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Displaying results 1 to 25 of 42.

  1. Global Liquidity
    Drivers, Volatility and Toolkits
    Author: Goldberg, Linda S.
    Published: June 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    Global liquidity refers to the volumes of financial flows - largely intermediated through global banks and non-bank financial institutions - that can move at relatively high frequencies across borders. The amplitude of responses to global conditions... more

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    Global liquidity refers to the volumes of financial flows - largely intermediated through global banks and non-bank financial institutions - that can move at relatively high frequencies across borders. The amplitude of responses to global conditions like risk sentiment, discussed in the context of the global financial cycle, depends on the characteristics and vulnerabilities of the institutions providing funding flows. Evidence from across empirical approaches and using granular data provides policy-relevant lessons. International spillovers of monetary policy and risk sentiment through global liquidity evolve in response to regulation, the characteristics of financial institutions, and actions of official institutions around liquidity provision. Strong prudential policies in the home countries of global banks and official facilities reduce funding strains during stress events. Country-specific policy challenges, summarized by the monetary and financial trilemmas, are partially alleviated. However, risk migration across types of financial intermediaries underscores the importance of advancing regulatory agendas related to non-bank financial institutions

     
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  2. The Dollar in an Era of International Retrenchment
    Author: Chahrour, Ryan; Valchev, Rosen
    Published: June 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    Recent trends suggest the world economy may be tending towards an equilibrium with two distinct trading blocs, each internally integrated, but with significant isolation between the blocs. This paper uses a quantitative theory to explore how far... more

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    Recent trends suggest the world economy may be tending towards an equilibrium with two distinct trading blocs, each internally integrated, but with significant isolation between the blocs. This paper uses a quantitative theory to explore how far this bifurcation would need to go to pose a threat to the special role of the dollar in international exchange. The theory emphasizes the joint determination of countries' portfolio choices and trading currency. We find that unilateral protectionism on the part of the US could modestly reinforce the dollar's dominant role, but that policies directly supporting the Chinese yuan's use in trade could end the dollar's continued dominance if implemented over a long-enough period. Tit-for-tat responses between just the US and China would likely leave the dollar's role essentially unchanged. If both countries coordinate protectionist policies within their trading blocs, however, a transition away from global dollar dominance becomes far more likely

     
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  3. Currency Risk Premiums
    A Multi-horizon Perspective
    Author: Chernov, Mikhail; Dahlquist, Magnus
    Published: June 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We review the literature on multi-horizon currency risk premiums. We show how the multi-horizon implications arise from the classic present-value relationship. We further show how these implications manifest themselves in the interaction between bond... more

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    We review the literature on multi-horizon currency risk premiums. We show how the multi-horizon implications arise from the classic present-value relationship. We further show how these implications manifest themselves in the interaction between bond and currency risk premiums. This link is strengthened by explicitly accounting for stochastic discount factors. Information about currency risk premiums at different horizons presents a wealth of new evidence and challenges for existing models

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w31418
    Subjects: Währungsrisiko; Risikoprämie; Kaufkraftparität; Diskontierung; Zinsstruktur; Zinsparität; Erwartungsbildung; Wechselkurstheorie; Interest Rates: Determination, Term Structure, and Effects; Monetary Policy; Foreign Exchange; Asset Pricing; Trading Volume; Bond Interest Rates; International Financial Markets
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  4. Household Investment in 529 College Savings Plans and Information Processing Frictions
    Author: Li, James J.; Mitchell, Olivia S.; Zhu, Christina
    Published: January 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We investigate how information processing frictions contribute to household suboptimal saving and investment behavior. We find that 60% of open accounts in college 529 savings plans are invested suboptimally due to high expenses and tax inefficiency.... more

