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Academic research has been completed on various historical economic crises, mostly in isolation, with some researchers attempting to make a comparison to prior crises. This paper focuses on identifying crisis indicators based on historical analysis of pre-crisis conditions, both in the country with the highest disparity based on the Gini coefficient (South Africa) and the country with the highest concentration of wealth (the United States). A systematic literature review was performed, and a total of 37 unique identifiers were found from 16 papers selected for inclusion. A systematic literature review is an appraisal and synthesis of primary research papers using a rigorous and clearly documented methodology in both the search strategy and the selection of studies. While common in medical research, the systematic review, a rigorous and thorough approach, is rarely used in finance and economics, with this paper representing one of few such reviews that have been published. The indicators that were found to be common amongst the crises studies were Gross Domestic Product (GDP), Interest Rates, Foreign Currency Exchange Rates, Assets Prices, Current Account Balance, and National debt. These six indicators were found in at least 25% of the papers included, with GDP cited in 50% of papers reviewed. This body of work compiles a list of indicators that can be used to improve the current Early Warning Indicators used by economists to predict financial crises, as it compiles commonalities from 80 years of crises, rather than examining a single crisis in isolation. Finally, additional literature was found to support the application of crisis indicators from developed and developing nations to predict the next crisis. [ABSTRACT FROM AUTHOR]

Reports on the performance of the coated fine paper industry in the U.S. Impact of the fluctuations in the U.S. dollar/euro exchange rate on the sector; Effect of low-cost competition from the east on uncoated fine paper grades; Imports attracted by the strong euro for the industry.

This paper investigates the efficacy of currency management as a policy tool to improve trade balance by analyzing the impact of the real exchange rate on the bilateral trade between the United States and China. The paper builds upon the existing literature and empirical analysis is carried out based on the J-curve hypothesis using quarterly data from 2000Q1 to 2021Q4. The vector-auto regression (VAR) model is estimated using China and the United States' trade balance, real exchange rate, and GDP. The impulse response functions provide evidence of the J-curve. A shock in Yuan (CNY)-US dollar real exchange rate leads to initial deterioration but improvement in the trade balance in favor of China over subsequent quarters. The results hold for various sub-periods of analysis, i.e., after the exchange rate was allowed to fluctuate since July 2005. Evidence supports that the policy of managing the real exchange rate might have yielded desired results for China. [ABSTRACT FROM AUTHOR]

This study employs the panel vector autoregressive (PVAR) model to examine the spillover effect of US unconventional monetary policy on inflation and non-inflation targeting emerging markets post credit crunch and during COVID-19 from 2000Q1 to 2020Q4. Unlike other analyses, this paper adds to the existing body of knowledge by employing a dummy variable to represent the United States' quantitative easing. Other included control variables are equity prices, the federal reserve rate, the exchange rate, central bank assets and the short-term interest rate. This paper estimated two-panel VARs, Model one and Model two, for inflation and non-inflation targeting emerging markets, respectively. Model one consists of eight inflation-targeting markets, and Model two consists of four non-inflation-targeting countries. Other included control variables are equity prices, the federal reserve rate, the nominal effective exchange rate, and the central bank policy rate. According to the empirical results, the US unconventional monetary policy induces a surge in the exchange rate and a decrease in the central bank policy rate for both inflation and non-inflation targeting emerging markets. However, there was no significant impact on the equity prices. The empirical results are statistically significant, robust, and consistent with previous studies except for the response of equity prices. Unconventional monetary policy is effective in steering macroeconomic variables in developed economies. The monetary policymakers in emerging markets must also use the currency reserve to stabilise the macroeconomic variables in response to US unconventional monetary policy shocks. [ABSTRACT FROM AUTHOR]

A discussion of several conference papers that examined monetary policy is presented. The author notes that one of the papers offered a clear argument on the role of monetary policy in international finance. The author also explores the idea of flexible exchange rates and the problems that inflation may present. The author proposes that a deflation of income would actually solve many of the economic problems the U.S. is facing in the postwar period.

