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Working Paper
Reserves and Risk: Evidence from China
http://fedora:8080/fcrepo/rest/objects/authors/; Fatum, Rasmus; Yamamoto, Yohei (2020-05-29)
We consider if the Chinese accumulation of reserves is associated with unintended consequences in the form of increased private sector risk taking. Using sovereign credit default swap spreads and stock index prices as indicators of risk taking, we provide evidence to suggest that as reserve holdings increase, so does the willingness of the private sector to take on more risk. This is an important finding that adds credence to the suggestion that insurance through costly reserves, to be used in the event of a crisis, may lead to private sector actions that in and of themselves make it more ...
Globalization Institute Working Papers , Paper 387

Working Paper
The pricing of FX forward contracts: micro evidence from banks’ dollar hedging
Bräuning, Falk; Abbassi, Puriya (2018-03-01)
We use transaction-level data on foreign exchange (FX) forward contracts for the period 2014 through 2016 in conjunction with supervisory balance sheet information to study the drivers of banks? dollar hedging costs. Comparing contracts of the same maturity that are initiated during the same hour of the same day, we find large heterogeneity in banks? hedging costs. We show that these costs (i) are higher for banks with a larger FX funding gap, (ii) depend on banks? FX funding composition in terms of the source (interbank versus retail) and rollover structure (long-term versus short-term), ...
Working Papers , Paper 18-6

Working Paper
Optimal Monetary Policy and Capital Account Restrictions in a Small Open Economy
Spiegel, Mark M.; Liu, Zheng (2013)
The recent financial crisis has led to large declines in world interest rates and surges of capital flows to emerging market economies. We examine the effectiveness and welfare implications of capital control policies in the face of such external shocks in a monetary DSGE model of a small open economy. We consider both optimal, time-varying restrictions on capital inflows and a simple capital account restriction, such as a constant tax on foreign debt holdings. We then compare the effectiveness of such capital account restrictions under alternative monetary regimes. We find that the optimal ...
Working Paper Series , Paper 2013-33

Working Paper
Investment and trade patterns in a sticky-price, open-economy model
Sondergaard, Jens; Martinez-Garcia, Enrique (2009)
This paper develops a tractable two-country DSGE model with sticky prices la Calvo (1983) and local-currency pricing. We analyze the capital investment decision in the presence of adjustment costs of two types, the capital adjustment cost (CAC) specification and the investment adjustment cost (IAC) specification. We compare the investment and trade patterns with adjustment costs against those of a model without adjustment costs and with (quasi-) flexible prices. We show that having adjustment costs results into more volatile consumption and net exports, and less volatile investment. We ...
Globalization Institute Working Papers , Paper 28

Working Paper
Beyond the Doomsday Economics of “Proof-of-Work” in Cryptocurrencies
Auer, Raphael (2019-02-01)
This paper discusses the economics of how Bitcoin achieves data immutability, and thus payment finality, via costly computations, i.e., ?proof-of-work.? Further, it explores what the future might hold for cryptocurrencies modelled on this type of consensus algorithm. The conclusions are, first, that Bitcoin counterfeiting via ?double-spending? attacks is inherently profitable, making payment finality based on proof-of-work extremely expensive. Second, the transaction market cannot generate an adequate level of ?mining? income via fees as users free-ride on the fees of other transactions in a ...
Globalization Institute Working Papers , Paper 355

Working Paper
Unconventional monetary policy and the dollar: conventional signs, unconventional magnitudes
Leduc, Sylvain; Glick, Reuven (2015-11-29)
We examine the effects of unconventional monetary policy surprises on the value of the dollar using high-frequency intraday data and contrast them with the effects of conventional policy tools. Identifying monetary policy surprises from changes in interest rate future prices in narrow windows around policy announcements, we find that monetary policy surprises since the Federal Reserve lowered its policy rate to the effective lower bound have had larger effects on the value of the dollar. In particular, we document that the impact on the dollar has been roughly three times that following ...
Working Paper Series , Paper 2015-18

Report
The emerging market economies in times of taper-talk and actual tapering
Diez, Federico J. (2014-11-14)
The emerging market economies (EME) experienced financial distress during two recent periods, both linked to the prospect of the Federal Reserve starting to slow its asset purchases. This policy change was expected to reverse the capital flows directed to the EME. Despite this aggregate effect, a closer analysis shows that there were significant differences across the EME during the time when talk of the upcoming taper began and the period when the policy was implemented. The author makes use of the literature on currency crises to analyze the different cross-country responses and to identify ...
Current Policy Perspectives , Paper 14-6

Working Paper
Is the Renminbi a safe haven?
Fatum, Rasmus; Zhu, Guozhong; Yamamoto, Yohei (2016-07-21)
We investigate the relationship between market uncertainty and the relative value of the Renminbi against currencies that the safe haven literature typically considers as the traditional safe haven currency candidates. Our sample spans the February 2011 to April 2016 period. Band spectral regression models enable us to capture that the relationship between market uncertainty and the relative value of the Renminbi is frequency dependent. While we find evidence of some degree of safe haven currency behavior of the Renminbi during the early part of our sample, our findings do not support the ...
Globalization Institute Working Papers , Paper 276

Working Paper
Federal Reserve policy and Bretton Woods
Humpage, Owen F.; Bordo, Michael D. (2014-10-01)
During the Bretton Woods era, balance-of-payments developments, gold losses, and exchange-rate concerns had little influence on Federal Reserve monetary policy, even after 1958 when such issues became critical. The Federal Reserve could largely disregard international considerations because the U.S. Treasury instituted a number of stopgap devices?the gold pool, the general agreement to borrow, capital restraints, sterilized foreign-exchange operations?to shore up the dollar and Bretton Woods. These, however, gave Federal Reserve policymakers the latitude to focus on the domestic objectives ...
Globalization Institute Working Papers , Paper 206

Report
Gender differences in the labor market effects of the dollar
Goldberg, Linda S.; Tracy, Joseph (2001-04-01)
Although the dollar has been shown to influence the expected wages of workers, the analysis to date has focused on the male workforce. We show that exchange rate fluctuations also have important implications for women's wages. The dominant wage effects for women?like those for men?arise at times of job transition. Changes in the value of the dollar can cause the wage gap between women who change jobs and women who stay on in their jobs to expand or contract sharply, with the most pronounced effects occurring among the least educated women and women in highly competitive manufacturing ...
Staff Reports , Paper 121

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