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    We investigate how information processing frictions contribute to household suboptimal saving and investment behavior. We find that 60% of open accounts in college 529 savings plans are invested suboptimally due to high expenses and tax inefficiency. Such investments yield an expected loss of 9% over the accounts' projected lifetimes. Consistent with information processing frictions contributing to inefficient investment, the extent of investment in suboptimal home-state accounts decreases with household financial literacy and increases with plan document disclosure complexity. Overall, our results suggest that information processing frictions shape households' suboptimal investment in college savings plans and reduce their financial well-being

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w30848
    Subjects: Privater Haushalt; Finanzwissen; Private Finanzplanung; Private Verschuldung; Sparen; USA; Portfolio Choice; Investment Decisions; Information and Market Efficiency; Event Studies; Insider Trading; International Financial Markets; Non-bank Financial Institutions; Financial Instruments; Institutional Investors; Financial Literacy
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  5. Market Incompleteness and Exchange Rate Spill-over
    Author: Jiang, Zhengyang
    Published: January 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    I develop a general characterization of the effect that market incompleteness has on exchange rate dynamics. On the one hand, it weakens the pass-through from a country's marginal utility shocks to its own exchange rate movements; on the other hand,... more

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    I develop a general characterization of the effect that market incompleteness has on exchange rate dynamics. On the one hand, it weakens the pass-through from a country's marginal utility shocks to its own exchange rate movements; on the other hand, it gives rise to additional variations in exchange rates and propagates one country's marginal utility shocks to other countries' exchange rate movements. This novel international spill-over effect gives rise to both exchange rate disconnect from local fundamentals and exchange rate comovements in the cross-section of currencies, offering a novel channel for understanding these salient features of exchange rate behaviors

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w30856
    Subjects: Internationaler Finanzmarkt; Unvollkommener Markt; Wechselkurs; Exchange Rate Pass-Through; Foreign Exchange; International Financial Markets
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  6. The US, Economic News, and the Global Financial Cycle
    Author: Boehm, Christoph E.; Kroner, T. Niklas
    Published: March 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27... more

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    We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all jump instantaneously upon news releases. The responses of stock indexes co-move across countries and are large--often comparable in size to the response of the S&P 500. Further, US macroeconomic news explains on average 23 percent of the quarterly variation in foreign stock markets. The joint behavior of stock prices, bond yields, and risk premia suggests that systematic US monetary policy reactions to news do not drive the estimated effects. Instead, the evidence points to a direct effect on investors' risk-taking capacity. Our findings show that a byproduct of the United States' central position in the global financial system is that news about its business cycle has large effects on global financial conditions

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w30994
    Subjects: Mediale Berichterstattung; Konjunktur; Amerikanisch; Spillover-Effekt; Internationaler Finanzmarkt; Aktienindex; Börsenkurs; Risikoprämie; USA; Welt; Volatilitätsindex; Financial Markets and the Macroeconomy; Monetary Policy; General; Asset Pricing; Trading Volume; Bond Interest Rates; Information and Market Efficiency; Event Studies; Insider Trading; International Financial Markets
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  7. Liquidity, Debt Denomination, and Currency Dominance
    Author: Coppola, Antonio; Krishnamurthy, Arvind; Xu, Chenzi
    Published: February 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We provide a liquidity-based theory for the dominant use of the US dollar as the unit of denomination in global debt contracts. Firms need to trade their revenue streams for the assets required to extinguish their debt obligations. When asset markets... more

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    We provide a liquidity-based theory for the dominant use of the US dollar as the unit of denomination in global debt contracts. Firms need to trade their revenue streams for the assets required to extinguish their debt obligations. When asset markets are illiquid, as modeled via endogenous search frictions, firms optimally choose to denominate their debt in the unit of the asset that is easiest to obtain. This gives central importance to the denomination of government-backed assets with the largest safe, liquid, short-term float and to financial market institutions that facilitate safe asset creation. Equilibria with a single dominant currency emerge from a positive feedback cycle whereby issuing in the more liquid denomination endogenously raises its liquidity, incentivizing more issuance. We rationalize features of the current dollar-dominant international financial architecture and relate our theory to historical experiences, such as the prominence of the Dutch florin and pound sterling, the transition to the dollar, and the ongoing debate about the potential rise of the Chinese renminbi