Research background: Most transactions in world trade are invoiced in several international currencies. The changes in the distribution of the great economic powers and the strengthening of the position of developing countries make it necessary to consider the factors determining the choice of trade invoicing currency and to assess the prospects of the dollar as an invoicing currency and the possibility of strengthening the position of developing countries' currencies in this function. Purpose of the article: The aim of the paper is to assess the factors influencing the choice of invoicing currency for international trade in 2000-2019. Methods: The analysis of factors influencing the choice of international trade invoicing currency is based on panel data modelling. The study is conducted for a group of 55 countries. It is assumed that the following variables may influence the currency position in the trade invoicing function: the share of the issuer's country in the bilateral trade, inflation and exchange rate. Findings & value added: The analysis showed that despite the decreasing share of the United States in world trade, the U.S. dollar remains the most important export invoicing currency. The main factors influencing the dollar's dominance are the U.S. share of countries' exports, inflation in developing countries, and the exchange rate in advanced economies. The great significance of trade share as a determinant of the position of the trade invoicing currency is an important indication of the strengthening position of developing country currencies, particularly the Chinese yuan. The obtained results confirm, with the use of more complete data, the validity of the dominant currency paradigm and enrich the still underdeveloped analysis in the area of international macroeconomics using panel data analysis. [ABSTRACT FROM AUTHOR]

Purpose: The Polish economy has undergone major challenges and changes over the past few decades. The country's trade flows, in particular, have become more firmly tied to the country's Western neighbors as they have grown in volume. This study examines Poland's trade balances in ten Standard International Trade Classification (SITC) sectors versus the United States of America, first testing for and isolating structural breaks in each time series. These breaks are then included in a set of the cointegration models to examine their macroeconomic determinants. Design/methodology/approach: Linear and nonlinear and nonlinear autoregressive distributed lag models, both with and without dummies corresponding to structural breaks, are estimated. Findings: One key finding is that incorporating these breaks reduces the significance of the real exchange rate in the model, supporting the hypothesis that this variable already incorporates important information. It also results in weaker evidence for cointegration of all variables in certain sectors. Research limitations/implications: This study looks only at one pair of countries, without any third-country effects. Originality/value: An important country pair's trade relations is examined; in addition, the real exchange rate is shown to incorporate economic information that results in structural changes in the economy. The paper extends the existing literature by conducting an analysis of Poland's trade balances with the USA, which have not been studied in such a context so far. A strong point is a broad methodology that lets compare the results the authors obtained with different kinds of models, both linear and nonlinear ones, with and without structural breaks. [ABSTRACT FROM AUTHOR]

This article presents comments by the author on the U.S. exchange rate. According to the author, the U.S. has run large unrecorded receipts for several years now, $30 billion in 1984 alone. It is usually assumed that what is going unrecorded is capital inflows, since it is known that the U.S. collection of data on capital flows is imperfect. However, it is noteworthy that there is also a substantial world current account deficit: in recent years the summation of total current account positions around the world is not zero but substantially negative, amounting to $70 billion in 1984. The world deficit is largely due to unrecorded receipts for services, many of which are purchased by governments (and hence are recorded as payments) but received by private parties. The data collection techniques for many services are even worse than those for capital movements, and are a serious weakness in our external accounts. Even bilateral comparisons with Canada reveal that Canadians record several billion dollars a year more in service payments to the U.S. than the U.S. shows in receipts from Canada.

The common theme running through the three papers prepared for this session is the nature and effectiveness of the international balance-of-payments adjustment process. Klein projects the effect of exchange-rate changes on national balance-of-payments positions. Kenen assumes fixed exchange rates and simulates the effects on the U.S. balance of payments of changes in U.S. monetary and fiscal policy. Adler and Stevens analyze the relationship between foreign direct investment by U.S. firms and U.S. exports, and then use their model to simulate the effect of several kinds of policy measures (exchange-rate, tariff and tax-rate changes) on that key aspect of the adjustment process. [ABSTRACT FROM AUTHOR]

This paper quantitatively compares the intrinsic features of the daily USD-GBP exchange rates in two different periods, the 1920s and the 2010s, under the same freely floating exchange rate system. Even though the foreign exchange markets in the 1920s seem to be much less organized and developed than in the 2010s, this paper finds that both the long memory volatility property and the structural break appear to be the common intrigue features of the exchange rates in the two periods by using the FIGARCH model. In particular, the long memory volatility properties in the two periods are found to be upward biased and overstated because of the structural breaks in the exchange markets. Thus this paper applies the Adaptive-FIGARCH model to consider the long memory volatility property and the structural breaks jointly. The main finding is that the structural breaks in the exchange markets affect the long memory volatility property significantly in the two periods but the degree of the long memory volatility property in the 1920s is reduced more remarkably than in the 2010s after the structural breaks are accounted for; thus implying that the structural breaks in the foreign exchange markets in the 1920s seem to be more significant. [ABSTRACT FROM AUTHOR]

