Search Results
Report
Risk appetite and exchange Rates
Shin, Hyun Song; Etula, Erkko; Adrian, Tobias
(2009)
We present evidence that the growth of U.S.-dollar-denominated banking sector liabilities forecasts appreciations of the U.S. dollar, both in-sample and out-of-sample, against a large set of foreign currencies. We provide a theoretical foundation for a funding liquidity channel in a global banking model where exchange rates fluctuate as a function of banks? balance sheet capacity. We estimate prices of risk using a cross-sectional asset pricing approach and show that the U.S. dollar funding liquidity forecasts exchange rates because of its association with time-varying risk premia. Our ...
Staff Reports
, Paper 361
Discussion Paper
A Way With Words: The Economics of the Fed’s Press Conference
Rosa, Carlo; Duarte, Fernando M.
(2013-11-25)
When central bankers speak, traders, journalists, and politicians listen with bated breath. The marked asset price reaction to Chairman Bernanke’s June press conference confirms the importance of his comments in the marketplace.
Liberty Street Economics
, Paper 20131125
Working Paper
The dollar during the global recession: US monetary policy and the exorbitant duty
Tang, Jenny; Stavrakeva, Vania
(2018-10-01)
We document that during the Global Recession, US monetary policy easings triggered the ?exorbitant duty? of the United States, the issuer of the world?s dominant currency, by causing a dollar appreciation and a transfer of wealth from the United States to the rest of the world. This dollar appreciation runs counter to the predictions of standard macroeconomic models and works through two channels: (i) a flight-to-safety effect which lowered the expected excess returns of holding safe US government debt relative to foreign debt and (ii) lowered expected future inflation in the United States ...
Working Papers
, Paper 18-10
Working Paper
The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited
Lahaye, Jerome; Neely, Christopher J.
(2014-10-01)
This paper extends the previous literature on geographic (heat waves) and intertemporal (meteor showers) foreign exchange volatility transmission to characterize the role of jumps and cross-rate propagation. We employ heterogeneous autoregressive (HAR) models to capture the quasi-long-memory properties of volatility and the Shapley-Owen R2 measure to quantify the contributions of components. We conclude that meteor showers are more influential than heat waves, that jumps play a modest but significant role in volatility transmission and that significant, bidirectional cross-rate volatility ...
Working Papers
, Paper 2014-034
Working Paper
Low Risk Sharing with Many Assets
Singh, Sanjay R.; Marin, Emile A.
(2023-11-30)
Classical contributions in international macroeconomics rely on goods-market mechanisms to reconcile the cyclicality of real exchange rates when financial markets are incomplete. However, cross-border trade in one domestic and one foreign-currency-denominated risk-free asset prohibits these mechanisms from breaking the pattern consistent with complete markets. In this paper, we characterize how goods markets drive exchange rate cyclicality, taking into account trade in risk-free and/or risky assets. We show that goods-market mechanisms come back into play, even when there is cross-border ...
Working Paper Series
, Paper 2023-37
Report
International shocks and domestic prices: how large are strategic complementarities?
Amiti, Mary; Itskhoki, Oleg; Konings, Jozef
(2016-03-01)
How strong are strategic complementarities in price setting across firms? In this paper, we provide a direct empirical estimate of firms? price responses to changes in prices of their competitors. We develop a general framework and an empirical identification strategy to estimate the elasticities of a firm?s price response both to its own cost shocks and to the price changes of its competitors. Our approach takes advantage of a new micro-level data set for the Belgian manufacturing sector, which contains detailed information on firm domestic prices, marginal costs, and competitor prices. The ...
Staff Reports
, Paper 771
Discussion Paper
Why Hasn't the Yen Depreciation Spurred Japanese Exports?
Itskhoki, Oleg; Konings, Jozef; Amiti, Mary
(2014-07-07)
The Japanese yen depreciated 30 percent from its peak in the fourth quarter of 2011 against its trading partners. This was expected to boost its exports as the lower yen makes Japanese goods more competitive on global markets. Instead, the volume of Japanese exports of goods actually fell by 0.6 percent over this same period, as can be seen in the chart below. Weaker external demand surely contributed to this poor export performance. Yet over the same period, U.S. goods exports grew by more than 6 percent, which suggests that other factors are also at play. In this post, we draw on our recent ...
Liberty Street Economics
, Paper 20140707
Report
Pass-through of exchange rates and import prices to domestic inflation in some industrialized economies
McCarthy, Jonathan
(2000-09-01)
This paper examines the impact of exchange rates and import prices on the domestic producer price index and consumer price index in selected industrialized economies. The empirical model is a vector autoregression incorporating a distribution chain of pricing. When the model is estimated over the post-Bretton Woods era, impulse responses indicate that exchange rates have a modest effect on domestic price inflation while import prices have a stronger effect. Pass-through is larger in countries with a larger import share and more persistent exchange rates and import prices. Over 1996-98, these ...
Staff Reports
, Paper 111
Conference Paper
Surprising similarities: recent monetary regimes of small economies
Rose, Andrew K.
(2013-11)
In contrast to earlier recessions, the monetary regimes of many small economies have not changed in the aftermath of the global financial crisis. This is due in part to the fact that many small economies continue to use hard exchange rate fixes, a reasonably durable regime. However, most of the new stability is due to countries that float with an inflation target. Though a few have left to join the Eurozone, no country has yet abandoned an inflation targeting regime under duress. Inflation targeting now represents a serious alternative to a hard exchange rate fix for small economies seeking ...
Proceedings
, Issue Nov
, Pages 1-44
Working Paper
Got Milk? The Effect of Export Price Shocks on Exchange Rates
Stein, Hillary
(2022-12-01)
I examine the effect of exogenous terms of trade shocks on an exchange rate by turning to New Zealand’s dairy auctions. Dairy is New Zealand’s largest export category, making up almost 20 percent of exports. Specifically, whole milk powder accounts for 6 to 11 percent of total exports, and its price is determined in twice-monthly auctions. I use event studies to quantify the impact of surprise auction results on the New Zealand dollar on a high-frequency basis. I find that a 1 percent increase in whole milk powder prices has a modest, but nevertheless significant, effect on the nominal ...
Working Papers
, Paper 23-1
FILTER BY year
FILTER BY Bank
Federal Reserve Bank of New York 21 items
Federal Reserve Bank of Boston 10 items
Federal Reserve Bank of Dallas 4 items
Federal Reserve Bank of San Francisco 4 items
Federal Reserve Bank of St. Louis 2 items
Board of Governors of the Federal Reserve System (U.S.) 1 items
Federal Reserve Bank of Atlanta 1 items
Federal Reserve Bank of Richmond 1 items
show more (3)
show less
FILTER BY Series
Staff Reports 11 items
Liberty Street Economics 10 items
Working Papers 8 items
Globalization Institute Working Papers 3 items
Working Paper Series 3 items
Current Policy Perspectives 2 items
Dallas Fed Economics 1 items
FRB Atlanta CQER Working Paper 1 items
International Finance Discussion Papers 1 items
Proceedings 1 items
Public Policy Brief 1 items
Richmond Fed Economic Brief 1 items
Supervisory Research and Analysis Working Papers 1 items
show more (8)
show less
FILTER BY Content Type
Working Paper 17 items
Report 13 items
Discussion Paper 10 items
Briefing 2 items
Conference Paper 1 items
FILTER BY Author
Goldberg, Linda S. 8 items
Amiti, Mary 6 items
Davis, J. Scott 4 items
Itskhoki, Oleg 4 items
Konings, Jozef 4 items
Diez, Federico J. 3 items
Groen, Jan J. J. 3 items
Stavrakeva, Vania 3 items
Stein, Hillary 3 items
Tang, Jenny 3 items
Zlate, Andrei 3 items
Campa, Jose Manuel 2 items
Krogstrup, Signe 2 items
Adrian, Tobias 1 items
Averell, Vicente García 1 items
Barbiero, Omar 1 items
Benchimol, Jonathan 1 items
Bodine-Smith, Tyler 1 items
Bowman, Roosevelt D. 1 items
Bräuning, Falk 1 items
Castañon, Calixto López 1 items
Choi, Mark 1 items
Duarte, Fernando M. 1 items
El-Shagi, Makram 1 items
Etula, Erkko 1 items
Frohm, Erik 1 items
Fuller, Brandon 1 items
Gopinath, Gita 1 items
Gordon, Grey 1 items
Grisse, Christian 1 items
Guerrón-Quintana, Pablo 1 items
Hassan, Tarek A. 1 items
Heise, Sebastian 1 items
Highkin, Emily 1 items
Hottman, Colin J. 1 items
Joaquim, Gustavo 1 items
Jordà, Òscar 1 items
Kalisa, Stone 1 items
Lahaye, Jerome 1 items
Levin-Konigsberg, Gabriel 1 items
Lewis, Logan T. 1 items
Marin, Emile A. 1 items
McCarthy, Jonathan 1 items
Mertens, Thomas M. 1 items
Mix, Carter 1 items
Na, Seunghoon 1 items
Neely, Christopher J. 1 items
Pesenti, Paolo 1 items
Popov, Sergey V. 1 items
Presno, Ignacio 1 items
Rosa, Carlo 1 items
Rose, Andrew K. 1 items
Sagnanert, Pon 1 items
Schmitt-Grohe, Stephanie 1 items
Schularick, Moritz 1 items
Shin, Hyun Song 1 items
Singh, Sanjay R. 1 items
Taylor, Alan M. 1 items
Tille, Cedric 1 items
Tracy, Joseph 1 items