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: NBER working paper series ; no. w30984
    Subjects: US-Dollar; Reservewährung; Internationales Währungssystem; Internationaler Finanzmarkt; Verbindlichkeiten; Betriebliche Liquidität; Internationale Liquidität; General; International Monetary Arrangements and Institutions; International Financial Markets; General, International, or Comparative
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  8. The International Monetary System and International Financial System as an Analogy to the Copernican Heliocentric system
    A simple multi-layers network model with simultaneous regime changes
    Author: Bordo, Michael D.; Bastidon, Cécile
    Published: September 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    The evolution of the IMS and IFS in the past several hundred years can be viewed through the lens of the Copernican heliocentric system developed over 500 years ago. We trace out the evolution across regimes of the IMS and IFS in terms of network... more

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    The evolution of the IMS and IFS in the past several hundred years can be viewed through the lens of the Copernican heliocentric system developed over 500 years ago. We trace out the evolution across regimes of the IMS and IFS in terms of network representations of the Copernican system. We provide a simple, fully testable theoretical model whose assumptions are based on these representations. The IMS and IFS are described by a two-layer graph whose three key features (hub, core, distances) are affected by nonlinear joint regime changes linked to a technological, institutional, geopolitical and regulatory environment variable. We conclude with a discussion of some perspectives of the future of the international monetary and financial systems. Our analysis is based on economic history, theory and some resonant concepts from astrophysics

     
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  9. Dollar Shortages, CIP Deviations, and the Safe Haven Role of the Dollar
    Author: Bacchetta, Philippe; Davis, Scott; Van Wincoop, Eric
    Published: December 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    Since 2007, an increase in risk or risk aversion has resulted in a US dollar appreciation and greater deviations from covered interest parity (CIP). In contrast, prior to 2007, risk had no impact on the dollar, and CIP held. To explain these... more

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    Since 2007, an increase in risk or risk aversion has resulted in a US dollar appreciation and greater deviations from covered interest parity (CIP). In contrast, prior to 2007, risk had no impact on the dollar, and CIP held. To explain these phenomena, we develop a two-country model featuring (i) market segmentation, (ii) limited CIP arbitrage (since 2007), (iii) global dollar dominance. During periods of heightened global financial stress, dollar shortages in the offshore market emerge, leading to increased CIP deviations and a dollar appreciation. The appreciation occurs even in the absence of global dollar demand shocks. Central bank swap lines mitigate these effects

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w31937
    Subjects: Risikopräferenz; Risikoaversion; Internationaler Finanzmarkt; Reservewährung; US-Dollar; Zinsparität; Wechselkurstheorie; Financial Markets and the Macroeconomy; Foreign Exchange; International Financial Markets
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  10. Corporate Debt Structure with Home and International Currency Bias
    Author: Maggiori, Matteo; Neiman, Brent; Schreger, Jesse
    Published: November 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We explore the consequences of global capital market segmentation by currency for the optimal currency composition of borrowing by firms. Global bond portfolios are driven by the currency of denomination of assets as investors prefer to lend in their... more

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    We explore the consequences of global capital market segmentation by currency for the optimal currency composition of borrowing by firms. Global bond portfolios are driven by the currency of denomination of assets as investors prefer to lend in their home currency or the international currency, the US Dollar. Larger and more productive firms select into foreign currency issuance. International segmentation results in a quantity-dimension of the exorbitant privilege whereby US firms that only issue in the domestic currency benefit from being able to more easily borrow from global investors

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w31891
    Subjects: Fremdkapital; Internationale Finanzierung; Kapitalstruktur; Verbindlichkeiten; Währungsmanagement; Internationaler Finanzmarkt; Welt; International Finance; International Financial Markets
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  11. The High Frequency Effects of Dollar Swap Lines
    Author: Kekre, Rohan; Lenel, Moritz
    Published: November 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We study the effects of dollar swap lines using high frequency responses in asset prices around policy announcements. News about expanded dollar swap lines causes a reduction in liquidity premia, compression of deviations from covered interest... more