The announcement made by the Fed Chairman, Ben Bernanke, on May 22, 2013 regarding the reduction of the quantitative easing programme that took by storm the financial markets determined the significant volatility increase of the US markets and it was not limited to it. The financial markets in the emerging countries that benefited from an increase in their financial flows during the quantitative easing programme were the most affected by this announcement through the volatility increase, depreciation of exchange rate and massive capital outflows. The current paper tackles volatility and volatility transmission from the US market determined by the change of monetary policy to the Eastern European markets. To study the volatility of each stock and bond market of the countries in Eastern Europe, we used univariate heteroscedastic models while for the analysis of volatility transmission from the US market to the Eastern European markets we used the multivariate heteroscedastic models. The results obtained confirm the volatility transmission both on the stock markets, with the exception of Latvia and Lithuania, and on the bond markets in Eastern Europe. [ABSTRACT FROM AUTHOR]

This paper asks whether the policy of benign neglect that the United States (U.S.) government adopted in the 1970s toward foreign purchases of U.S. dollar securities and the price of the U.S. dollar has advanced the ability of the U.S. to achieve its employment, price level, growth, and national security objectives. The dominant objective of some members of the U.S. team at Camp David in August 1971 was to secure an increase in the U.S. trade surplus. One choice for the U.S. government was to increase the U.S. dollar price of gold to $100 or $140 an ounce, much like the increase to $35 an ounce in 1934. The competing choice was to close the gold window. Some members of this team believed that this choice would facilitate the move to a flexible exchange rate arrangement and that the U.S. trade surplus would increase as the price of the U.S. dollar fell. The price of the U.S. dollar has increased since the late 1970s and the purchase of U.S. dollar securities by foreign central banks, sovereign wealth funds, mutual funds, insurance companies, pension funds, and families have meant that U.S. exports of securities have displaced U.S. exports of goods. The U.S. trade surplus morphed into a U.S. trade deficit in the early 1980s, which has increased secularly, and now is nearly four percent of U.S. GDP. U.S manufacturing employment declined from 20 million in 1980 to 13 million in 2020. The increasingly large U.S. trade deficit led to the loss of three million U.S. manufacturing jobs (ball park estimate). Hundreds of factory towns in the Northeast and Midwest were decimated by the increase in the U.S. trade deficit. [ABSTRACT FROM AUTHOR]

The strong policy response of the United States to the 2008–2009 financial crisis raised concerns about its spillovers on other countries. The effects of the monetary stimulus received significant attention, while those of fiscal policy were largely overlooked, despite the combined deployment of these two policy instruments. This paper studies the trade spillovers of the post‐crisis policy mix. We find that overall effects were positive in the immediate aftermath of the crisis, reflecting positive spillovers of fiscal policy that outweighed the negative impact of monetary policy. More generally, our results highlight (i) the importance of studying fiscal and monetary policy spillovers jointly, as models with both instruments produce very different (and arguably more accurate) estimates of the effects of fiscal and monetary policy shocks, and (ii) that exchange rate regimes of trading partners are first‐order determinants of the extent of policy spillovers. [ABSTRACT FROM AUTHOR]

This paper characterizes the intraday dynamics of the high frequency US Dollar (USD)-Euro (EUR) and US Dollar (USD)-Japanese Yen (JPY) foreign exchange rates that have been subject to macroeconomic fundamentals. Even though the FIGARCH model with a normality assumption is found to be a good starting point, it appears to be inappropriate to represent the underlying movements of the high frequency returns due to the occurrences of jumps. Hence, this paper relies on the FIGARCH model with the mixture distribution that allows for the time-varying jumps that are determined by the US macroeconomic surprises. This paper generally finds that the US macroeconomic surprises are closely related to the intraday movements in the volatility process of the high frequency returns process through the jumps. In particular, the US macroeconomic surprises appear to affect the movements in the volatility process of the foreign exchange rates asymmetrically depending on the signs of the surprises and spuriously increasing the long memory persistence in the volatility process due to the jumps. [ABSTRACT FROM AUTHOR]

This article explores the explanation provided by Farley W. Grubb on the rhetoric and behavior of the Founding Fathers regarding the monetary clauses put in the U.S. Constitution, which is consistent with the quantitative evidence on price indices, exchange rates, and the incidence of currencies used in market transactions both before and after the 1787 Constitutional Convention. Robert W. Michener and Robert E. Wright challenge this explanation. They assert that the burden of proof in this debate should fall on revisionists, among whom they rank Grubb. Michener and Wright's story leads to a revisionist interpretation of the Founding Fathers and the performance of the early U.S. dollar monetary system that is outside the scholarly mainstream.

