Search Results

SORT BY: PREVIOUS / NEXT
Jel Classification:F31 

Report
Risk appetite and exchange Rates

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

Report
Reverse Speculative Attacks

In January 2015, in the face of sustained capital inflows, the Swiss National Bank abandoned the floor for the Swiss Franc against the Euro, a decision which led to the appreciation of the Swiss Franc. The objective of this paper is to present a simple framework that helps to better understand the timing of this episode, which we label a ?reverse speculative attack?. We model a central bank which wishes to maintain a peg, and responds to increases in demand for domestic currency by expanding its balance sheet. In contrast to the classic speculative attacks, which are triggered by the ...
Staff Report , Paper 528

Working Paper
Missing Import Price Changes and Low Exchange Rate Pass-Through

A large body of empirical work has found that exchange rate movements have only modest effects on inflation. However, the response of an import price index to exchange rate movements may be underestimated because some import price changes are missed when constructing the index. We investigate downward biases that arise when items experiencing a price change are especially likely to exit or to enter the index. We show that, in theoretical pricing models, entry and exit have different implications for the timing and size of these biases. Using Bureau of Labor Statistics (BLS) microdata, we ...
International Finance Discussion Papers , Paper 1040

Working Paper
Large Capital Inflows, Sectoral Allocation, and Economic Performance

This paper describes the stylized facts characterizing periods of exceptionally large capital inflows in a sample of 70 middle- and high-income countries over the last 35 years. We identify 155 episodes of large capital inflows and find that these events are typically accompanied by an economic boom and followed by a slump. Moreover, during episodes of large capital inflows capital and labor shift out of the manufacturing sector, especially if the inflows begin during a period of low international interest rates. However, accumulating reserves during the period in which capital inflows are ...
International Finance Discussion Papers , Paper 1132

Working Paper
The dollar during the global recession: US monetary policy and the exorbitant duty

We document that during the Global Recession, US monetary policy easings triggered the ?exorbitant duty? of the United States, the issuer of the world?s dominant currency, by causing a dollar appreciation and a transfer of wealth from the United States to the rest of the world. This dollar appreciation runs counter to the predictions of standard macroeconomic models and works through two channels: (i) a flight-to-safety effect which lowered the expected excess returns of holding safe US government debt relative to foreign debt and (ii) lowered expected future inflation in the United States ...
Working Papers , Paper 18-10

Report
Importers, exporters, and exchange rate disconnect

Large exporters are simultaneously large importers. In this paper, we show that this pattern is key to understanding low aggregate exchange rate pass-through as well as the variation in pass-through across exporters. First, we develop a theoretical framework that combines variable markups due to strategic complementarities and endogenous choice to import intermediate inputs. The model predicts that firms with high import shares and high market shares have low exchange rate pass-through. Second, we test and quantify the theoretical mechanisms using Belgian firm-product-level data with ...
Staff Reports , Paper 586

Working Paper
Intra-safe haven currency behavior during the global financial crisis

We investigate intra-safe haven currency behavior during the recent global financial crisis. The currencies we consider are the USD, the JPY, the CHF, the EUR, the GBP, the SEK, and the CAD. We first assess which safe haven currency appreciates the most as market uncertainty increases, i.e. we assess which safe haven currency is the ?safest?. We then use non-temporal threshold analysis to investigate whether intra-safe haven currency behavior changes, e.g. accelerates or decelerates, as market uncertainty increases. We find that the JPY is the ?safest? of safe haven currencies and that only ...
Globalization Institute Working Papers , Paper 199

Working Paper
Low Risk Sharing with Many Assets

Classical contributions in international macroeconomics rely on goods-market mechanisms to reconcile the cyclicality of real exchange rates when financial markets are incomplete. However, cross-border trade in one domestic and one foreign-currency-denominated risk-free asset prohibits these mechanisms from breaking the pattern consistent with complete markets. In this paper, we characterize how goods markets drive exchange rate cyclicality, taking into account trade in risk-free and/or risky assets. We show that goods-market mechanisms come back into play, even when there is cross-border ...
Working Paper Series , Paper 2023-37

Working Paper
Real exchange rate forecasting and ppp: this time the random walk loses

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
The speed of exchange rate pass-through

On January 15, 2015, the Swiss National Bank terminated its minimum exchange rate policy of one euro against 1.2 Swiss francs. This policy shift resulted in a sharp, unanticipated and permanent appreciation of the Swiss franc by more than 11% against the euro. We analyze the exchange rate pass-through into import unit values of this shock at the daily frequency using Swiss transaction-level trade data. Our key findings are twofold. First, for goods invoiced in euro the pass-through is immediate and complete. This finding is consistent with no systematic nominal price adjustment in this subset ...
Globalization Institute Working Papers , Paper 282

FILTER BY year

FILTER BY Content Type

Working Paper 127 items

Report 18 items

Journal Article 5 items

Discussion Paper 3 items

Newsletter 2 items

Briefing 1 items

show more (2)

FILTER BY Author

Bianchi, Javier 6 items

Fatum, Rasmus 6 items

Neely, Christopher J. 6 items

Goldberg, Linda S. 5 items

Hevia, Constantino 5 items

Martinez-Garcia, Enrique 5 items

show more (227)

FILTER BY Jel Classification

F41 55 items

G15 41 items

F32 19 items

G12 19 items

E52 14 items

show more (88)

FILTER BY Keywords

exchange rates 17 items

Exchange rate 6 items

Exchange rates 6 items

monetary policy 6 items

Monetary policy 5 items

dollar 5 items

show more (393)

PREVIOUS / NEXT