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    We study the effects of dollar swap lines using high frequency responses in asset prices around policy announcements. News about expanded dollar swap lines causes a reduction in liquidity premia, compression of deviations from covered interest parity (CIP), and depreciation of the dollar. Equity prices rise and the VIX falls, while the response of long-term government bond prices is mixed. The cross-section of high frequency responses implies that swap lines affect the dollar factor or the price of risk. Our findings are qualitatively consistent with models relating the supply of dollar liquidity to the broader economy

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w31901
    Subjects: Swap; US-Dollar; Zinsparität; Internationaler Finanzmarkt; Financial Markets and the Macroeconomy; Foreign Exchange; International Financial Markets
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  12. Risk-On Risk-Off
    A Multifaceted Approach to Measuring Global Investor Risk Aversion
    Author: Chari, Anusha; Stedman, Karlye Dilts; Lundblad, Christian
    Published: November 2023
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    This paper defines risk-on risk-off (RORO), an elusive terminology in pervasive use, as the variation in global investor risk aversion. Our high-frequency RORO index captures time-varying investor risk appetite across multiple dimensions: advanced... more

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    This paper defines risk-on risk-off (RORO), an elusive terminology in pervasive use, as the variation in global investor risk aversion. Our high-frequency RORO index captures time-varying investor risk appetite across multiple dimensions: advanced economy credit risk, equity market volatility, funding conditions, and currency dynamics. The index exhibits risk-off skewness and pronounced fat tails, suggesting its amplifying potential for extreme, destabilizing events. Compared with the conventional VIX measure, the RORO index reflects the multifaceted nature of risk, underscoring the diverse provenance of investor risk sentiment. Practical applications of the RORO index highlight its significance for international portfolio reallocation and return predictability

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: NBER working paper series ; no. w31907
    Subjects: Kapitalmobilität; Auslandsinvestition; Anlageverhalten; Risikoaversion; Kreditrisiko; Währungsrisiko; Internationales Finanzsystem; Indexberechnung; International Investment; Long-Term Capital Movements; Foreign Exchange; Financial Aspects of Economic Integration; Portfolio Choice; Investment Decisions; International Financial Markets; Financial Forecasting and Simulation
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  13. Emerging market securities access to global plumbing
    Author: Choi, Gongpil; Ortega, Federico; Kumar, Manmohan S.
    Published: March 2021
    Publisher:  International Monetary Fund, [Washington, D.C.]

    What are the constraints that have stalled EMs efforts to reuse their securities in international financial centers? We discuss the economics of collateral re-use and the present institutional structure in Asian and Latin American countries. Our... more

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    What are the constraints that have stalled EMs efforts to reuse their securities in international financial centers? We discuss the economics of collateral re-use and the present institutional structure in Asian and Latin American countries. Our empirical investigation suggests pledgeability enhances financial stability and reduces dollar funding risk. We also explain the Eurozone collateral pool to incentivize EMs, and why many securities (e.g., BTPs, Italy) are acceptable in London but not EM securities. Looking forward, EMs liaison with International Central Securities Depositories (ICSDs), and global banks' balance sheet capacity to intermediate cross-border collateral will be crucial for this market to develop

     
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    Source: Staatsbibliothek zu Berlin
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    ISBN: 9781513574165
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    Series: IMF working paper ; WP/21, 94
    Subjects: EM securities; global plumbing; collateral markets; Asia; Latin America; Eurozone; Corporation and Securities Law; Financial Institutions and Services; General Financial Markets; International Financial Markets; International Monetary Arrangements and Institutions
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  14. Investment funds and financial stability
    policy considerations
    Contributor: Garcia Pascual, Antonio (HerausgeberIn); Singh, Ranjit A. (HerausgeberIn); Surti, Jay (HerausgeberIn)
    Published: 2021
    Publisher:  International Monetary Fund, Publication Services, Washington, DC, U.S.A.

