Results 11 to 20 of about 83,691 (47)
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
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries
American Economic Journal: Macroeconomics, 2019 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
Bond Convenience Yields and Exchange Rate Dynamics
American Economic Journal: Macroeconomics, 2020 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
Testing Frankel's Monetary Model in Algeria Evidence from 1995 to 2023
Journal of Economic AdditionsThis study analyzes short- and long-term determinants of exchange rate movements using the ARDL model. Based on monetary and output theories, it considers money supply, income differentials, and interest rate spreads.
Bachir Elmerahi, Habib Benbayer
semanticscholar +1 more source
Central Banks as Dollar Lenders of Last Resort: Implications for Regulation and Reserve Holdings
American Economic Journal: MacroeconomicsWe explore how foreign central banks behave when firms engage in currency mismatch, borrowing heavily in dollars. A central bank can deal with risky private-sector mismatch in two ways: (i) with financial regulation or (ii) by accumulating reserves to ...
M. Das +4 more
semanticscholar +1 more source
Social Science Research NetworkThe slope carry consists of taking a long (short) position in the long-term bonds of countries with steeper (flatter) yield curves. The traditional carry is a long (short) position in countries with high (low) short-term rates.
S. Andrews +3 more
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, T. Zhang
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
Dollar Asset Holdings and Hedging Around the Globe
Social Science Research NetworkWe collect and analyze detailed filings from global institutional investors to estimate foreign investors’ U.S. dollar (USD) security holdings and currency hedging.
Wenxin Du, Amy Huber
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