Uribe, Martin 1 items
Wang, Jingye 1 items
Wiczer, David 1 items
Yue, Vivian Z. 1 items
de Soyres, Francois 1 items
show more (60)
show less
FILTER BY Jel Classification
F31 17 items
F00 9 items
F3 6 items
F4 6 items
G15 6 items
F41 5 items
E44 4 items
E31 3 items
E32 3 items
E5 3 items
E52 3 items
F32 3 items
G1 3 items
G14 3 items
E30 2 items
E43 2 items
F30 2 items
F33 2 items
F34 2 items
F37 2 items
F42 2 items
F44 2 items
G11 2 items
G12 2 items
G20 2 items
C13 1 items
C14 1 items
C32 1 items
C53 1 items
C58 1 items
D22 1 items
E01 1 items
E2 1 items
E24 1 items
E37 1 items
E47 1 items
E51 1 items
E58 1 items
E59 1 items
F1 1 items
F11 1 items
F14 1 items
F17 1 items
F38 1 items
F40 1 items
F51 1 items
F65 1 items
G01 1 items
G21 1 items
G24 1 items
G32 1 items
J30 1 items
L14 1 items
show more (48)
show less
FILTER BY Keywords
pass-through entities 7 items
inflation 5 items
capital flows 4 items
monetary policy 4 items
exchange market pressure 3 items
global financial cycle 3 items
import prices 3 items
international finance 3 items
COVID-19 2 items
asset pricing 2 items
bond yields 2 items
commodity prices 2 items
consumer prices 2 items
currency 2 items
exporters 2 items
foreign exchange interventions 2 items
imported inputs 2 items
importers 2 items
interest rates 2 items
prices 2 items
risk aversion 2 items
risk premia 2 items
safe haven 2 items
sovereign defaults 2 items
strategic complementarities 2 items
Bernanke 1 items
China 1 items
FOMC press conference 1 items
Fama puzzle 1 items
Federal Reserve information 1 items
GDP 1 items
Global Financial Crisis 1 items
Imports 1 items
PLS regression 1 items
Policy expectations 1 items
Summary of Economic Projections (SEP) 1 items
appreciation 1 items
balance of payments 1 items
capital controls 1 items
consumer goods 1 items
counterfactual VAR 1 items
cross-border capital flows 1 items
currency crises 1 items
currency pegs 1 items
currency premium 1 items
currency returns 1 items
currency risk 1 items
currency risk premium 1 items
depreciation 1 items
distribution margins 1 items
dollar 1 items
dollar. 1 items
downward nominal wage rigidity 1 items
emerging market equities 1 items
emerging markets 1 items
empirical data panel 1 items
endogenous default 1 items
euro 1 items
event studies 1 items
exchange rate disconnect 1 items
expert forecast 1 items
factor models 1 items
female employees 1 items
financial 1 items
financial hedging 1 items
financial intermediaries 1 items
financial intermediation 1 items
forecast performance 1 items
forecasting 1 items
foreign exchange reserves 1 items
forward guidance 1 items
fx 1 items
growth expectations 1 items
hard default 1 items
hard fix 1 items
heat wave 1 items
heterogeneous firms 1 items
high-frequency data 1 items
historical panel data 1 items
implied volatility 1 items
incomplete markets 1 items
industry 1 items
international capital flows 1 items
international economics 1 items
international trade 1 items
intraday 1 items
invoicing 1 items
jumps 1 items
loss aversion 1 items
macroeconomic announcements 1 items
macroeconomic models 1 items
macroeconomic news announcements 1 items
marginal costs 1 items
mark-up 1 items
market forecast 1 items
market making 1 items
markups 1 items
meteor shower 1 items
minutes 1 items
monetary interventions 1 items
narrow framing 1 items
net capital inflows 1 items
optimal monetary policy 1 items
periodicity 1 items
price 1 items
professional forecasts 1 items
quantitative easing 1 items
realized 1 items
recession 1 items
risk 1 items
risk constraints 1 items
risk management 1 items
risk sharing 1 items
soft default 1 items
stocks 1 items
structural VAR 1 items
supply chains 1 items
surveys 1 items
target. 1 items
terms of trade 1 items
terrorism 1 items
trade balance 1 items
trade relationships 1 items
transmission 1 items
trilemma 1 items
trilemma mechanism 1 items
volatility 1 items
volatility trends 1 items
wage gaps 1 items
women employment 1 items
women wages 1 items
workers 1 items
yen 1 items
show more (129)
show less