    The paper's analysis underscores the importance of the ongoing Financial Stability Board-led process of identifying policy options, involving national authorities and the International Organization of Securities Commissions and other standard... more

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    The paper's analysis underscores the importance of the ongoing Financial Stability Board-led process of identifying policy options, involving national authorities and the International Organization of Securities Commissions and other standard setters. In this context, the global nature of the investment fund business and fungibility of financial flows makes it vital to ensure consistency of global policy choices that can secure financial stability by precluding regulatory arbitrage

     
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  15. Applying the central clearing mandate
    different options for different markets
    Author: Kiff, John; Gullo, Alessandro; Hillier, Cory; Papapaschalis, Panagiotis
    Published: 2022 JAN
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Back in 2009, G-20 leaders have called for all standardized over-the-counter (OTC) derivatives to be cleared through central counterparties (CCPs). By now, 18 of the 24 Financial Stability Board (FSB) member jurisdictions have provided for mandatory... more

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    Back in 2009, G-20 leaders have called for all standardized over-the-counter (OTC) derivatives to be cleared through central counterparties (CCPs). By now, 18 of the 24 Financial Stability Board (FSB) member jurisdictions have provided for mandatory central clearing frameworks in place, covering at least 90 percent of all standardized OTC derivatives in their jurisdictions. However, the authorities in several countries remain confronted with the hows and wherefores of mandatory central clearing, also in light of the international dimension of OTC derivatives contracts. This paper examines the policy options available to countries that have yet to fully conform to the clearing mandate, centered on the setup of local CCPs or on the use of foreign CCPs, and elaborates on their feasibility, risks and benefits from an economic, legal and tax viewpoint

     
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    Source: Staatsbibliothek zu Berlin
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    ISBN: 9781616359232
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    Series: Working paper / International Monetary Fund ; WP/22, 14
    Subjects: central counterparties; international over the counter derivatives markets; regulation and governance; Financial Instruments; General Financial Markets; Institutional Investors; International Financial Markets; Non-Bank Financial Institutions; Pension Funds
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  16. Establishing a foreign exchange futures market in China
    Author: Jin, Zhongxia; Zhao, Yue; Wang, Haobin
    Published: November 2021
    Publisher:  International Monetary Fund, [Washington, D.C.]

    During China's transition toward a more flexible exchange rate, it is essential to further develop its foreign exchange (FX) derivatives markets to meet the growing hedging needs associated with greater exchange rate fluctuations. Although... more

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    During China's transition toward a more flexible exchange rate, it is essential to further develop its foreign exchange (FX) derivatives markets to meet the growing hedging needs associated with greater exchange rate fluctuations. Although over-the-counter (OTC) FX derivatives markets already exist in China, it lacks a FX futures market that offers critical complementarities. With standardized products, greater transparency and centralized oversight, a FX futures market can better satisfy the hedging needs of small and medium-sized enterprises and enhance regulatory efficiency. To address concerns regarding whether FX futures market will amplify the volatility of spot exchange rates, this paper analyzes the impact of establishing FX futures markets on spot market volatility using data from major emerging market economies. The result shows that FX futures market is not empirically associated with an increase in spot market volatility; in some cases, it is even associated with a decrease in spot market volatility. This paper further suggests that for a well-functioning FX futures market to be established, it is essential for China to substitute the inefficient documentation requirement of underlying exposures with a new set of market-oriented measures for the purpose of prudent regulation

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
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    ISBN: 9781513584843
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    Series: IMF working paper ; WP/21, 268
    Subjects: FX futures market; exchange rate; market-based regulation; ADF Test Statistics; Financial Institutions and Services; Foreign Exchange; FX Futures Market; FX Futures Market, Exchange Rate and Market-Based Regulation; International Financial Markets
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  17. Investment funds and financial stability
    policy considerations
    Contributor: Garcia Pascual, Antonio (HerausgeberIn); Singh, Ranjit A. (HerausgeberIn); Surti, Jay (HerausgeberIn)
    Published: 2021
    Publisher:  International Monetary Fund, Publication Services, Washington, DC, U.S.A.