This paper examines how China's bilateral trade with the U.S. responds to exchange rate changes of the real Chinese yuan against the U.S. dollar using annual data covering the period 1985 to 2014. The short‐run dynamics of the China‐U.S. trade balance vs. the yuan's depreciation is examined through the S‐curve and J‐curve effects, and the long‐run relationship is established using the autoregressive distributed lag model. The paper found evidence of the S‐curve but not of the J‐curve in the short‐run although the J‐curve effect is found to be present in the long‐run. China's bilateral ratio of exports to imports with the U.S. is found to have an inelastic response to the yuan's exchange rate change against the U.S. dollar in the short‐run, but in the long‐run, it has the expected elastic response. Compared with the influence of the Yuan‐U.S. dollar exchange rate change and China's real income, U.S. real GDP has the largest impact on China‐U.S. bilateral trade relations in the long‐run. Additionally, the structural break in the data series in 2008 from the Great Recession had a small but significant short‐term effect on the bilateral trade between the two nations. Following an exchange rate shock, the deviation of China's trade ratio from its long‐run level takes less than 2 years to converge. [ABSTRACT FROM AUTHOR]

In this paper, we analyze the spillovers of uncertainty from the United States (US) on Gross Domestic Product (GDP) in a large panel of 50 advanced and emerging economies. We allow the response of GDP in each country to vary according to its exchange rate regime, trade openness, and a vulnerability index (based on current account, foreign reserves, inflation, and external debt). We observe large heterogeneity in the response of advanced and emerging economies to uncertainty surprises of the US. In response to an increase in US uncertainty, GDP in foreign economies drops slightly more, as it does in the US. In addition we find that, for advanced economies the exchange rate regime and financial vulnerability account for a large portion of the contraction in activity. In emerging economies, however, the responses do not depend on the exchange rate regime, but are larger when trade openness is high and weakness in the financial system is high. [ABSTRACT FROM AUTHOR]

In this paper, we test the validity of the purchasing power parity (PPP) hypothesis between Türkiye and its trading partners - the European Union, China, and the US - for the period from January 2001 to January 2020. We test the stationarity of the real exchange rates for the validity of the PPP hypothesis by applying linear and nonlinear unit root tests. We also employ Fourier-based tests to account for the structural changes that occurred in the considered period. Test results indicate that shocks are temporary, and the PPP hypothesis is valid for Türkiye. [ABSTRACT FROM AUTHOR]

Some macroeconomic dimensions like the economic business cycle, the exchange rate movements when the degree of country openness is significant, or the level of inflation are often considered to explain measured-inflation dynamics. However, inflation volatility may also be affected by statistical agencies methodological changes. This paper explores both potential explanations in a panel data for 100 United States CPI-U subcategories. Using both unconditional and conditional variances, we find that crucial changes in how agencies consider quality adjustment in products, together with the macroeconomic variables help to understand CPI volatility over time, both in the short-run and in the long-run. [ABSTRACT FROM AUTHOR]

This paper investigates the spillover effects of United States monetary policy on exchange rates of 11 emerging markets and 12 advanced economies during the pre-Coronavirus Disease 2019 (COVID-19) period of 2019 versus the COVID-19 period of 2020. The investigation was achieved via a structural vector autoregression model, where year-on-year changes in weekly measures of economic activity, exchange rates and policy rates were used. The empirical results suggest evidence for the spillover effects of United States monetary policy for several countries during the pre-COVID-19 period, whereas they have been effective only for certain countries during the COVID-19 period that can be explained by the disease outbreak channel. It is implied that policies keeping the pandemic under control may help mitigate the unforeseen economic effects of the COVID-19 crisis. [ABSTRACT FROM AUTHOR]

The literature traditionally uses US monetary and financial factors as indicators of global financial conditions. This paper explores whether similar European factors also need to be considered when studying the behaviour of cross-border bank flows. Using a longer time series and broader country sample than previous studies, we confirm that flows vary with uncertainty (VIX), US monetary policy (real interest rate and term spread), and US exchange rate. In contrast to the existing literature, we find that US bank conditions are insignificant in explaining flows outside the global financial crisis. European bank conditions (euro-area and UK large bank leverage, or TED spread, the three-month interbank rate minus three-month government bond yield) are, however, important throughout the 2000s, even outside the crisis and when controlling for commonality in global conditions. Taken together, our results suggest that global financial conditions are best captured by US monetary conditions and exchange rate dynamics and European bank conditions. This finding is consistent with the important role of European banks in intermediating cross-border credit, including dollar-denominated credit. [ABSTRACT FROM AUTHOR]

