Results 11 to 20 of about 72,940 (45)
When is Foreign Exchange Intervention Effective? Evidence from 33 Countries
American Economic Journal: Macroeconomics, 2016 This paper examines foreign exchange intervention based on novel daily data covering 33 countries from 1995 to 2011. We find that intervention is widely used and an effective policy tool, with a success rate in excess of 80 percent under some criteria ...
Marcel Fratzscher +4 more
semanticscholar +1 more source
Social Science Research NetworkThis paper investigates the influence of global equity market value shocks on institutional investors’ (IIs’) hedging behavior and the resultant effects on exchange rates.
Nadav Ben Zeev, D. Nathan
semanticscholar +1 more source
Central Bank Information Effects and Transatlantic Spillovers
Social Science Research Network, 2020 The news about the economy contained in a central bank announcement can affect public expectations. This paper shows, using both event studies and vector autoregressions, that such central bank information effects are an important channel of the ...
Marek Jarociński
semanticscholar +1 more source
Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle
, 2010 A major puzzle in international finance is that high interest rate currencies tend to appreciate (forward discount puzzle). Motivated by the fact that only a small fraction of foreign currency holdings is actively managed, we calibrate a two-country ...
P. Bacchetta, E. Wincoop
semanticscholar +1 more source
Exchange Rates and Prices: Evidence from the 2015 Swiss Franc Appreciation
The American Economic Review, 2018 We dissect the impact of a large and sudden exchange rate appreciation on Swiss border import prices, retail prices, and consumer expenditures on domestic and imported nondurable goods, following the removal of the EUR/CHF floor in January 2015.
Raphael A. Auer +2 more
semanticscholar +1 more source
Bond Convenience Yields and Exchange Rate Dynamics
American Economic Journal: Macroeconomics, 2017 This paper proposes a new explanation for the failure of Uncovered Interest Parity (UIP) that rationalizes both the classic UIP puzzle and the evidence that the puzzle reverses direction at longer horizons.
Rosen Valchev
semanticscholar +1 more source
Multi-Product Firms and Exchange Rate Fluctuations
, 2012 This paper studies the effect of exchange rate shocks on export behavior of multi-product firms. We provide a theoretical framework illustrating how firms adjust their prices, quantities, product scope, and sales distribution across products in the event
A. Chatterjee +2 more
semanticscholar +1 more source
Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?
The American Economic Review, 2016 We assume that domestic (foreign) agents, when investing abroad, can only trade in the foreign (domestic) risk-free rates. In a preference-free environment, we derive the exchange rate volatility and risk premia in any such incomplete spanning model, as ...
Hanno Lustig, Adrien Verdelhan
semanticscholar +1 more source
The Quanto Theory of Exchange Rates
The American Economic Review, 2017 We present a new identity that relates expected exchange rate appreciation to a risk-neutral covariance term, and use it to motivate a currency forecasting variable based on the prices of quanto index contracts.
Lukas Kremens, Ian J. Martin
semanticscholar +1 more source
After the Panic: Are Financial Crises Demand or Supply Shocks? Evidence from International Trade
American Economic Review: Insights, 2019 Are financial crises a negative shock to aggregate demand or supply? This is a fundamental question for research and policy making. Arguments for stimulus usually presume demand-side shortfalls; arguments for tax cuts or structural reform look to the ...
Felipe Benguria, Alan M. Taylor
semanticscholar +1 more source