    The paper's analysis underscores the importance of the ongoing Financial Stability Board-led process of identifying policy options, involving national authorities and the International Organization of Securities Commissions and other standard... more

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    The paper's analysis underscores the importance of the ongoing Financial Stability Board-led process of identifying policy options, involving national authorities and the International Organization of Securities Commissions and other standard setters. In this context, the global nature of the investment fund business and fungibility of financial flows makes it vital to ensure consistency of global policy choices that can secure financial stability by precluding regulatory arbitrage

     
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  18. Information Spillovers and Sovereign Debt
    Theory Meets the Eurozone Crisis
    Author: Cole, Harold L.; Neuhann, Daniel; Ordoñez, Guillermo
    Published: July 2022
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We develop a theory of information spillovers in sovereign bond markets in which investors can acquire information about default risk before trading in primary and secondary markets. If primary markets are structured as multi-unit... more

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    We develop a theory of information spillovers in sovereign bond markets in which investors can acquire information about default risk before trading in primary and secondary markets. If primary markets are structured as multi-unit discriminatory-price auctions, an endogenous winner's curse leads to strategic complementarities in information acquisition. As a result, shocks to default risk in one country may trigger crisis episodes with widespread information acquisition, sharp increases in the level and volatility of yields in risky countries, falling yields in safe countries, endogenous market segmentation, and arbitrage profits between primary and secondary markets. These predictions are consistent with the behavior of primary and secondary market yields, market segmentation, and measures of information acquisition during the Eurozone sovereign debt crisis

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w30216
    Subjects: Kreditrisiko; Internationale Staatsschulden; Spillover-Effekt; Öffentliche Anleihe; Öffentliche Schulden; Eurozone; Auctions; Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook; International Lending and Debt Problems; International Financial Markets
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  19. Intermediary Balance Sheets and the Treasury Yield Curve
    Author: Du, Wenxin; Hébert, Benjamin; Li, Wenhao
    Published: July 2022
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We document regime change in the U.S. Treasury market post-Global Financial Crisis (GFC): dealers switched from a net short to a net long position in the Treasury market. We first derive bounds on Treasury yields that account for dealer balance... more

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    We document regime change in the U.S. Treasury market post-Global Financial Crisis (GFC): dealers switched from a net short to a net long position in the Treasury market. We first derive bounds on Treasury yields that account for dealer balance sheet costs, which we call the net short and net long curves. We show that actual Treasury yields moved from the net short curve pre-GFC to the net long curve post-GFC, consistent with the shift in the dealers' net position. We then use a stylized model to demonstrate that increased bond supply and tightening leverage constraints can explain this change in regime. This regime change in turn helps explain negative swap spreads and the co-movement between swap spreads, dealer positions, yield curve slope, and covered-interest-parity violations, and implies changing effects for a wide range of monetary policy and regulatory policy interventions

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: NBER working paper series ; no. w30222
    Subjects: Staatspapier; Öffentliche Anleihe; Zinsstruktur; Finanzkrise; Internationaler Finanzmarkt; Geldpolitik; Zentralbank; USA; International Finance; Asset Pricing; Trading Volume; Bond Interest Rates; International Financial Markets; Financial Institutions and Services
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  20. A Portfolio Approach to Global Imbalances
    Author: Jiang, Zhengyang; Richmond, Robert J.; Zhang, Tony
    Published: July 2022
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We use a portfolio-based framework to understand what drives the decline of the U.S. net foreign asset (NFA) position and the reversal in returns earned on the US NFA (exorbitant privilege). We show that global savings gluts and monetary policies... more

