131 results on '"US-Dollar"'
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2. Why China Is Stuck with the US Dollar
- Author
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Forschungsinstitut der Deutschen Gesellschaft für Auswärtige Politik e.V., Jaeger, Markus, Forschungsinstitut der Deutschen Gesellschaft für Auswärtige Politik e.V., and Jaeger, Markus
- Abstract
Looking at Russia's experiences with Western sanctions, China is even more eager than before to reduce its dependence on the US-dominated international financial and currency regime. To that end, it is promoting the renminbi as an international currency. Success, however, has been limited. To do better, Beijing would have to implement reforms that are economically very risky.
- Published
- 2022
3. What Money Does: An Inquiry Into the Backbone of Capitalist Political Economy.
- Author
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Koddenbrock, Kai
- Subjects
FINANCIAL economics ,PUBLIC-private sector cooperation - Abstract
Copyright of Max-Planck-Institut für Gesellschaftsforschung Discussion Papers is the property of Max Planck Institute for the Study of Societies and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
- Published
- 2017
4. Why China Is Stuck with the US Dollar
- Author
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Jaeger, Markus and Forschungsinstitut der Deutschen Gesellschaft für Auswärtige Politik e.V.
- Subjects
China ,Economics ,currency policy ,currency ,Wirtschaft ,dependence ,United States of America ,Abhängigkeit ,Wirtschaftspolitik ,ddc:330 ,Economic Policy ,US-Dollar ,USA ,Währung ,Währungspolitik - Abstract
Looking at Russia's experiences with Western sanctions, China is even more eager than before to reduce its dependence on the US-dominated international financial and currency regime. To that end, it is promoting the renminbi as an international currency. Success, however, has been limited. To do better, Beijing would have to implement reforms that are economically very risky.
- Published
- 2022
5. Dolarización financiera en Argentina: Un análisis histórico de una restricción vigente
- Author
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Corso, Eduardo Ariel
- Subjects
ddc:330 ,Währungssubstitution ,Argentinien ,US-Dollar - Published
- 2021
6. On one case of condensation
- Author
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Poleev, Andrej
- Subjects
Asklepios ,Gnostizismus ,Hippocrates ,Dollar ,World Health Organization ,Gnosticism ,Saint George ,Rod of Asclepius ,��skulap ,Äskulap ,Offenbarung ,R��misches Reich ,Römisches Reich ,serpent ,Äskulapstab ,Ophiuchus ,apokalypse ,White House Office ,Serpentarius ,psychoanalysis ,Asclepius ,Heiliger Georg ,Revelation ,��skulapstab ,Roman Empire ,condensation ,tree of life ,Hippokrates ,US-Dollar ,Verdichtung - Abstract
Über einen Fall der Verdichtung.
- Published
- 2020
- Full Text
- View/download PDF
7. The short-run impact of interest rates on exchange rates: Results for the Swiss franc against the euro and US dollar from daily data 2001-2011
- Author
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Kugler, Peter
- Subjects
Zins ,Schweizer Franken ,Euro ,Schweiz ,ddc:330 ,Zinsparität ,US-Dollar ,Wechselkurs - Abstract
This paper provides an econometric analysis of the short-run impact of interest rates on the Swiss franc exchange rate covering the period January 2001 to June 2011 using daily data. Our model includes both the exchange rate of the Swiss franc against euro and dollar and uses the plausible assumption that foreign interest rates and the euro-dollar exchange rate are exogenous. In addition, we consider not only money market interest differentials, but also those for 2 and 10 year governments bonds. GMM estimation indicates that a one-percentage point increase in the 3-month Swiss franc Libor rate leads to a 3.7 % appreciation of the Swiss franc against euro and dollar. This result seems to be robust with respect to considering only increasing or decreasing interest rates and omitting data around SNB target band adjustments. Our findings appear reasonable and are between the extremely low and high estimates of the impact of Swiss interest rate changes on the exchange rate reported in the literature.
- Published
- 2020
8. Währungsfragen sind Machtfragen. Wird Europa aus der Krise gestärkt hervorgehen?
- Author
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van Scherpenberg, Jens
- Abstract
Copyright of Zeitschrift für Aussen- und Sicherheitspolitik is the property of Springer Nature and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
- Published
- 2012
- Full Text
- View/download PDF
9. FOREIGN EXCHANGE MARKET EFFICIENCY. EMPIRICAL RESULTS FOR THE USD/EUR MARKET
- Author
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Czech, Katarzyna Anna and Waszkowski, Adam
- Subjects
Devisenmarkt ,G14 ,Euro ,G15 ,jel:F31 ,Effizienzmarkthypothese ,jel:G14 ,jel:G15 ,foreign exchange market efficiency, uncovered interest-rate parity, USD/EUR exchange rate market ,foreign exchange market efficiency ,uncovered interest-rate parity ,USD/EUR exchange rate market ,lcsh:Finance ,lcsh:HG1-9999 ,ddc:330 ,US-Dollar ,Zinsparität ,F31 - Abstract
The aim of the paper is to verify whether the USD/EUR exchange rate market is efficient. The fundamental parity condition for testing foreign exchange market efficiency is represented by the uncovered interest-rate parity (UIP). Therefore, the UIP hypothesis verification accounts for the crucial part of the paper. The efficiency of the USD/EUR market is tested by applying the conventional UIP regression approach and orthogonality test of the forward rate forecast error. The results show that it is hard to say definitely that USD/EUR foreign exchange market is inefficient. The slope coefficient in UIP regression occurs to be negative, which implies the failure of uncovered interest-rate parity. However, there are no foundations to reject the UIP hypotheses in the time of financial crisis of 21st century. Moreover, the article presents that the forward forecast error is not orthogonal to both its lagged value and the interest rate differential. Thus, the semi-strong foreign exchange market efficiency hypothesis is rejected for the USD/EUR market.
