators will smooth exchange rates. Friedman's (1953) claim that they must do so is challenged, based on the exclusion of interest rate differentials from his interpretation of speculator behavior. Once one recognizes that interest rates matter to speculators, it becomes apparent that rational speculators could sometimes violate Friedman's description of their behavior, and buy currency when its value is relatively high or sell currency when its value is low. For this reason the presence of rational, fully informed speculators may ...
Staff Reports
, Paper 13
Working Paper
Overborrowing, Underborrowing, and Macroprudential Policy
Arce, Fernando; Bengui, Julien; Bianchi, Javier
(2023-05-31)
In this paper, we revisit the scope for macroprudential policy in production economies with pecuniary externalities and collateral constraints. We study competitive equilibria and constrained-efficient equilibria and examine the extent to which the gap between the two depends on the production structure and the policy instruments available to the planner. We argue that macroprudential policy is desirable regardless of whether the competitive equilibrium features more or less borrowing than the constrained-efficient equilibrium. In our quantitative analysis, macroprudential taxes on borrowing ...
Working Papers
, Paper 798
Working Paper
Embedded Supervision: How to Build Regulation into Blockchain Finance
Auer, Raphael
(2019-10-01)
The spread of distributed ledger technology (DLT) in finance could help to improve the efficiency and quality of supervision. This paper makes the case for embedded supervision, i.e., a regulatory framework that provides for compliance in tokenized markets to be automatically monitored by reading the market?s ledger, thus reducing the need for firms to actively collect, verify and deliver data. After sketching out a design for such schemes, the paper explores the conditions under which distributed ledger data might be used to monitor compliance. To this end, a decentralized market is modelled ...
Globalization Institute Working Papers
, Paper 371
Working Paper
In Search of Dominant Drivers of the Real Exchange Rate
Miyamoto, Wataru; Nguyen, Thuy Lan; Oh, Hyunseung
(2023-03-31)
We uncover the major drivers of macro aggregates and the real exchange rate at business cycle frequencies in Group of Seven countries. The estimated main drivers of key macro variables resemble each other and account for a modest fraction of the real exchange rate variances. Dominant drivers of the real exchange rate are orthogonal to main drivers of business cycles, generate a significant deviation of the uncovered interest parity condition, and lead to small movements in net exports. We use these facts to evaluate international business cycle models accounting for the dynamics of both macro ...
International Finance Discussion Papers
, Paper 1373
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