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    We use a portfolio-based framework to understand what drives the decline of the U.S. net foreign asset (NFA) position and the reversal in returns earned on the US NFA (exorbitant privilege). We show that global savings gluts and monetary policies widened the U.S. NFA position, while investor demand shifts partially offset this widening. Moreover, U.S. privilege declined after 2010, in accordance with increasing foreign demand for U.S. equity. We also highlight a quantity dimension of the U.S. privilege: the U.S. can issue substantially more debt than other countries for a given yield increase

     
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    Source: Union catalogues
    Language: English
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    Series: NBER working paper series ; no. w30253
    Subjects: Leistungsbilanz; Auslandsvermögen; Internationaler Finanzmarkt; Außenwirtschaftliches Gleichgewicht; Portfolio-Management; Währungsreserven; Internationale Staatsschulden; Financial Markets and the Macroeconomy; Current Account Adjustment; Short-Term Capital Movements; International Financial Markets
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  21. Who Holds Sovereign Debt and Why It Matters
    Author: Fang, Xiang; Hardy, Bryan; Lewis, Karen K.
    Published: May 2022
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    This paper studies the impact of investor composition on the sovereign debt market and the implied funding costs to borrowers. We construct an aggregate data set of sovereign debt holdings by foreign and domestic bank, non-bank private, and official... more

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    This paper studies the impact of investor composition on the sovereign debt market and the implied funding costs to borrowers. We construct an aggregate data set of sovereign debt holdings by foreign and domestic bank, non-bank private, and official investors for 95 countries over twenty years. We find that private non-bank investors absorb most of the increase in sovereign debt supply. We further find that foreign non-bank investor demand is most responsive to the yield for emerging market (EM) debt, while yield elasticity for all investors is much lower for advanced economy debt. We show that EM sovereigns are highly vulnerable to losing their foreign non-bank investors

     
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    Source: Union catalogues
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    Series: NBER working paper series ; no. w30087
    Subjects: Internationale Staatsschulden; Informeller Finanzsektor; Private Banking; Internationale Organisation; Schwellenländer; Industrieländer; Welt; International Lending and Debt Problems; Open Economy Macroeconomics; Portfolio Choice; Investment Decisions; International Financial Markets
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  22. Establishing a foreign exchange futures market in China
    Author: Jin, Zhongxia; Zhao, Yue; Wang, Haobin
    Published: November 2021
    Publisher:  International Monetary Fund, [Washington, D.C.]

    During China's transition toward a more flexible exchange rate, it is essential to further develop its foreign exchange (FX) derivatives markets to meet the growing hedging needs associated with greater exchange rate fluctuations. Although... more

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    During China's transition toward a more flexible exchange rate, it is essential to further develop its foreign exchange (FX) derivatives markets to meet the growing hedging needs associated with greater exchange rate fluctuations. Although over-the-counter (OTC) FX derivatives markets already exist in China, it lacks a FX futures market that offers critical complementarities. With standardized products, greater transparency and centralized oversight, a FX futures market can better satisfy the hedging needs of small and medium-sized enterprises and enhance regulatory efficiency. To address concerns regarding whether FX futures market will amplify the volatility of spot exchange rates, this paper analyzes the impact of establishing FX futures markets on spot market volatility using data from major emerging market economies. The result shows that FX futures market is not empirically associated with an increase in spot market volatility; in some cases, it is even associated with a decrease in spot market volatility. This paper further suggests that for a well-functioning FX futures market to be established, it is essential for China to substitute the inefficient documentation requirement of underlying exposures with a new set of market-oriented measures for the purpose of prudent regulation

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
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    ISBN: 9781513584843
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    Series: IMF working paper ; WP/21, 268
    Subjects: FX futures market; exchange rate; market-based regulation; ADF Test Statistics; Financial Institutions and Services; Foreign Exchange; FX Futures Market; FX Futures Market, Exchange Rate and Market-Based Regulation; International Financial Markets
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  23. Origins of International Factor Structures
    Author: Jiang, Zhengyang; Richmond, Robert J.
    Published: August 2022
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We show that exchange rate correlations tend to be explained by the global trade network while consumption correlations tend to be explained by productivity correlations. Sharing common trade linkages with other countries increases exchange rate... more