This article presents comments from economists on a paper by Alberto Giovannini regarding the problem of achieving the objectives of the convergence of inflationary expectations and stability of exchange rates. Richard N. Cooper comments that Giovannini rejects several hypothesis about the differences in interest rates between France and Italy and Germany. He suspects that the Eurofranc market was relatively thin during the period of Giovannini's estimations. To measure exchange risk, one might ask what the typical differentials on short-run notes of U.S. states have been in the absence of exchange risk but in the presence of credit risks and liquidity effects. On the other hand, Robert E. Hall talks about the U.S. as a successful monetary union. According to Hall the paper suggests that Europe today takes for granted that a conventional central bank is the ultimate goal of monetary union. Monetary policy would be executed by open-market operations in member-government securities or by obligations of the European central government. Moreover, Benjamin Friedman pointed out that the distribution of returns from taking a long position in francs had fatter tails than would be expected if the returns were normally distributed.

This paper presents the first empirical study of the bid/ask spread based on intra-daily transactions data from the Danish stock market. The technique developed by Roll (1984) for inferring the bid/ask spread is implemented and evaluated on samples of data from January, February and March 1993. In particular, since quoted spreads are available, it is possible to make a direct evaluation of the Roll estimator. The conclusion of the paper is twofold. First, the Roll estimator captures a large part of the actual quoted spread. Secondly, the average Danish bid/ask spread is larger than the 0.3% presented by Roll for the US market. [ABSTRACT FROM AUTHOR]

The article comments on a paper published within the issue, "Foreign Exchange Hedging and the Capital Asset Pricing Model," by Alexander A. Robichek and Mark R. Eaker. The author considers whether Robichek and Eaker's paper is able to provide original theoretical insights on the pricing of forward contacts in a portfolio context. Robichek and Eaker are criticized for their evidence on forward rates changes, which the author insists can be just as easily shown to have weak correlations with several other variables. The author feels that the paper should be regarded as a stepping-stone to more refined empirical inquiry rather than as selfsufficient in its evidence.

This paper deploys the Johansen cointegration approach to investigate the presence of a long-run broad money demand relationship in Australia, using annual data for the period 1970-2008. The empirical results suggest the presence of a long-run relationship between real broad money balances, real output, the yield on Australian Government long-term bonds, yield on the US Government Treasury bills and the nominal effective exchange rate of the Australian dollar. Although the coefficients on these variables bear their expected signs, only the coefficients on real output and the yield on Australian Government long-term bonds are found statistically significant over multiple subsample periods. The stability test results suggest that the broad money demand relationship was unstable during the early 1990s but has gained stability since then. The paper also draws implications of the findings on the design and conduct of monetary policy. [ABSTRACT FROM AUTHOR]

Purpose – The purpose of this paper is to use disaggregated data on US-UK trade to investigate the effects of exchange rate depreciation on trade in services both in the short- and long-run. Design/methodology/approach – The paper focuses on the three traditional categories of internationally traded services – travel, passenger fares and other transportation services – and employs the "bounds" testing procedure advanced by Pesaran, Shin and Smith to investigate the J-curve effect. Findings – The results reveal that the real exchange rate has a statistically significant effect on trade in services in at least one of the time periods. The results also provide some support for the J-curve effect. Practical implications – Empirical evidence on the J-curve provides policymakers with valuable information about the effects of currency depreciation on the trade balance. Originality/value – To the best of the author's knowledge this is the first paper to investigate the J-curve effect using data on trade in services. [ABSTRACT FROM AUTHOR]

In 2005, China abated its fixed exchange rate against the U.S. dollar and began to appreciate the Renminbi (RMB). In this paper, I explore the effect of the appreciation of the RMB on imports to the United States from China by augmenting the gravity model with the exchange rate. Using an industrial panel data set during the period 2002-2008 and controlling for the endogeneity of the bilateral exchange rate, this extensive empirical analysis suggests that the appreciation of the RMB against the U.S. dollar significantly reduced imports to the United States from China. This finding is robust to a variety of econometric methods and to coverage in different periods. [ABSTRACT FROM AUTHOR]

This paper introduces a new measure to capture dynamic losses for exporting firms on markets that exhibit hysteresis on the supply side. Our indicator aims to quantify dynamic losses caused by sunk adjustment costs in case of exchange rate fluctuations. While the standard procedure in welfare analysis is to compare two equilibria, we focus on welfare effects that take place during dynamics. We analyze negative dynamic effects on producers' income that are generated due to writing off sunk adjustment costs. As an example, we investigate Italian wine exports to the United States over the period 1995–2013. After testing for hysteresis on the market, we present the indicator of hysteresis losses. It captures a continuous increase of dynamic losses during the period 2003–2008. Moreover, over-proportionately large hysteresis losses are generated in comparison to the exchange rate changes if the pain threshold of the exchange rate (ca. 1.25$/€) is passed. [ABSTRACT FROM AUTHOR]

This paper analyses the relationship between the US net external position and the exchange rate regime. I find a structural break in the US net external position at the end of the Bretton Woods system of fixed exchange rates that changed both the mean and variance of the series. On average, the US changed from a creditor to a debtor position and the variance of the external position increased during the floating period. This increase is to a large extent due to the valuation component of external adjustment that accounts for 54% of the variance of the US external position during the floating period but only 29% during the fixed exchange rate period. Further analysis shows that the exchange rate regime mainly affects the valuation channel of external adjustment. There is also evidence of another structural break in the US external position around the time of the introduction of the euro. Finally, I document asset pricing implications from the relationship between the exchange rate regime and the external adjustment process, as external imbalances predict the foreign exchange once the exchange rate regime is taken into account. [ABSTRACT FROM AUTHOR]

This paper examines the hypothesis that the boom in dollar credit in emerging market economies (EMEs) is associated with an excessively low interest rate in the US. For this purpose, we use a multivariate correlated unobserved component model that allows for correlation between shocks to dollar credit, cross‐border interest rate gaps—measured as the difference between emerging market interest rate and the US interest rate, and dollar index both in the short run and in the long run. In addition, it also provides us a quantitative estimate of the permanent and transitory movements in dollar credit in EMEs, interest rate gaps and dollar index. The results from this model do suggest that a temporary increase in interest rate gaps and decline in the dollar index are associated with a temporary increase in the dollar credit in EMEs with a very high degree of correlation. The estimate of the cyclical component of the dollar credit in EMEs from our model captures the recent boom and bust in this market and compares favourably to alternative trend–cycle decomposition methods. [ABSTRACT FROM AUTHOR]

This paper examines the effects of exchange rate depreciation to the U.S. economy in a factor‐augmented vector autoregression model using monthly data of 148 variables for the post–Bretton Woods period of 1973–2017. Exchange rate shock is identified to reflect exogenous disturbances to the foreign exchange market, and movements in exchange rate that are not accounted for by changes in the U.S. monetary policy. We find that depreciation is expansionary and inflationary to the broad U.S. economy, the current account improves over time conforming to the J‐curve theory, and monetary policy is leaning against the wind. [ABSTRACT FROM AUTHOR]

Purpose This paper aims to analyze the marked decline in exchange rate pass-through to US import prices in the early 2000s focusing on the increased role of China as a trade partner. In particular, the research focuses on the impact of an exporter with a fixed exchange rate having large market shares of a particular importing country.Design/methodology/approach The study uses highly disaggregated US import data and rolling regressions to calculate quarterly pass-through estimates for specific goods from every exporter. This leads to a total of over 1.7 million pass-through coefficients. The second stage compares these pass-through coefficients with China's share of US import market for that particular good and time.Findings The paper shows that as China's market share for specific goods grows, pass-through rates of imports from other countries falls. Pass-through rates remain relatively stable for goods that China does not export to the USA or goods for which China's share of US imports stays constant. This relationship is stronger when the dollar decreases in value, further suggesting that pressure from China forces competitors to maintain stable prices.Originality/value This paper is unique in its use of highly disaggregated data on US imports. While many analyses of exchange rate pass-through focus on overall levels or general goods, this work uses import data at the 10-digit HTS code level. Therefore, the findings are more detailed in showing how China's increased presence in the US market influences prices of imports from other countries. [ABSTRACT FROM AUTHOR]

Previous research that employed bilateral trading data in analyzing the impact of exchange rate volatility on real trading volume has yielded mixed results. Thus, it is possible that the effects are non-linear. This paper uses a threshold regression model proposed by Hansen (1999) to examine this impact on bilateral exports between the US and its top 13 trading partners. The estimated results illustrate that the threshold effects exist if the threshold variable is real gross domestic product (GDP) per capita of partner countries relative to US GDP per capita. Exchange rate volatility reduces the exports from the US to relative high-income partner countries but increases exports from the US to relative low-income partner countries. [ABSTRACT FROM AUTHOR]

