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Spillover Effects Of Exchange Rates
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Book Synopsis Spillover Effects of Exchange Rates by : Aaditya Mattoo
Download or read book Spillover Effects of Exchange Rates written by Aaditya Mattoo and published by International Monetary Fund. This book was released on 2012-03-01 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper estimates the impact of China's exchange rate changes on exports of competitor countries in third markets, which we call the "spillover effect". We use recent theory to develop an identification strategy in which competition between China and its developing country competitors in specific products and destinations plays a key role. We exploit the variation - afforded by disaggregated trade data - across exporters, importers, product, and time to estimate this spillover effect. We find robust evidence of a statistically and quantitatively significant spillover effect. Our estimates suggest that a 10 percent appreciation of China's real exchange rate boosts on average a developing country's exports of a typical 4-digit HS product category to third markets by about 1.5-2 percent. The magnitude of the spillover effect varies systematically with product characteristics as implied by theory.
Book Synopsis COVID-19 and Exchange Rates by : Hakan Yilmazkuday
Download or read book COVID-19 and Exchange Rates written by Hakan Yilmazkuday and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies by : Mr.Joseph E. Gagnon
Download or read book Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies written by Mr.Joseph E. Gagnon and published by International Monetary Fund. This book was released on 2017-03-13 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the effects of unconventional monetary and exchange rate policies. We find that official foreign asset purchases have large effects on current accounts that diminish as capital mobility rises and spill over to financially integrated countries. There is an additional effect through the stock of central bank assets. Domestic asset purchases have an effect on current accounts only when capital mobility is low. We also find that rising US bond yields drive foreign yields, stock prices and depreciations, but less so on days of policy announcements. We develop a theoretical model that is broadly consistent with our results.
Book Synopsis Dynamic Linkages and Volatility Spillover by : Bhaskar Bagchi
Download or read book Dynamic Linkages and Volatility Spillover written by Bhaskar Bagchi and published by Emerald Group Publishing. This book was released on 2016-11-01 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of emerging economies. Unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India.
Book Synopsis Handbook Of Global Financial Markets: Transformations, Dependence, And Risk Spillovers by : Sabri Boubaker
Download or read book Handbook Of Global Financial Markets: Transformations, Dependence, And Risk Spillovers written by Sabri Boubaker and published by World Scientific. This book was released on 2019-06-27 with total page 828 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this handbook is to provide the readers with insights about current dynamics and future potential transformations of global financial markets. We intend to focus on four main areas: Dynamics of Financial Markets; Financial Uncertainty and Volatility; Market Linkages and Spillover Effects; and Extreme Events and Financial Transformations and address the following critical issues, but not limited to: market integration and its implications; crisis risk assessment and contagion effects; financial uncertainty and volatility; role of emerging financial markets in the global economy; role of complex dynamics of economic and financial systems; market linkages, asset valuation and risk management; exchange rate volatility and firm-level exposure; financial effects of economic, political and social risks; link between financial development and economic growth; country risks; and sovereign debt markets.
Book Synopsis Spillover Implications of Differences in Monetary Conditions in the United States and the Euro Area by : Ms.Carolina Osorio
Download or read book Spillover Implications of Differences in Monetary Conditions in the United States and the Euro Area written by Ms.Carolina Osorio and published by International Monetary Fund. This book was released on 2016-09-27 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This report analyzes the possible spillover effects that could result if the U.S. normalizes its monetary policy while euro area countries are increasing monetary stimulus (a situation referred to as asynchronous monetary conditions). This analysis identifies country-specific shocks to economic activity and monetary conditions since the early 1990s, finding that real and monetary conditions in the United States and the euro area have oftentimes been asynchronous and have often resulted in significant spillover effects, particularly since early 2014.
Book Synopsis US Monetary Policy Uncertainty Spillover and the Role of Exchange Rate Regime by : Yeonggyu Yun
Download or read book US Monetary Policy Uncertainty Spillover and the Role of Exchange Rate Regime written by Yeonggyu Yun and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study spillover of monetary policy uncertainty shock from the US to other economies with different exchange rate regimes. A surge of monetary policy uncertainty in the US incurs contractionary consequences in other economies and decreases output, consumption, and stock market prices. Such effect is prevalent in fixed exchange rate regimes while flexible exchange rate regimes do not undergo the economic downturn. This is coupled with elevated uncertainty in fixed exchange rate regimes, while floating exchange rate regimes do not exhibit any change in uncertainty. We attribute this to the nature of flexible exchange rate regime and interpret that monetary autonomy in flexible regimes prevents direct spillover of foreign uncertainty shocks, especially those associated with interest rates. Unlike previous studies which point out the shock-absorbing role of flexible exchange rates via exchange rate depreciation, which we call the “exchange rate channel,” we focus on how monetary autonomy of flexible rate regime shuts down the transmission of monetary policy uncertainty from the US to local economy, the “uncertainty channel.” We show that shutting down the “uncertainty channel” dominates the “exchange rate channel” in flexible exchange rate regimes in terms of mitigating the spillover effects of foreign uncertainty shock.
Book Synopsis Currency Wars or Efficient Spillovers? A General Theory of International Policy Cooperation by : Mr.Anton Korinek
Download or read book Currency Wars or Efficient Spillovers? A General Theory of International Policy Cooperation written by Mr.Anton Korinek and published by International Monetary Fund. This book was released on 2017-02-10 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: In an interconnected world, national economic policies regularly lead to large international spillover effects, which frequently trigger calls for international policy cooperation. However, the premise of successful cooperation is that there is a Pareto inefficiency, i.e. if there is scope to make some nations better off without hurting others. This paper presents a first welfare theorem for open economies that defines an efficient benchmark and spells out the conditions that need to be violated to generate inefficiency and scope for cooperation. These are: (i) policymakers act competitively in the international market, (ii) policymakers have sufficient external policy instruments and (iii) international markets are free of imperfections. Our theorem holds even if each economy suffers from a wide range of domestic market imperfections and targeting problems. We provide examples of current account intervention, monetary policy, fiscal policy, macroprudential policy/capital controls, and exchange rate management and show that the resulting spillovers are Pareto efficient, as long as the three conditions are satisfied. Furthermore, we develop general guidelines for how policy cooperation can improve welfare when the conditions are violated.
Book Synopsis Spillover Effects of Exchange Rates by : Aaditya Mattoo
Download or read book Spillover Effects of Exchange Rates written by Aaditya Mattoo and published by International Monetary Fund. This book was released on 2012-03-01 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper estimates the impact of China's exchange rate changes on exports of competitor countries in third markets, which we call the "spillover effect". We use recent theory to develop an identification strategy in which competition between China and its developing country competitors in specific products and destinations plays a key role. We exploit the variation - afforded by disaggregated trade data - across exporters, importers, product, and time to estimate this spillover effect. We find robust evidence of a statistically and quantitatively significant spillover effect. Our estimates suggest that a 10 percent appreciation of China's real exchange rate boosts on average a developing country's exports of a typical 4-digit HS product category to third markets by about 1.5-2 percent. The magnitude of the spillover effect varies systematically with product characteristics as implied by theory.
Book Synopsis Spillovers from Dollar Appreciation by : Mr.Julian T Chow
Download or read book Spillovers from Dollar Appreciation written by Mr.Julian T Chow and published by International Monetary Fund. This book was released on 2016-09-27 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent strong, sustained appreciation of the U.S. dollar raises questions about possible financial spillover effects for emerging markets and developing countries. This report finds that, unlike past episodes, emerging markets’ vulnerability has improved along a number of dimensions, though some risks persist (as identified in this report).
Book Synopsis Bank of Japan Interventions, Exchange Rate Volatility, and Spillover Effects by : Georgios E. Chortareas
Download or read book Bank of Japan Interventions, Exchange Rate Volatility, and Spillover Effects written by Georgios E. Chortareas and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider the effect of interventions by the Bank of Japan in the foreign exchange market during the period 2000-2004. During this period the interventions are of substantial magnitude, relatively frequent, not co-ordinated and take place within the 'zero interest rate' monetary policy regime. Only scant evidence exists in the literature on the spillover effect and the impact on covariance in both daily and intraday frameworks, as well as on analyzing the characteristics of intraday volatility dynamics on both intervention days and non-intervention days. In contrast to earlier studies, our analysis does not hinge on the assumption that intervention always increases the volatility of the exchange rate. We perform rolling estimations of a Multivariate GARCH model, use the quartile plots of intraday volatility, and perform equal variance tests to investigate intraday volatility characteristics on intervention and non-intervention days using both daily and 15-minute data. Our findings suggest that Band of Japan interventions decrease the volatility of the yen/USD exchange rate. This result contrasts with the findings of earlier studies which typically find that interventions result in higher volatility. The effect of interventions on the yen/USD volatility depends on the different states that the market experiences and its impact is different under high and low levels of exchange rate volatility. We also find the intraday volatility is less heteroskedastic within the intervention day and this has implications for volatility forecasting. We find strong evidence that intervention in the USD/YEN increases the volatility of the Euro/Yen.
