Results 1 to 10 of about 72,940 (45)
Inflation Differential Pass-Through to Exchange Rate: Some Evidence From Pakistan
SAGE Open, 2023 Using regression and wavelet coherence techniques this paper tries to probe the validity of purchasing power parity (PPP) in Pakistan. For this purpose, monthly data is collected for nominal exchange rate and consumer prices of Pakistan and its 23 major ...
Muhammad Zakaria +3 more
semanticscholar +1 more source
Heterogeneous Behavior and Volatility Transmission in the Forex Market using High-Frequency Data
Journal of Applied Finance & Banking, 2023 This paper examines the dynamics of volatility transmission in the forex market using high-frequency data for five exchange rates (EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP and EUR/AUD) from January 2004 to October 2014.
R. Lamouchi, R. K. Shira
semanticscholar +1 more source
Currency Risk Premiums: A Multi-horizon Perspective
Social Science Research Network, 2023 We review the literature on multi-horizon currency risk premiums. We show how the multi-horizon implications arise from the classic present-value relationship. We further show how these implications manifest themselves in the interaction between bond and
Mikhail Chernov, Magnus Dahlquist
semanticscholar +1 more source
Are Global Factors Useful for Forecasting the Exchange Rate?
Journal of Applied Finance & Banking, 2023 This paper applies a common factors analysis framework to an exchange rate data panel, in order to better understand the forces behind exchange rate dynamics and provide a set of variables for exchange rate forecasting.
José Luiz Rossi Júnior +2 more
semanticscholar +1 more source
An Equilibrium Model of Global Imbalances and Low Interest Rates
, 2006 The sustained rise in US current account deficits, the stubborn decline in long- run real rates, and the rise in US assets in global portfolios appear as anoma - lies from the perspective of conventional models.
P. Gourinchas +2 more
semanticscholar +1 more source
Tariff Passthrough at the Border and at the Store: Evidence from Us Trade Policy
American Economic Review: Insights, 2019 We use microdata collected at the border and the store to characterize the price impact of recent US trade policy on importers, exporters, and consumers. At the border, import tariff pass-through is much higher than exchange rate pass-through.
G. Gopinath +3 more
semanticscholar +1 more source
Trade Balance and Exchange Rate: The J-Curve
Journal of Applied Finance and Banking, 2022 The objective of this paper is to test empirically the effect of a devaluation of a currency on the trade account of the country, the J-curve effect, by using the trade between the U.S.
Ioannis N. Kallianiotis
semanticscholar +1 more source
The Hedging Channel of Exchange Rate Determination
International Finance Discussion Paper, 2020 We propose the currency hedging channel that connects countries’ external imbalances to their exchange rate behavior. We present a model in which investors increase their currency hedging during periods of financial distress in proportion to their net ...
Gordon Y. Liao, Tony Zhang
semanticscholar +1 more source
Uncertainty and Information Acquisition: Evidence from Firms and Households
Social Science Research NetworkWe leverage the small open economy Switzerland as a testing ground for basic premises of macroeconomic models of endogenous information acquisition, using tailored surveys of firms and households.
H. Mikosch +3 more
semanticscholar +1 more source
The Dollar, Bank Leverage and the Deviation from Covered Interest Parity
American Economic Review: Insights, 2016 We document a triangular relationship in that a stronger dollar goes hand in hand with larger deviations from covered interest parity (CIP) and contractions of cross-border bank lending in dollars.
Stefan Avdjiev +3 more
semanticscholar +1 more source