- Published
- 2012
10. Internationales Währungssystem: Ist der US-Dollar als Leitwährung überholt?
- Author
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Menkhoff, Lukas, Schulmeister, Stephan, Kempa, Bernd, and Walter, Norbert
- Subjects
Währungsreserven ,Welt ,Internationales Währungssystem, Währungsreserven, US-Dollar, Reservewährung, Weltwirtschaft, Globalisierung, Krise, Vereinigte Staaten, Welt ,Reservewährung ,Globalisierung ,ddc:330 ,jel:E42 ,US-Dollar ,E42 ,Vereinigte Staaten ,Internationales Währungssystem ,Weltwirtschaft ,Krise - Abstract
In letzter Zeit wurden einige kritische Äußerungen zur Rolle des US-Dollar als Leitwährung laut. Sollte er als Weltleit- und Reservewährung ersetzt werden? Lukas Menkhoff, Universität Hannover, sieht den US-Dollar »längst in der Phase des Siechtums als internationale Leitwährung«. Der US-Dollar werde als Leitwährung abgelöst, wofür mehrere Szenarien denkbar seien. Für Stephan Schulmeister, Österreichischen Institut für Wirtschaftsforschung, Wien, ist die Globalisierung ohne supranationale Währung ein »fataler Widerspruch«. Eine immer stärker globalisierte Wirtschaft brauche eine echte Weltwährung, denn ansonsten gebe es einen unlösbaren Grundkonflikt zwischen den »nationalökonomischen« Interessen des Leitwährungslandes und den »globalökonomischen« Interessen der Weltwirtschaft. Bernd Kempa, Universität Münster, hingegen sieht gegenwärtig den US-Dollar als Leitwährung alternativlos. Zudem werde im Zuge einer Korrektur der globalen Ungleichgewichte der Dollar wieder an Vertrauen und Glaubwürdigkeit gewinnen. Norbert Walter, Deutsche Bank Group, weist darauf hin, dass es bei einer Änderung der Weltreservewährung nicht vorrangig um den Wert des Instruments, sondern um Kosten und Koordinierung dieser Ablösung geht. Dies komme dem Dollar derzeit zu Gute. Außerdem seien zwingende Argumente für eine bestimmte Währungsalternative derzeit nicht vorhanden.
- Published
- 2009
11. US current account deficit: No reason to panic!
- Author
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Gräf, Bernhard
- Subjects
Zahlungsbilanzungleichgewicht, US-Dollar, Vereinigte Staaten, Balance of payments imbalances, US Dollar, United States ,ddc:330 ,F32 ,Balance of payments imbalances ,US Dollar ,jel:F32 ,Zahlungsbilanzungleichgewicht ,US-Dollar ,Vereinigte Staaten ,United States - Published
- 2007
12. Why a large US deficit is likely to persist
- Author
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Cooper, Richard N.
- Subjects
Zahlungsbilanzungleichgewicht, US-Dollar, Vereinigte Staaten, Balance of payments imbalances, US Dollar, United States ,ddc:330 ,F32 ,Balance of payments imbalances ,US Dollar ,jel:F32 ,Zahlungsbilanzungleichgewicht ,US-Dollar ,Vereinigte Staaten ,United States - Published
- 2007
13. Possible depreciation of the US dollar for unsustainable current account deficit in the United States
- Author
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Ogawa, Eiji and Kudo, Takeshi
- Subjects
Zahlungsbilanzungleichgewicht, US-Dollar, Vereinigte Staaten, Balance of payments imbalances, US Dollar, United States ,ddc:330 ,F32 ,Balance of payments imbalances ,US Dollar ,jel:F32 ,Zahlungsbilanzungleichgewicht ,US-Dollar ,Vereinigte Staaten ,United States - Published
- 2007
14. Die Entwicklung der internationalen Finanzordnung. Brauchen wir eine neue Weltwährung?
- Author
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Leuchtmann, Ulrich
- Published
- 2010
- Full Text
- View/download PDF
15. Eurokurs: Sollte die EZB intervenieren?
- Author
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Fels, Joachim, Hüfner, Martin, Belke, Ansgar, Polleit, Thorsten, and Mayer, Thomas
- Subjects
Devisenmarkt ,Wechselkurspolitik ,E50 ,Euro-Anleihe ,jel:E50 ,Euro ,ddc:330 ,Euro, Euro-Anleihe, Aufwertung, Devisenmarkt, Zentralbank, US-Dollar, Wechselkurspolitik ,Zentralbank ,US-Dollar ,Aufwertung - Abstract
Im Zuge der Aufwertung des Euro gegenüber wichtigen Handelswährungen, insbesondere dem US-Dollar, ist die Europäische Zentralbank vielfach aufgefordert worden zu intervenieren, um dem Aufstieg des Euro Einhalt zu gebieten und so den befürchteten Wachstums- und Beschäftigungsverlusten entgegenzuwirken. Joachim Fels, Morgan Stanley, London, hält dies, sollte sich der Dollar erneut auf Talfahrt begeben, für angemessen, während für Dr. Martin Hüfner, HypoVereinsbank, derzeit eine Intervention der EZB "unter Abwägung aller Faktoren" nicht sinnvoll erscheint: "Es könnte (aber) irgendwann der Zeitpunkt kommen, an dem Interventionen sinnvoll werden. Das könnte der Fall sein, wenn die Entwicklung zu schnell verläuft … oder wenn Kurse von über 1,50 Dollar erreicht sind, die das Preis- und das Konjunkturbild dann doch anders aussehen lassen." Auch Dr. Thomas Mayer, Deutsche Bank, London, ist skeptisch: Die Bedingungen für eine erfolgreiche Devisenmarktintervention sind seines Erachtens gegenwärtig nicht gegeben. Prof Dr. Ansgar Belke, Universität Hohenheim, und Dr. Thorsten Polleit, Barclays Capital, sprechen sich ebenfalls gegen Devisenmarktinterventionen aus: Die EZB sollte ihrem Kernmandat nachkommen, nämlich der Bewahrung der Kaufkraft des Geldes. Denn: "In einer Marktwirtschaft ist es die Aufgabe der Unternehmen, nicht die der Geldpolitik, sich an ständig ändernde Marktumstände anzupassen."
- Published
- 2005
16. Wie gut sind professionelle Wechselkursprognosen?
- Author
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Bofinger, Peter and Schmidt, Robert
- Subjects
Wechselkurs, Euro, US-Dollar, Prognose, Währungsmanagement ,Euro ,jel:E62 ,ddc:330 ,Prognose ,jel:F31 ,E62 ,US-Dollar ,Wechselkurs ,Währungsmanagement ,F31 - Abstract
Die künftige Entwicklung der Wechselkurse ist für viele wirtschaftliche Entscheidungen von besonderer Bedeutung. Gerade die jüngste Aufwertung des Euro gegenüber dem US-Dollar hat deutlich vor Augen geführt, wie negativ sich unerwartete Wechselkursänderungen auswirken können. Um Risiken und Erträge von Wechselkursänderungen zu optimieren, betreiben zahlreiche Unternehmen ein aktives Währungsmanagement. Eine wichtige Voraussetzung jedes Währungsmanagements sind Wechselkursprognosen. Da es kein Wechselkursmodell gibt, das zu befriedigenden Ergebnissen führt, greifen die Unternehmen häufig auf die Prognosen professioneller Analysten zurück. Am Lehrstuhl für Volkswirtschaftslehre, Geld und internationale Wirtschaftsbeziehungen der Universität Würzburg wurde geprüft, wie sinnvoll es ist, sich an solchen Marktprognosen zu orientieren. Das Ergebnis ist einigermaßen ernüchternd: Die Marktprognosen keiner der drei in die Untersuchung einbezogenen Anbieter (Consensus Economics, Reuters, ZEW-Finanzmarkttest) lieferte brauchbare Entscheidungshilfen für international tätige Unternehmen. Des weiteren ergab die Analyse, dass die betrachteten Marktprognosen nicht mit dem Konzept »rationaler« Erwartungen in Einklang zu bringen sind. Die Analysten orientieren sich offensichtlich zu sehr an der zum Zeitpunkt der Prognoseerstellung zu beobachtenden Kursentwicklung. Dieses Verhalten lässt sich anhand der Verankerungs- und Anpassungsheuristik, die in der Literatur zur Behavioural Finance eine wichtige Rolle spielt, gut erklären.