This paper studies the high frequency reaction of the DEM/USD exchange rate to publicly announced macroeconomic information emanating from Germany and the U.S. By using data sampled at a five-minute frequency, we are able to identify significant impacts of most announcements on the exchange rate change in the 15 minutes post-announcement, although the significance of these effects decreases rapidly as the interval over which the post-announcement change in exchange rates is increased. The direction of the exchange rate response conforms, in general, with a reaction function interpretation whereby reactions to macroeconomic news are driven by the likely operations of monetary authorities in domestic money markets. Further, we detect influences of German monetary policy decisions on the reaction of the exchange rate, and also differences between U.S. and German announcements in the exchange rate reaction time pattern. [ABSTRACT FROM AUTHOR]

This paper examines the pricing of exchange rate risk in the U.S. stock market, using two-factor and multi-factor arbitrage pricing models. Evidence is presented that the relation between stock returns and the value of the dollar differs systematically across industries. The empirical results, however, do not suggest that exchange risk is priced in the stock market. The unconditional risk premium attached to foreign currency exposure appears to be small and never significant. As a result, active hedging policies by financial managers cannot affect the cost of capital, and other reasons must explain why firms decide to hedge. [ABSTRACT FROM AUTHOR]

The transition of the US money supply from the mixture of paper bills of credit, certificates and foreign coins that circulated at various exchange rates with the British pound sterling during the colonial period to the unified dollar standard of the early national period was rapid and had far-reaching consequences. This article documents the transition and highlights the importance of this standardisation in bringing order to the nation's finances and in facilitating the accumulation and intermediation of capital. It describes how the struggle of the colonies to maintain viable substitutes for hard money set the stage for the financial leaders of the Federalist period to settle upon the dollar, attach it to a convertible metallic base, and create a national bank that issued notes denominated in the new monetary unit. It also presents recently constructed estimates of the US money stock for 1790–1820 and relates them to measures of the nation's early modernisation. [ABSTRACT FROM AUTHOR]

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This paper models co-movements in house prices using a copula-based approach that allows for asymmetric contemporaneous and dynamic dependence between prices in different locations. The models consider both US co-movements across different census divisions and international co-movements across different OECD countries. Results show evidence of strong contemporaneous tail dependence among US census divisions, indicating that extreme price movements in different areas tend to happen in tandem. On the international level, by contrast, results find almost no evidence of contemporaneous or dynamic linkages in house price movements between different countries. These results hold important implications for informing upon risk embedded in mortgage backed securities. [ABSTRACT FROM AUTHOR]

This paper examines the effects of changing market shares on exchange rate pass-through to US import prices. Based on a static model of imperfect competition, I predict that a country with a larger share of a host’s import market will have lower pass-through than its competitors. Using highly disaggregated data on US imports, I implement rolling regressions to calculate unique quarterly values of pass-through for specific goods from each exporting country. These values are compared across market shares, indicating a general trend of decreasing pass-through for larger shares. Most specifically, as predicted by the model, the country holding the largest share of the market has significantly lower pass-through than its competitors. The negative relationship between pass-through and market share holds across most categories of goods, most notably the larger categories of imports. Lastly, I show the market share effect is stronger following larger fluctuations in the exchange rate, particularly after large dollar appreciations. [ABSTRACT FROM AUTHOR]

Purpose The purpose of this paper is to examine how Korean firm American Depository Receipts (ADRs) performed vs a US index and an Asia Pacific regional index. ADRs have been known to help cause-emerging economies become more developed and foreign exchange markets become more stable.Design/methodology/approach The study utilizes standard ADR/IPO excess return methodology and presents returns on a month-by-month and cumulative basis for a three-year holding period beginning with the day of listing. Excess holding period returns are also provided.Findings The Korean firm ADRs trading on the NASDAQ underperformed both the US index and the regional Asia Pacific index for the first three years of trading. However, the Korean ADRs listed on the NYSE outperformed both the US index and the Asia Pacific index for the three-year holding period.Originality/value This paper shows how including equities of Korean firms traded in US markets in a stock portfolio helps to provide international diversification benefits. Solid performance vs market indexes may make subsequent and new issues from Korea more attractive in US equity markets. [ABSTRACT FROM AUTHOR]

From the 1970s, the global currency system has two features: the use of one or a few sovereign currencies as the global reserve asset and the floating exchange rate regime between major currencies. This paper points out that the costs of the dollar's use as an international reserve currency exceed the benefits for both the US and the rest of the world. These costs include the exporting of American manufacturing as a byproduct of its current account deficit needed to supply its currency to the rest of the world. In addition to the detriment to trade from unpredictable exchange rate fluctuations, the termination of the U.S. obligation to redeem its currency for gold also removed an important restraint on deficit financing for the US and many other countries in the short-run, thus promoting excessive leverage that was a major contributor to the 2008 financial crisis. The paper suggests replacing several main countries' currencies in international reserves with a real Special Drawing Right (SDR) issued according to currency board rules. [ABSTRACT FROM AUTHOR]

