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on International Finance |
| By: | Maggiori, Matteo; Neiman, Brent; Schreger, Jesse |
| Abstract: | The modern notion of an international currency involves use in areas of international finance and trade that extend well beyond central banks' coffers. In addition to their important roles as foreign exchange reserves, international currencies are most frequently used to denominate corporate and government bonds, bank loans, and import and export invoices. These currencies offer unrivaled liquidity, constituting large shares of the volume on global foreign exchange markets, and are commonly chosen as the anchors targeted by countries with pegged or managed exchange rate regimes. In this short article, we provide evidence suggesting a recent rise in the use of the dollar, and fall of the use in the euro, with similar patterns manifesting across all these aspects of international currency use. |
| Date: | 2018–12 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:13410&r=all |
| By: | Saroj Bhattarai (University of Texas at Austin); Arpita Chatterjee (UNSW Business School, UNSW); Woong Yong Park (Seoul National University) |
| Abstract: | Spillover effects of US uncertainty shocks are studied in a panel VAR of fifteen emerging market economies (EMEs). A US uncertainty shock negatively affects EME stock prices and exchange rates, raises EME country spreads, and decreases capital inflows into them. It decreases EME output and consumer prices while increasing net exports. Negative effects on output and asset prices are weaker, but effects on external balance stronger, for Latin American EMEs. We attribute such heterogeneity to differential EME monetary policy response to US uncertainty shocks. Analysis of central bank minutes shows Latin American EMEs pay less attention to smoothing capital flows. |
| Keywords: | US Uncertainty; Panel VAR; Emerging Market Economies; Monetary Policy Response; Emerging Market Monetary Policy Minutes |
| JEL: | C11 C33 E44 E52 E58 F32 |
| Date: | 2019–02 |
| URL: | http://d.repec.org/n?u=RePEc:swe:wpaper:2017-17a&r=all |
| By: | Ana Fostel (University of Virginia); John Geanakoplos (Yale University); Gregory Phelan (Williams College) |
| Abstract: | Cross-border financial flows arise when (otherwise identical) countries differ in their abilities to use assets as collateral to back financial contracts. Financially integrated countries have access to the same set of financial instruments, and yet there is no price convergence of assets with identical payoffs, due to a gap in collateral values. Home (financially advanced) runs a current account deficit. Financial flows amplify asset price volatility in both countries, and gross flows driven by collateral differences collapse following bad news about fundamentals. Our results can explain financial flows among rich, similarly-developed countries, and why these flows increase volatility. |
| Keywords: | Collateral, capital flows, asset prices, current account, securitized markets, asset-backed securities |
| JEL: | D52 D53 E32 E44 F34 F36 G01 G11 G12 |
| Date: | 2019–02 |
| URL: | http://d.repec.org/n?u=RePEc:wil:wileco:2019-01&r=all |