- Published
- 2003
17. The Euro in Central and Eastern Europe (CEE countries) : survey evidence from five countries
- Author
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Stix, Helmut
- Subjects
Slowakei ,Hungary ,Slovakia ,Croatia ,Euro ,Kroatien ,Slovenia ,Tschechische Republik ,jel:F31 ,jel:E52 ,Euro, US-Dollar, Geldumlauf, Kroatien, Tschechische Republik, Ungarn, Slowakei, Slowenien, US Dollar, Monetary circulation, Croatia, Czech Republic, Hungary, Slovakia, Slovenia ,Monetary circulation ,Slowenien ,ddc:330 ,US Dollar ,Ungarn ,US-Dollar ,Geldumlauf ,E52 ,F31 ,Czech Republic - Published
- 2002
18. Oil prices, exchange rates and asset prices
- Author
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Fratzscher, Marcel, Schneider, Daniel, and Robays, Ine Van
- Subjects
oil prices ,asset prices ,G15 ,ddc:330 ,identification ,time-varying correlation ,Ölpreis ,US-Dollar ,exchange rates ,US dollar ,Wechselkurs ,Korrelation ,F30 - Abstract
This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil prices since the early 2000s. Moreover, both oil prices and the US dollar are significantly affected by changes in equity market returns and risk. By contrast, oil prices did not react to changes in these financial assets before 2001. The paper provides evidence that this may be explained by the increased use of oil as a financial asset over the past decade, which intensified the link between oil and other assets. The model can account well for the strong and rising negative correlation between oil prices and the US dollar since the early 2000s, with risk shocks and the financialisation process of oil prices explaining most of the strengthening of this correlation.
- Published
- 2014
19. Dynamic transition of the exchange rate regime in the People's Republic of China
- Author
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Yoshino, Naoyuki, Kaji, Sahoko, and Asonuma, Tamon
- Subjects
exchange rate adjustment ,China ,Wechselkurspolitik ,Wechselkurssystem ,Chinese exchange rate regime ,dynamic adjustment ,Allgemeines Gleichgewicht ,transition path ,ddc:330 ,F33 ,exchange rate regime ,Fester Wechselkurs ,US-Dollar ,E42 ,F41 ,F42 - Abstract
This paper analyzes the optimal transition of the exchange rate regime in the People's Republic of China (PRC). How the PRC can successfully reach the desired regime - whether a basket peg or floating regime - from the current dollar-peg regime remains a major question. To answer it, we develop a dynamic small open-economy general equilibrium model. We construct four transition policies toward the basket-peg or floating regime and compare the welfare gains of these policies to those of maintaining the dollar-peg regime. Quantitative analysis using PRC data from Q1 1999 to Q4 2010 leads to two conclusions. First, a gradual adjustment toward a basket-peg regime seems the most appropriate option for the PRC, and would minimize the welfare losses associated with a shift in the exchange rate regime. Second, a sudden shift to a basket peg is the second-best solution. This is preferable to a sudden shift to a floating regime, since it would enable the authorities to implement optimal weights efficiently in order to achieve policy goals once a decision has been made to adopt a basket-peg regime.
- Published
- 2014
20. Konsequenzen des bipolaren Weltwährungssystems für den 'Rest der Welt'
- Author
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Luchtmeier, Hendrik
- Subjects
Welt ,Euro ,ddc:330 ,US-Dollar ,Internationales Währungssystem - Abstract
Durch die fortschreitende Entwicklung internationaler Finanzmärkte hat eine Politik der unilateralen Wechselkursfixierung gegenüber dem US-Dollar oder dem Euro an Glaubwürdigkeit verloren. Den Ländern im Rest der Welt bieten sich heute drei Optionen zur Senkung ihres Wechselkursrisikos: Erstens die weitgehende Flexibilisierung des Wechselkurses, wodurch ein Stabilitätsimport unmöglich wird, zweitens die Einführung einer stabilen Fremdwährung (Dollarisierung, Euroisierung) und drittens die regionale monetäre Integration mit dem Ziel der Einführung einer Gemeinschaftswährung. Diese Arbeit untersucht die Bedingungen für die Vorteilhaftigkeit einer der drei Optionen. Es zeigt sich, dass die überwiegende Anzahl der Länder im "Rest der Welt" weder die Bedingungen für eine Flexibilisierung des Wechselkursesnoch die für die Einführung einer Fremdwährung erfüllt. Für diese Länder stellt, zumindest langfristig, eine regionale Gemeinschaftswährung die first best Lösung dar. Die Hauptvorteile liegen dabei auf der Finanzmarktseite. Gegenüber der Dollarisierung ist die regionale Gemeinschaftswährung mit einer höheren Finanzmarktstabilität verbunden, gegenüber der Flexibilisierungsstrategie ermöglicht eine regionale Gemeinschaftswährung eine höhere Liquidität auf regionalen Finanzmärkten. Beide Ergebnisse führen zu einer höheren Wechselkursstabilität.
- Published
- 2001
21. Finanzkrisen und Dollarisierung
- Author
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Betz, Karl
- Subjects
Währungskrise ,ddc:330 ,Finanzkrise ,Währungssubstitution ,US-Dollar ,Asien - Published
- 1999
22. Modern currency wars: The United States versus Japan
- Author
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McKinnon, Ronald and Liu, Zhao
- Subjects
dollar versus yen ,currency wars ,Währungssystem ,Währungswettbewerb ,quantitative easing ,ddc:330 ,F32 ,liquidity trap ,purchasing power parity ,US-Dollar ,Yen ,F31 - Abstract
In the currency wars of the 1920s and 1930s, various nations fell off the gold standard and in so doing experienced deep devaluations. But under the postwar dollar standard, the central position of the US was key to maintaining the peace, until the Bretton Woods system of fixed dollar exchange parities fell apart after the so-called "Nixon Shock" of 1971. Now, without much fear of retaliation, the US can initiate more limited currency warfare - as with American "Japan bashing" from the late 1970s to mid-1990s to appreciate the yen, or "China bashing" since 2002 to appreciate the renminbi. Japan succumbed to this bashing, and the yen appreciated too much in 1985, with the result that Japan fell into a zero-interest liquidity trap and economic stagnation for almost two decades. However, in 2013, through massive quantitative easing by the Bank of Japan (BOJ), the yen depreciated about 25% against the dollar, stoking fears of a return to Japan bashing by the US. However, this sharp depreciation simply restored the purchasing power parity of the yen with the dollar so it should even out in the long run. In the short run, we show that yen depreciation could adversely affect the smaller East Asian economies. Since 2008, quantitative easing by the BOJ has been similar to that carried out by the US Federal Reserve, the Bank of England, and the European Central Bank. So the BOJ can only be faulted as a currency belligerent if there is a further significant yen depreciation. Led by the US, now all mature industrial countries are addicted to near-zero interest liquidity traps in both the short and long terms. These ultra low interest rates are causing lasting damage to the countries' financial systems, and to those of emerging markets, which naturally have higher interest rates. But exiting from the trap creates a risk of chaos in long-term bond markets and is proving surprisingly difficult.
- Published
- 2013
23. Hot Money Flows, Commodity Price Cycles, and Financial Repression in the US and the People’s Republic of China: The Consequences of Near Zero US Interest Rates
- Author
-
McKinnon, Ronald and Liu, Zhao
- Subjects
China ,carry trades ,Wirkungsanalyse ,commodity price inflation ,Inflation ,Niedrigzinspolitik ,Rohstoffpreis ,Reservewährung ,ddc:330 ,F32 ,Liquidität ,Dollar standard ,US-Dollar ,USA ,F31 - Abstract
Under near zero United States (US) interest rates, the international dollar standard malfunctions. Emerging markets with naturally higher interest rates are swamped with "hot money" inflows. Emerging market central banks intervene to prevent their currencies from rising precipitously. They subsequently lose monetary control and begin inflating. Primary commodity prices rise worldwide unless interrupted by an international banking crisis. This cyclical inflation on the dollar’s periphery only registers in the US core consumer price index (CPI) with a long lag. The zero interest rate policy also fails to stimulate the US economy as domestic financial intermediation by banks and money market mutual funds is repressed. Because the People’s Republic of China (PRC) is forced to keep its interest rates below market-clearing levels, it also suffers from "financial repression," although in a form differing from that in the US.
- Published
- 2013
24. Use of currencies in international irade: Any changes in the picture?
- Author
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Auboin, Marc
- Subjects
F36 ,financial crisis ,Euro ,O19 ,Außenhandelsfinanzierung ,coherence ,ddc:330 ,G21 ,G32 ,F34 ,Internationale Wirtschaft ,F13 ,cooperation with international financial institutions ,US-Dollar ,Währung ,G-20 - Abstract
The paper reviews a number of issues related to the use of currencies in international trade, more than one decade after the introduction of the euro and shortly after steps taken by the Chinese authorities to liberalize the use of the RMB in off-shore markets. Trade is an important factor in establishing a currency as an international currency, notably by fulfilling the transaction/medium of exchange and unit of account motives of currency demand. A well prepared liberalization of currency use for international trade and foreign direct investment transactions can even be helpful in achieving the international investment and reserve currency status. While in the distant past the later was also linked to preponderance of a country in trade markets, it is now linked to the prevalence of the currency in international financial transactions, which supposes that the country in question engages at least partly in some liberalization of capital account transactions. This paper shows theoretical and practical reasons explaining the current dominance of the US dollar and the euro in the invoicing of international trade. There is little doubt, though, that in the medium-to-long term the RMB will become a major currency of settlement in international trade. This is not only the current direction of government policy but also that of markets, as evidenced by the rapid expansion of off-shore trade payments in that currency. In the meantime, though, the US dollar and the euro are enjoying a near-duopoly as settlement and invoicing currencies in international trade. The stability of this duopoly is enhanced by a number of factors recently highlighted by economic analysis: coalescing, thick externalities and scarcity of international currencies are useful to explain that, until such time that RMB payments match at least the share of China in global trade, the US dollar and of the euro will remain the main currencies in the invoicing and payment of international trade. Section 1 looks at the factors that determine the use of currencies in the invoicing and settlement of international trade. Section 2 looks at the actual reality of currency use for international trade flows, and short-term prospects for the development of a possible alternative to the use of the US dollar and the euro (in particular in Asia), the RMB.
- Published
- 2012
25. Bilateral Exchange Rates and Jobs
- Author
-
Bekkers, Eddy and Francois, Joseph
- Subjects
China ,bilateral exchange rates ,Beschäftigungseffekt ,Abwertung ,ddc:330 ,F32 ,Renminbi ,exchange rates and trade ,US-Dollar ,Wechselkurs ,F41 ,trade and employment ,devaluation - Abstract
We study the labor market effects of bilateral exchange rate realignment. We place emphasis on the composition of trade, the role of intermediates, and the underlying conditions of the labor market. Employment effects hinge on the fraction exported to and imported from the trading partner. A larger fraction exported to and a smaller fraction imported from the trading partner make it more likely that appreciation has beneficial effects. Furthermore, more sticky price expectations in wage formation, a smaller fraction of intermediates in the production process, and a lower rate of importer pass through make it more likely that appreciation of the exchange rate of the trade partner has positive employment effects. At a more technical level, the scope for substitution away from higher priced inputs, either toward other sources of supply, or toward value added, is also important to the direction and magnitude of changes in employment.
- Published
- 2012
26. Currency blocs in the 21st century
- Author
-
Fischer, Christoph
- Subjects
exchange rate regime classification ,Gleichgewicht ,Welt ,Euro ,nested logit ,Wechselkurssystem ,anchor currency choice ,additive random utility model ,ddc:330 ,Währungsraum ,EU-Staaten ,F33 ,C25 ,currency bloc equilibrium ,F02 ,US-Dollar ,USA ,E42 ,F31 - Abstract
Based on a classification of countries and territories according to their regime and anchor currency choice, the study considers the two major currency blocs of the present world. A nested logit regression suggests that long-term structural economic variables determine a given country's currency bloc affiliation. The dollar bloc differs from the euro bloc in that there exists a group of countries that peg temporarily to the US dollar without having close economic affinities with the bloc. The estimated parameters are consistent with an additive random utility model interpretation. A currency bloc equilibrium in the spirit of Alesina and Barro (2002) is derived empirically.
- Published
- 2012
27. The political economy of reducing the United States dollar's role as a global reserve currency
- Author
-
Yap, Josef T.
- Subjects
Reform ,Welt ,Finanzkrise ,Weltwirtschaftsordnung ,Internationales Währungssystem ,Triffin Dilemma ,Außenwirtschaftliches Gleichgewicht ,Reservewährung ,reserve currency ,ddc:330 ,F33 ,Zahlungsbilanzungleichgewicht ,US-Dollar ,fiduciary system ,global imbalances ,F31 - Abstract
Many have argued that the major source of the existing global macroeconomic imbalances are the twin deficits of the United States (US). However, there is still a debate about whether the global imbalances indeed pose a significant threat to the world economy. This matter is settled by arguing that the global imbalances acted as a "handmaiden" to the 2008 financial crisis. One way to reduce global imbalances is to reform the international monetary system and reduce the role of the US dollar as a reserve currency. Robert Triffin was one of those critical of this "exorbitant" privilege granted to the US, which makes it both a system maker and privilege taker. The Triffin Dilemma captures the fundamental instability that underlies the dollar reserve system. However, there are major obstacles to this proposal. Some analysts including Triffin cited the US security umbrella as the primary reason the US and its major allies would want to retain the role of the dollar in global trade and finance despite the underlying inequities in the system. This is related to the imbalance in global governance which is largely US-centric. The imbalance in global governance is also reflected in the dominance of the US financial system brought about by the "first-mover advantage". Because of the inertia brought about by the imbalance in global governance, economic arguments to reform the international monetary system are likely to be trumped by political reality. The paper analyzes whether current efforts in East Asia in terms of financial and monetary cooperation and rebalancing of economic growth could significantly mitigate the adverse impacts of a global system that will still be dominated by the US dollar in the foreseeable future. It also explains why the People's Republic of China (PRC) is unlikely to make significant unilateral adjustments to reduce global macroeconomic imbalances.
- Published
- 2011
28. Hegemonic currencies during the crisis: The dollar versus the euro in a cartalist perspective
- Author
-
Fields, David and Vernengo, Matías
- Subjects
Finanzmarktkrise ,Währungswettbewerb ,Euro ,Reservewährung ,ddc:330 ,F33 ,F55 ,international currency ,Dollar ,US-Dollar ,F31 ,Internationales Währungssystem - Abstract
This paper suggests that the dollar is not threatened as the hegemonic international currency, and that most analysts are incapable of understanding the resilience of the dollar, not only because they ignore the theories of monetary hegemonic stability or what, more recently, has been termed the geography of money; but also as a result of an incomplete understanding of what a monetary hegemon does. The hegemon is not required to maintain credible macroeconomic policies (i.e., fiscally contractionary policies to maintain the value of the currency), but rather to provide an asset free of the risk of default. It is argued that the current crisis in Europe illustrates why the euro is not a real contender for hegemony in the near future.
- Published
- 2011
29. Evaluating Asian swap arrangements
- Author
-
Aizenman, Joshua, Jinjarak, Yothin, and Park, Donghyun
- Subjects
Wechselkurspolitik ,Finanzmarktkrise ,Währungsreserven ,F15 ,Swap ,Reservewährung ,ddc:330 ,F32 ,Südkorea ,US-Dollar ,F31 - Abstract
Motivated by the unprecedented rise of swap agreements between the central banks of developed economies and their developing economy counterparts, this paper evaluates Asian swap arrangements and their association with the build-up of foreign reserves prior to the 2008-2009 global financial crisis. The evidence suggests that there is a limited scope for swaps to substitute for reserves. Furthermore, the selectivity of the swap lines indicates that only countries with significant trade and financial linkages can expect access to such ad hoc arrangements, on a case by case basis. Moral hazard concerns suggest that the applicability of these arrangements will remain limited. However, deepening swap agreements and regional reserve pooling arrangements may weaken the precautionary motive for reserve accumulation.
- Published
- 2011
30. China's dominance hypothesis and the emergence of a tri-polar global currency system
- Author
-
Fratzscher, Marcel and Mehl, Arnaud
- Subjects
China ,tri-polarity ,Währungswettbewerb ,Euro ,N20 ,Exchange Rates ,German dominance hypothesis ,Renminbi ,Wechselkurs ,international monetary system ,Internationales Währungssystem ,Reservewährung ,ddc:330 ,F33 ,US-Dollar ,US dollar ,F30 ,F31 - Abstract
This paper assesses whether the international monetary system is already tripolar and centred around the US dollar, the euro and the Chinese renminbi (RMB). It focuses on what we call China’s “dominance hypothesis”, i.e. whether the renminbi is already the dominant currency in Asia, exerting a large influence on exchange rate and monetary policies in the region, a direct reference to the old “German dominance hypothesis” which ascribed to the German mark a dominant role in Europe in the 1980s-1990s. Using a global factor model of exchange rates and a complementary event study, we find evidence that the RMB has become a key driver of currency movements in emerging Asia since the mid-2000s, and even more so since the global financial crisis. These results are consistent with China’s dominance hypothesis and with the view that the international monetary system is already tri-polar. However, we also find that China’s currency movements are to some extent affected by those in the rest of Asia.
- Published
- 2011
31. The Euro/Dollar exchange rate: Chaotic or non-chaotic?
- Author
-
Federici, Daniela and Gandolfo, Giancarlo
- Subjects
F37 ,chaos ,Euro ,exchange rate ,Wechselkurs ,Nonlinear Sciences::Chaotic Dynamics ,C61 ,continuous time econometrics ,ddc:330 ,jerk equation ,Chaostheorie ,EU-Staaten ,C49 ,US-Dollar ,Wechselkurstheorie ,USA ,F31 ,Schätzung - Abstract
The aim of this paper is to develop a continuous time exchange rate model that allows for heterogeneity of the agents' beliefs, in order to explore non-linearities and possible chaotic behaviour. The theoretical model contains an intrinsic non-linearity that gives rise to a jerk differential equation, which is in principle capable of generating chaos. The model is econometrically estimated in continuous time with Euro/Dollar data and examined for the possible presence of chaotic motion. Our results indicate that the possibility of chaotic dynamics has to be rejected.
- Published
- 2011
32. Is it desirable for Asian economies to hold more Asian assets in their foreign exchange reserves? The People's Republic of China's answer
- Author
-
Zhang, Bin
- Subjects
China ,Kaufkraftparität ,Währungsreserven ,Reservewährung ,ddc:330 ,F21 ,G11 ,Vergleich ,US-Dollar ,Währung ,F31 ,Asien - Abstract
We calculate the return on the major Asian currency denominated long-term government bonds in terms of a basket of the People's Republic of China's (PRC) imports of goods and services, namely the real return on those assets from the PRC's perspective. In the sample period of January 2002 to December 2009, the real return on United States (US) treasury bills is lower than that of Japan, India, the Republic of Korea, Singapore, or Thailand's government bonds, and a little higher than that of Malaysia's government bonds. This result shows that it is desirable for the PRC to substitute Asian currency denominated government bonds for US Treasury bills to maintain the purchasing power of its foreign exchange reserves. To some extent, this research supports the proposal by Fan, Wang, and Huang (2010) on the cross holding of regional currencies in foreign exchange reserves.
- Published
- 2011
33. Transpacific imbalances and macroeconomic codependency
- Author
-
Thorbecke, Willem
- Subjects
China ,Wirtschaftswachstum ,Währungsreserven ,ddc:330 ,F32 ,Fester Wechselkurs ,Renminbi ,Zahlungsbilanzungleichgewicht ,US-Dollar ,F30 ,USA ,Makroökonomischer Einfluss ,Asien - Abstract
Current account deficits in the United States (US) and current account surpluses in East Asia are an enduring part of the global economic landscape. They are supported by low saving in the US and by reserve accumulation in Asia. This paper argues that this strategy is causing macroeconomic problems for the People's Republic of China (PRC). Inflation is rising, and interest rates are set too low because the yuan is closely linked to the US dollar. Low interest rates have fueled overinvestment in physical capital and rising real estate prices. They also cause savers to earn negative returns on their bank deposits. Greater exchange rate flexibility would allow more decoupling between the PRC's interest rates and US interest rates, helping the People's Bank of China to implement monetary policy that is appropriate for the PRC. Since exchange rate appreciations would be contractionary for the PRC, they should be combined with domestic absorption-increasing policies such as spending on education, health care, and urban transportation. Interest rates and exchange rates that are more determined by market forces would also help the PRC to move away from an overly capital-intensive growth path to one that is more beneficial for smaller firms and ordinary workers.
- Published
- 2011
34. Explaining Global Financial Imbalances: A Critique of the Saving Glut and Reserve Currency Hypotheses
- Author
-
Palley, Thomas I.
- Subjects
Handelsbilanz ,Außenwirtschaftliches Gleichgewicht ,Sparen ,Währungsreserven ,Welt ,ddc:330 ,Kritik ,US-Dollar - Abstract
This paper examines three different explanations of the global financial imbalances. It begins with the neoliberal globalization hypothesis that explains the imbalances as the product of the model of globalization implemented over the past thirty years. It then examines the saving glut and reserve currency hypotheses. The paper concludes by arguing that both the saving glut and reserve currency hypotheses are inconsistent with the empirical record and both provide a misleading guide for policy.
- Published
- 2011
35. Chinese Monetary Policy and the Dollar Peg
- Author
-
Reade, J. James, Volz, Ulrich, de Haan, Jakob, and Cheung, Yin-Wong
- Subjects
China ,Geldpolitik ,cointegration ,300 Sozialwissenschaften::330 Wirtschaft::337 Weltwirtschaft ,monetary independence ,jel:C32 ,jel:E52 ,jel:F33 ,Chinese monetary policy ,Zinspolitik ,Kointegration ,Chinese monetary policy,monetary independence,cointegration ,ddc:330 ,F33 ,Fester Wechselkurs ,US-Dollar ,C32 ,E52 ,USA ,Schätzung - Abstract
This paper investigates to what extent Chinese monetary policy is constrained by the dollar peg. To this end, we use a cointegration framework to examine whether Chinese interest rates are driven by the Fed's policy. In a second step, we estimate a monetary model for China, in which we include also other monetary policy tools besides the central bank interest rate, namely reserve requirement ratios and open market operations. Our results suggest China has been relatively successful in isolating its monetary policy from the US policy and that the interest rate tool has not been effectively made use of. We therefore conclude that by employing capital controls and relying on other instruments than the interest rate China has been able to exert relatively autonomous monetary policy.
- Published
- 2011
36. The international monetary systerm is changing : What opportunities and risks for the Euro?
- Author
-
Angeloni, Ignazio and Sapir, André
- Subjects
Währungswettbewerb ,Reservewährung ,Euro ,ddc:330 ,Finanzkrise ,Renminbi ,US-Dollar ,Internationales Währungssystem - Abstract
After a thirty-year pause, discussions on the future of the international monetary system (IMS) have restarted. This is partly due to the fact that the IMS has facilitated, or at least not prevented, the economic and financial imbalances that led to the recent crisis. This paper argues that the international position of the US dollar is likely to erode in the coming years, though the speed of the process is uncertain. This will create a demand for other currencies to be used internationally as means of payment and store of value. The most likely candidates for filling the partial vacuum created by the dollar’s decline are the euro and the Chinese renminbi. The probability that the renminbi will eventually become one of the world’s key currencies is very high, but the speed of the process is uncertain. As far as the euro is concerned, much will depend on if and how the sovereign debt crisis is resolved. Our view is that the crisis will be dealt with and that it will result in radical steps towards fiscal and financial integration. If such steps are taken, the euro will secure both internal stabilisation and a growing international role.
- Published
- 2011
37. Triebkräfte und Lösungsansätze globaler und europäischer Leistungsbilanzungleichgewichte
- Author
-
Schnabl, Gunther
- Subjects
Außenwirtschaftliches Gleichgewicht ,Geldpolitik ,Kaufkraftparität ,Reservewährung ,Leistungsbilanz ,ddc:330 ,EU-Staaten ,US-Dollar - Abstract
Das Papier untersucht die Triebkräfte globaler und europäischer Leistungsbilanzungleichgewichte, die sich seit der Jahrtausendwende bis zur jüngsten Krise kontinuierlich vergrößert haben. Für Europa werden die Ursachen der Ungleichgewichte in den Bemühungen Deutschlands identifiziert nach dem Wiedervereinigungsboom im Unternehmenssektor die Wettbewerbsfähigkeit und beim Staat solide Staatsfinanzen wiederherzustellen. Auf globaler Ebene wird als Ursache steigender Leistungsbilanzungleichgewichte zwischen den USA und der Dollarperipherie die Interaktion von expansiver Geld- und Finanzpolitik in den USA und Wechselkursstabilisierung cum Sterilisierung an der Peripherie des informellen Dollarstandards gesehen. Aufbauend auf unterschiedlichen Typen von Leistungsbilanzungleichgewichten werden unterschiedliche Krisen- und Anpassungsszenarien diskutiert. Aufgrund der zentralen Rolle des Dollars im internationalen Finanzsystem wird als Voraussetzung für eine nachhhaltige Rückführung der globalen Ungleichgewichte eine Konsolidierung der US-Finanz- und Geldpolitik gefordert.
- Published
- 2011
38. China and its Dollar exchange rate: A worldwide stabilizing influence?
- Author
-
McKinnon, Ronald and Schnabl, Gunther
- Subjects
China ,Wechselkurspolitik ,currency war ,F15 ,exchange rate ,economic stability ,Internationale Währungspolitik ,international policy coordination ,ddc:330 ,F33 ,Zahlungsbilanzungleichgewicht ,US-Dollar ,USA ,F31 ,financial stability - Abstract
We argue that criticism concerning the Chinese dollar peg is misplaced as no predictable link exists between the exchange rate and the trade balance of an international creditor economy. The stable nominal yuan/dollar rate is argued to have stabilized Chinese, East Asian and global growth. However, linked to US low interest rates, Chinese sterilization policies and potentially subsidized capital allocation in China the real yuan/dollar rate is undervalued. This has caused -both in China and the United States- structural distortions and threatens to undermine global growth and stability. We propose Sino-American policy coordination to escape from the policy dilemma, which continues to drive global imbalances.
- Published
- 2011
39. Strukturelle Verzerrungen im Währungskrieg
- Author
-
Gunther Schnabl
- Subjects
Ostasien ,Internationale wirtschaftspolitische Koordination ,Währungswettbewerb ,Welt ,ddc:330 ,Business, Management and Accounting (miscellaneous) ,Renminbi ,Fester Wechselkurs ,Wirkungsanalyse ,US-Dollar ,Makroökonomischer Einfluss - Abstract
Die chinesische Wahrungspolitik steht weltweit in der Kritik. Die Dollarbindung des Yuan hat sich jedoch als Stabilitatsanker fur die ostasiatische Region bewahrt. Der globale Handel profi tiert von der stabilen Wirtschaftsentwicklung in dieser Region. Allerdings fuhrt das Festhalten an einem real unterbewerteten Yuan zu Verzerrungen der Wirtschaftsstruktur bei China und seinen Handelspartnern.
- Published
- 2011
40. Choosing an Anchor Currency for the Pacific
- Author
-
Stephan Freitag
- Subjects
Stimulus (economics) ,Devaluation ,Wechselkurssystem ,jel:C21 ,Reserve currency ,Economics ,ddc:330 ,F33 ,Endogeneity ,Außenhandelseffekt ,Currency regimes,gravity model,binary choice,Pacific ,binary choice ,gravity model ,Pazifischer Raum ,Currency regimes ,F15 ,Currency regimes, gravity model, binary choice, Pacific ,International economics ,jel:F33 ,Pacific ,jel:F15 ,Gravity model of trade ,Currency ,Liberian dollar ,US-Dollar ,Gravitationsmodell ,C21 ,Pacific States ,Schätzung - Abstract
This paper analyses currency options for six Pacific states - Fiji, Papua New Guinea, Samoa, Solomon Islands, Tonga and Vanuatu – that issue their own currencies. Empirical estimates indicate that these states already stabilize their currencies against the US dollar because of their large and increasing trade with emerging Asia which denominates its trade in US dollars. Building on the theory of an optimal peg, we argue that the replacement of present currencies by the US dollar would strengthen these countries’ trade. Gravity model estimations indicate that adopting a common external currency would be a major stimulus to Pacific trade. While the Australian dollar has been suggested because of the Pacific’s traditional trade relations with Australia this choice would be the result of a reverse causality bias. A binary choice method is applied to trace endogeneity biases in the Pacific sample. The gains for trade from the adoption of an external currency are lower but remain positive.
- Published
- 2010
41. The Triffin Dilemma Again
- Author
-
Abdus Salam, Fabio Caccioli, and Matteo Marsili
- Subjects
Geldpolitik ,Welt ,Devaluation ,Stability (learning theory) ,Triffin dilemma ,Social Sciences ,Währungssubstitution ,Monetary economics ,Financial instability ,Internationales Währungssystem ,global currency ,Reserve currency ,Globalisierung ,Reservewährung ,ddc:330 ,Economics ,Währungsraum ,F33 ,regional monetary union ,Monetary base ,HB71-74 ,Private information retrieval ,USA ,International finance ,Agent-based model ,Econophysics ,Reform ,Monetary policy ,Financial market ,International economics ,Monetary hegemony ,jel:F33 ,Information efficiency ,Economics as a science ,Handelsregionalismus ,Currency ,If and only if ,dollarization ,Triffin dilemma,global currency,regional monetary union,dollarization ,Business ,US-Dollar ,General Economics, Econometrics and Finance - Abstract
Tiny changes in the American monetary policy can have dramatic effects on the rest of the world because of dollar’s double role of national and international currency. This is the Triffin dilemma. The paper shows how it works through three examples: price of commodities, dollarization, and the international financial position of the US. And it makes a proposal to solve these issues, creating a more stable monetary system. In particular, it suggests the creation of an international monetary system of block regional currencies. Globalization and regionalization should be the two forces leading towards the new monetary system. The US and Europe should consider to adopt the same currency through a system of fixed exchange rates (global currency). This currency should perform its duty of anchor of the system, reducing global imbalances and gyrations in price of commodities. Developing countries, by contrast, should create regional monetary unions (regional currencies), preserving the real exchange rate as shock absorber, but gaining in terms of time consistency and credibility.
- Published
- 2010
- Full Text
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42. Purchasing power parity and the European single currency: some new evidence
- Author
-
Christidou, Maria and Panagiotidis, Theodore
- Subjects
half-life ,nonlinear unit roots ,Euro ,G15 ,Purchasing Power Parity ,Unit Root Test ,Nichtlineares Verfahren ,Kaufkraftparität ,ddc:330 ,panel unit roots ,Panel ,EU-Staaten ,F33 ,cross-section dependence ,heterogeneity ,US-Dollar ,F31 - Abstract
The effect of the single currency on the Purchasing Power Parity (PPP) hypothesis is examined in this study for the 15 EU countries, vis a vis the US dollar, before and after the advent of the euro. Standard as well as nonlinear unit root tests are employed on the time series dimension. Unit root tests reject PPP and the highest half-lives are observed after the introduction of the single currency. Panel unit root (Pesaran, 2007) and stationarity tests (Hadri and Kurozumi, 2008) that take into account cross-sectional dependence are also estimated. The results remain inconclusive as panel stationarity tests fail to support PPP whereas panel unit root tests fail to reject PPP for the whole sample and for the period before the introduction of the single currency.
- Published
- 2010
43. Central bank dollar swap lines and overseas dollar funding costs
- Author
-
Goldberg, Linda S., Kennedy, Craig, and Miu, Jason
- Subjects
liquidity ,Geldpolitik ,F36 ,Welt ,Kapitalmangel ,Internationale Wirtschaftsbeziehungen ,Währungsswap ,dollar ,Bankenliquidität ,Banks ,swap ,ddc:330 ,E44 ,reciprocal currency arrangement ,G32 ,foreign exchange ,US-Dollar ,USA - Abstract
Following a scarcity of dollar funding available internationally to banks and financial institutions, in December 2007 the Federal Reserve began to establish or expand Temporary Reciprocal Currency Arrangements with fourteen foreign central banks. These central banks had the capacity to use these swap facilities to provide dollar liquidity to institutions in their jurisdictions. This paper presents the developments in the dollar swap facilities through the end of 2009. The facilities were a response to dollar funding shortages outside the United States during a period of market dysfunction. Formal research, as well as more descriptive accounts, suggests that the dollar swap lines among central banks were effective at reducing the dollar funding pressures abroad and stresses in money markets. The central bank dollar swap facilities are an important part of the toolbox for dealing with systemic liquidity disruptions.
- Published
- 2010
44. On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates
- Author
-
Reitz, Stefan, Ruelke, Jan C., and Taylor, Mark P.
- Subjects
Devisenmarkt ,market microstructure ,Wechselkurspolitik ,Australien ,Wirkungsanalyse ,Wechselkurs ,Mikrostrukturanalyse ,Nichtlineares Verfahren ,Foreign exchange intervention ,ddc:330 ,nonlinear mean reversion ,smooth transition ,US-Dollar ,C10 ,F41 ,F31 ,Schätzung - Abstract
This paper applies nonlinear econometric models to empirically investigate the effectiveness of the Reserve Bank of Australia (RBA) exchange rate policy. First, results from a STARTZ model are provided revealing nonlinear mean reversion of the Australian dollar exchange rate in the sense that mean reversion increases with the degree of exchange rate misalignment. Second, a STR-GARCH model suggests that RBA interventions account for this result by strengthening foreign exchange traders' confidence in fundamental analysis. This in line with the so-called coordination channel of intervention effectiveness.
- Published
- 2010
45. Is the Chinese currency substantially misaligned to warrant further appreciation?
- Author
-
Qin, Duo and He, Xinhua
- Subjects
China ,Kaufkraftparität ,Euro ,ddc:330 ,Zeitreihenanalyse ,US-Dollar ,Wechselkurs ,F41 ,Schätzung ,F31 ,Real exchange rate misalignment - Abstract
This study provides quarterly time-series estimates of the misalignment in the REER of the Renminbi (RMB). The estimation is based on a commonly used economic approach, but with a wider and more up-to-date coverage of data and a more extensive use of econometric modelling techniques. Our estimates corroborate and explain most of the previous estimates. More importantly, our estimates demonstrate that there is no significant undervaluation in the REER of the RMB though downward misalignment exists in the trilateral rates between the RMB, US$ and euro. The finding refutes the claim that RMB appreciation is the primary and necessary solution to the current global trade imbalance.
- Published
- 2010
46. The Federal Reserve, the Bank of England, and the rise of the Dollar as an international currency, 1914-1939
- Author
-
Eichengreen, Barry and Flandreau, Marc
- Subjects
Geldpolitik ,Reservewährung ,ddc:330 ,US-Dollar ,USA - Abstract
This paper provides new evidence on the rise of the dollar as an international currency, focusing on its role in the conduct of trade and the provision of trade credit. We show that the shift to the dollar occurred much earlier than conventionally supposed: during and immediately after World War I. Not just market forces but also policy support - the Fed in its role as market maker - was important for the dollar's overtaking of sterling as the leading international currency. On balance, this experience challenges the popular notion of international currency status as being determined mainly by market size. It suggests that the popular image of strongly increasing returns and pervasive network externalities leaving room for only one monetary technology is misleading.
- Published
- 2010
47. Long memory and volatility dynamics in the US Dollar exchange rate
- Author
-
Caporale, Guglielmo Maria and Gil-Alana, Luis A.
- Subjects
Long memory ,O40 ,Exchange rates ,Wechselkurs ,Volatilität ,Kapitalertrag ,Fractional integration ,Japan ,Volatility ,ddc:330 ,EU-Staaten ,Zeitreihenanalyse ,US-Dollar ,C22 ,USA ,Schätzung - Abstract
This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous studies using a standard fractional integration framework such as Granger and Ding (1996), we estimate a more general model which allows for dependence not only at the zero but also at other frequencies. The results show differences in the behaviour of the two series: a long-memory cyclical model and a standard I(d) model seem to be the most appropriate for the US dollar rate vis-à-vis the Euro and the Japanese Yen respectively.
- Published
- 2010
48. Foreign exchange intervention when interest rates are zero: Does the portfolio balance channel matter after all?
- Author
-
Fatum, Rasmus
- Subjects
Geldpolitik ,Wechselkurspolitik ,ARCH-Modell ,G14 ,Exchange Rates ,Wechselkurs ,Japan ,Channels of Transmission ,Foreign Exchange Market Intervention ,ddc:330 ,Yen ,US-Dollar ,E52 ,F31 - Abstract
The Japanese zero-interest rate period provides a natural experiment for investigating the effectiveness and transmission channels of sterilized intervention when traditional monetary policy options are constrained. This paper takes advantage of the fact that all interventions in the JPY/USD market during the zero-interest rate period are sterilized sales of JPY and, therefore, none of these interventions can signal a future interest rate decrease. In order to further assess through which transmission channel these interventions work, the analysis integrates official daily Japanese intervention data with a comprehensive set of rumors data that capture interventions of which the market is aware. Market awareness is a necessary condition for intervention to disseminate information and work through channels other than the portfolio balance channel. The results of the time series analysis show that intervention, on average, induces a statistically and economically significant same-day depreciation of the JPY. Market awareness is shown to be unimportant. Consequently, the effects of Japanese interventions during the zero-interest rate period are consistent only with the portfolio balance channel. This is a remarkable finding, demonstrating that sterilized intervention is, in principle, an independent policy instrument.
- Published
- 2010
49. Financial amplification of foreign exchange risk premia
- Author
-
Adrian, Tobias, Etula, Erkko, and Groen, Jan J. J.
- Subjects
G17 ,Welt ,G15 ,Foreign exchange risk premium ,asset pricing ,Finanzintermediär ,financial intermediation ,Wechselkursrisiko ,Capital Asset Pricing Model ,ddc:330 ,Risikoprämie ,G01 ,US-Dollar ,systemic risk monitoring ,USA ,F31 - Abstract
Theories of systemic risk suggest that financial intermediaries' balance-sheet constraints amplify fundamental shocks. We provide supportive evidence for such theories by decomposing the U.S. dollar risk premium into components associated with macroeconomic fundamentals and a component associated with financial intermediary balance sheets. Relative to the benchmark model with only macroeconomic state variables, balance sheets amplify the U.S. dollar risk premium. We discuss applications to systemic risk monitoring.
- Published
- 2010
50. Volatility transmission in emerging European foreign exchange markets
- Author
-
Bubák, Vít, Kocenda, Evézen, and Zikes, Filip
- Subjects
Devisenmarkt ,Spillover-Effekt ,Aufstrebende Märkte ,Euro ,G15 ,volatility ,Wechselkurs ,Volatilität ,Ostmitteleuropa ,C50 ,intraday data ,nonlinear dynamics ,ddc:330 ,spillovers ,Internationaler Preiszusammenhang ,foreign exchange markets ,US-Dollar ,F31 - Abstract
This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well as on the lagged realized volatilities of the other exchange rates. We find evidence of statistically significant intra-regional volatility spillovers among the Central European foreign exchange markets. With the exception of the Czech currency, we find no significant spillovers running from euro/dollar to the Central European foreign exchange markets. To measure the overall magnitude and evolution of volatility transmission over time, we construct a dynamic version of the Diebold-Yilmaz volatility spillover index, and show that volatility spillovers tend to increase in periods characterized by market uncertainty.
- Published
- 2010
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