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This article comments on a paper that uses a unified analytical framework to assess the relevance of several proposed hypotheses which explain the real effects of exchange-rate-based stabilization in the U.S. Sergio Rebelo and Carlos A. Végh proposed a kind of horse race--they propose to study the quantitative implications of alternative hypotheses within a common framework. By doing so, they hope to be able to shed light in which theories perform well when confronted with data on a wide range of economic variables. For example, if a particular theory was designed to explain a post reform consumption boom and real exchange-rate appreciation, Rebelo and Végh will also examine the predictions of the theory for output, investment, the current account, and others. These predictions will then be compared with a set of stylized facts developed from examination of a group of recent stabilization attempts. In any investigation of this kind, there is an inevitable tension between keeping the model simple enough so that the key mechanisms remain transparent, and making the model look realistic, which of course involves additional complexity. Furthermore, the researchers acknowledged that many of the theories of the effects of stabilization policy incorporate expectations in a nontrivial way.

This paper studies exchange rate pass-through in U.S. manufacturing industries and its cross-sectional variation. Through an adapted Dixit-Stiglitz model of product differentiation, the paper predicts that pass-through is positively related to the degree of product differentiation and inversely related to the elasticity of marginal cost with respect to output. Empirical estimates of the pass-through elasticities show that pass-through is incomplete and varies across industries. The degree of pass-through is found to be positively correlated to different proxies for product differentiation, and negatively to a proxy for the elasticity of marginal cost. [ABSTRACT FROM AUTHOR]

Abstract. This paper investigates the role of exchange rate flexibility in the transmission of inflation from the United States to Canada, using measures of linear feedback due to John Geweke. The results suggest exchange flexibility after 1972 was sufficient to insulate the secular rate of inflation in Canada against nominal shocks of u.s. origin. Methodologically, the paper illustrates the biases introduced in the present context by the failure to distinguish between real and nominal shocks and between long- and shorter-run transmission. The importance of treating the 1970 to 1972 period as a distinct exchange regime is also demonstrated. [ABSTRACT FROM AUTHOR]

This paper aims to investigate the impacts of exchange rate and income changes on financial and insurance services trade by utilizing the quarterly bilateral trade data of the United States and its major trading partners from 2003 to 2017. No long‐run exchange rate effects on imports and exports of insurance services trade are found. The impact of exchange rates on insurance services may be weak since competition among service providers depends on product differentiation than on exchange rates. On the contrary, income demonstrates significant impacts on both financial and insurance services trade in the United Kingdom, Canada, Japan and Australia. [ABSTRACT FROM AUTHOR]

China and Germany are comparable in terms of having persistent trade surplus with the USA, but they differ in how their currencies are valued. By invoking the China–Germany comparison, this paper finds that there is weak, if any, statistical association between the US trade deficit and the exchange rate. This finding is robust to long-run vs. short-run horizon, without vs. with an instrumental variable, and in-sample fitting vs. out-of-sample forecasting. This paper predicts that the US trade deficits with China and Germany will continue to rise in the presence of a recovery in the US economy. [ABSTRACT FROM AUTHOR]

This paper shows that the pricing behavior of exporting firms exhibits a 'forward-looking' nature with sticky prices. As a result, the expectations of future exchange rates affect current prices at both the product level and firm level. We find evidence by employing both highly disaggregated Harmonized System (HS) 10-digit product-level import data of the USA and firm-product level customs data on China's exports to the USA. These findings provide evidence for a previously unexplored micro-level forward-looking nature of trade price adjustment as response to future exchange rates, and suggest a potentially important factor in helping explain incomplete exchange rate pass-through. [ABSTRACT FROM AUTHOR]

The relation between China's RMB exchange rate and US real economy has recently become a hotly debated issue among scholars, researchers, and policymakers. Using monthly data from Nov. 2001-Nov. 2010, this paper employs the cointegration test and VECM model to capture the relationships among the Chinese RMB exchange rate, US-China bilateral trade, and the US unemployment rate. Results indicate that the US unemployment rate is negatively correlated with the RMB exchange rate. Impulse response analysis discloses the transmission mechanism of RMB appreciation: an appreciation of the RMB leads to a drop in US-China bilateral trade, which associates with a slight rise in the US unemployment rate. A potential explanation for these unconventional results lie in the complementary industrial structures between the two countries. Some policy suggestions are made at the end. [ABSTRACT FROM AUTHOR]