Book Synopsis Big Players Out of Synch by : Carolina Osorio Buitron
Download or read book Big Players Out of Synch written by Carolina Osorio Buitron and published by International Monetary Fund. This book was released on 2015-09-30 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Given the prospects of asynchronous monetary conditions in the United States and the euro area, this paper analyzes spillovers among these two economies, as well as the implications of asynchronicity for spillovers to other advanced economies and emerging markets. Through a structural vector autoregression analysis, country-specific shocks to economic activity and monetary conditions since the early 1990s are identified, and are used to draw implications about spillovers. The empirical findings suggest that real and monetary conditions in the United States and the euro area have oftentimes been asynchronous. The results also point to significant spillovers among them, in particular since early 2014—with spillovers from the euro area to the United States being particularly large. Against the backdrop of asynchronous conditions in these two economies, spillovers from real and money shocks to emerging markets and non-systemic advanced economies could be dampened.
Book Synopsis Spillovers from United States Monetary Policy on Emerging Markets by : Mr.Jiaqian Chen
Download or read book Spillovers from United States Monetary Policy on Emerging Markets written by Mr.Jiaqian Chen and published by International Monetary Fund. This book was released on 2014-12-24 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: The impact of monetary policy in large advanced countries on emerging market economies—dubbed spillovers—is hotly debated in global and national policy circles. When the U.S. resorted to unconventional monetary policy, spillovers on asset prices and capital flows were significant, though remained smaller in countries with better fundamentals. This was not because monetary policy shocks changed (in size, sign or impact on stance). In fact, the traditional signaling channel of monetary policy continued to play the leading role in transmitting shocks, relative to other channels, affecting longer-term bond yields. Instead, we find that larger spillovers stem more from structural factors, such as the use of new instruments (asset purchases). We obtain these results by developing a new methodology to extract, separate, and interpret U.S. monetary policy shocks.
Book Synopsis Domestic and Spillover Effects of Fiscal Policy and Exchange Rate Regimes in Small Open Economies by : Yue Ma
Download or read book Domestic and Spillover Effects of Fiscal Policy and Exchange Rate Regimes in Small Open Economies written by Yue Ma and published by . This book was released on 1998 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Global Spillover Effects of Us Uncertainty by : Saroj Bhattarai
Download or read book Global Spillover Effects of Us Uncertainty written by Saroj Bhattarai and published by . This book was released on 2018 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study spillover effects of US uncertainty fluctuations using panel data from fifteen emerging market economies (EMEs). A US uncertainty shock negatively affects EME stock prices and exchange rates, raises EME country spreads, and leads to capital outflows from them. Moreover, it decreases EME output, while increasing their consumer prices and net exports. The negative effects on output, exchange rates, and stock prices are weaker, but the effects on capital and trade flows stronger, for South American countries compared to other EMEs. We present a model of a small open economy that faces an external shock to interpret our findings.
Book Synopsis Currencies, Commodities and Consumption by : Kenneth W. Clements
Download or read book Currencies, Commodities and Consumption written by Kenneth W. Clements and published by Cambridge University Press. This book was released on 2013-01-31 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discusses economic issues associated with exchange rates, commodity prices, the economic size of countries and alternatives to PPP exchange rates.
Book Synopsis Information Spillover Effect and Autoregressive Conditional Duration Models by : Xiangli Liu
Download or read book Information Spillover Effect and Autoregressive Conditional Duration Models written by Xiangli Liu and published by Routledge. This book was released on 2014-07-11 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book studies the information spillover among financial markets and explores the intraday effect and ACD models with high frequency data. This book also contributes theoretically by providing a new statistical methodology with comparative advantages for analyzing comovements between two time series. It explores this new method by testing the information spillover between the Chinese stock market and the international market, futures market and spot market. Using the high frequency data, this book investigates the intraday effect and examines which type of ACD model is particularly suited in capturing financial duration dynamics. The book will be of invaluable use to scholars and graduate students interested in comovements among different financial markets and financial market microstructure and to investors and regulation departments looking to improve their risk management.