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    We show that exchange rate correlations tend to be explained by the global trade network while consumption correlations tend to be explained by productivity correlations. Sharing common trade linkages with other countries increases exchange rate correlations beyond bilateral linkages. We explain these findings using a model of the global trade network with market segmentation. Interdependent global production generates international comovements, while market segmentation disconnects the drivers of exchange rate correlations from the drivers of consumption correlations. Moreover, we show that the trade network generates common factors found in exchange rates. Our findings offer a trade-based account of the origins of international comovements and shed light on important frictions in international markets

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w30319
    Subjects: Außenhandel; Außenhandelsstruktur; Internationale Wirtschaftsbeziehungen; Marktsegmentierung; Wechselkurs; Foreign Exchange; International Financial Markets
    Scope: 1 Online-Ressource, illustrations (black and white)
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    Hardcopy version available to institutional subscribers
  24. Getting to the Core
    Inflation Risks Within and Across Asset Classes
    Author: Fang, Xiang; Liu, Yang; Roussanov, Nikolai
    Published: June 2022
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    Do "real" assets protect against inflation? Core inflation betas of stocks are negative while energy betas are positive; currencies, commodities, and real estate also mostly hedge against energy inflation but not core. These hedging properties are... more

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    Do "real" assets protect against inflation? Core inflation betas of stocks are negative while energy betas are positive; currencies, commodities, and real estate also mostly hedge against energy inflation but not core. These hedging properties are reflected in the prices of inflation risks: only core inflation carries a negative risk premium, and its magnitude is consistent both within and across asset classes, uniquely among macroeconomic risk factors. While high core inflation tends to be followed by low real output, consumption, and dividend payouts, it impacts asset prices through both cash-flow and discount rate channels. The relative contribution of core and energy changes over time, helping explain the time-varying correlation between stock and bond returns. A two-sector New Keynesian model qualitatively accounts for these facts and implies that the changing stock-bond correlation can be attributed to the shifting importance of supply and demand shocks in driving energy inflation over time

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w30169
    Subjects: Kerninflation; CAPM; Neoklassische Synthese; Inflationstheorie; Price Level; Inflation; Deflation; Financial Markets and the Macroeconomy; Monetary Policy, Central Banking, and the Supply of Money and Credit; Foreign Exchange; Asset Pricing; Trading Volume; Bond Interest Rates; International Financial Markets
    Scope: 1 Online-Ressource, illustrations (black and white)
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  25. Applying the central clearing mandate
    different options for different markets
    Author: Kiff, John; Gullo, Alessandro; Hillier, Cory; Papapaschalis, Panagiotis
    Published: 2022 JAN
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Back in 2009, G-20 leaders have called for all standardized over-the-counter (OTC) derivatives to be cleared through central counterparties (CCPs). By now, 18 of the 24 Financial Stability Board (FSB) member jurisdictions have provided for mandatory... more

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    Back in 2009, G-20 leaders have called for all standardized over-the-counter (OTC) derivatives to be cleared through central counterparties (CCPs). By now, 18 of the 24 Financial Stability Board (FSB) member jurisdictions have provided for mandatory central clearing frameworks in place, covering at least 90 percent of all standardized OTC derivatives in their jurisdictions. However, the authorities in several countries remain confronted with the hows and wherefores of mandatory central clearing, also in light of the international dimension of OTC derivatives contracts. This paper examines the policy options available to countries that have yet to fully conform to the clearing mandate, centered on the setup of local CCPs or on the use of foreign CCPs, and elaborates on their feasibility, risks and benefits from an economic, legal and tax viewpoint

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781616359232
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    Series: Working paper / International Monetary Fund ; WP/22, 14
    Subjects: central counterparties; international over the counter derivatives markets; regulation and governance; Financial Instruments; General Financial Markets; Institutional Investors; International Financial Markets; Non-Bank Financial Institutions; Pension Funds
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen