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1. Global risk and the dollar

   Autor*in: Georgiadis, Georgios; Müller, Gernot J.; Schumann, Ben

   Erschienen: [2021]

   Verlag:  European Central Bank, Frankfurt am Main, Germany

   How does global risk impact the world economy? In taking up this question, we focus on the dollar’s role in the international adjustment mechanism. First, we rely on high-frequency surprises in the price of gold to identify the effects of global risk... mehr

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   Kiel: ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel

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   ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel

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   DS 534

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   How does global risk impact the world economy? In taking up this question, we focus on the dollar’s role in the international adjustment mechanism. First, we rely on high-frequency surprises in the price of gold to identify the effects of global risk shocks in a Bayesian Proxy VAR model. They cause a synchronized contraction of global economic activity and appreciate the dollar. Other key financial indicators adjust in line with pre-dictions of recent theoretical work. Second, we illustrate through counterfactuals that the dollar appreciation amplifies the adverse impact of global risk shocks outside of the US via a financial channel.

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   Quelle:	Verbundkataloge
   Sprache:	Englisch
   Medientyp:	Ebook
   Format:	Online
   ISBN:	9789289949156
   Weitere Identifier:	doi: 10.2866/97133 hdl: 10419/249901
   Schriftenreihe:	Working paper series / European Central Bank ; no 2628 (December 2021)
   Schlagworte:	US dollar exchange rate; global risk shocks; Bayesian proxy structural VAR,minimum relative entropy; counterfactual
   Umfang:	1 Online-Ressource (circa 52 Seiten), Illustrationen