The Impact of Macroeconomic Announcements on Real Time Foreign Exchange Rates in Emerging Markets PDF Download
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Author: Fang Cai
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 66
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Book Description
"This paper utilizes a unique high-frequency database to measure how exchange rates in nine emerging markets react to macroeconomic news in the U.S. and domestic economies from 2000 to 2006. We find that major U.S. macroeconomic news have a strong impact on the returns and volatilities of emerging market exchange rates, but many domestic news do not. Emerging market currencies have become more sensitive to U.S. news in recent years. We also find that market sentiment could sway the impact of news on these currencies systematically, as good (bad) news seems to matter more when optimism (pessimism) prevails. Market uncertainty also interacts with macroeconomic news in a statistically significant way, but its role varies across currencies and news"--Federal Reserve Board web site.
Author: Fang Cai
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 66
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Book Description
"This paper utilizes a unique high-frequency database to measure how exchange rates in nine emerging markets react to macroeconomic news in the U.S. and domestic economies from 2000 to 2006. We find that major U.S. macroeconomic news have a strong impact on the returns and volatilities of emerging market exchange rates, but many domestic news do not. Emerging market currencies have become more sensitive to U.S. news in recent years. We also find that market sentiment could sway the impact of news on these currencies systematically, as good (bad) news seems to matter more when optimism (pessimism) prevails. Market uncertainty also interacts with macroeconomic news in a statistically significant way, but its role varies across currencies and news"--Federal Reserve Board web site.
Author: Richard J Sweeney
Publisher: Routledge
ISBN: 0429721064
Category : Political Science
Languages : en
Pages : 347
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Book Description
With the loss of Soviet control in Central and Eastern Europe, as well as the move toward economic liberalization in many developing countries, a huge increase in the number of convertible currencies in the world has occurred. A key aspect of the management of these currencies involves their relationships with the world economy, which is determined
Author: Mr.Christian Ebeke
Publisher: International Monetary Fund
ISBN: 1513599984
Category : Business & Economics
Languages : en
Pages : 36
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Book Description
This paper investigates the effects of the adoption of inflation targeting (IT) on the choice of exchange rate regime in emerging markets (EMs), conditional on certain macroeconomic conditions. Using a large sample of EMs and after controlling for the selection bias associated with the adoption of IT, we find that IT countries on average have a relatively more flexible exchange rate regime than other EMs. However, the flexibility of the exchange rate regime shows strong heterogeneity among IT countries depending on their degree of openness and exposure to FX risks. Moreover, we find that the marginal effect of IT adoption on the exchange rate flexibility increases with the duration of the IT regime in place, and with the propensity scores to adopt it.
Author: Mr.Jonathan David Ostry
Publisher: International Monetary Fund
ISBN: 1475554281
Category : Business & Economics
Languages : en
Pages : 25
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Book Description
Staff Discussion Notes showcase the latest policy-related analysis and research being developed by individual IMF staff and are published to elicit comment and to further debate. These papers are generally brief and written in nontechnical language, and so are aimed at a broad audience interested in economic policy issues. This Web-only series replaced Staff Position Notes in January 2011.
Author: Ms.Prachi Mishra
Publisher: International Monetary Fund
ISBN: 1498384544
Category : Business & Economics
Languages : en
Pages : 34
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Book Description
This paper analyzes market reactions to the 2013–14 Fed announcements relating to tapering of asset purchases and their relationship to macroeconomic fundamentals and country economic and financial structures. The study uses daily data on exchange rates, government bond yields, and stock prices for 21 emerging markets. It finds evidence of markets differentiating across countries around volatile episodes. Countries with stronger macroeconomic fundamentals, deeper financial markets, and a tighter macroprudential policy stance in the run-up to the tapering announcements experienced smaller currency depreciations and smaller increases in government bond yields. At the same time, there was less differentiation in the behavior of stock prices based on fundamentals.
Author: Torben Gustav Andersen
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 54
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Book Description
Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements), we characterize the conditional means of U.S. dollar spot exchange rates versus German Mark, British Pound, Japanese Yen, Swiss Franc, and the Euro. In particular, we find that announcement surprises (that is, divergences between expectations and realizations, or 'news') produce conditional mean jumps; hence high-frequency exchange rate dynamics are linked to fundamentals. The details of the linkage are intriguing and include announcement timing and sign effects. The sign effect refers to the fact that the market reacts to news in an asymmetric fashion: bad news has greater impact than good news, which we relate to recent theoretical work on information processing and price discovery.
Author: Mohsen Bahmani-Oskooee
Publisher: Nova Science Publishers
ISBN: 9781628081640
Category : Foreign exchange
Languages : en
Pages : 0
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Book Description
Exchange rate is perhaps one of the most important macroeconomic variables that link the economy of one country with the rest of the world. When it changes, it affects almost all other sectors and many other macro variables. For example, when a countrys currency depreciates, its exports become cheaper in terms of foreign currency and imports more expensive in terms of domestic currency. By exporting more and importing less, the trade balance is improved. Or when domestic currency depreciates (foreign currency appreciates), domestic currency value of foreign assets held by domestic residents increases. If this increase is perceived as an increase in wealth, domestic residents could increase their consumption at home. This leads to an increase in demand for money. However, if there are expectations of further appreciation of foreign currency, they may hold more foreign currency and less domestic currency. Other channels through which currency depreciation affects domestic consumption is through the redistribution effect. Depreciation is inflationary. Since wages do not adjust to inflation instantaneously, profit will be realised at the cost of workers.This amounts to transferring income from workers to producers. Since workers have a high propensity to consumers than producers, eventually domestic consumption declines. Other variables that are said to be affected by exchange rate changes include domestic investment, income distribution, the stock market, etc. This book deals with economic implications of exchange rate changes in emerging economies pertaining to some of the issues mentioned above.
Author: Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
Publisher:
ISBN: 9789291319626
Category : Banks and banking, Central
Languages : es
Pages : 0
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Book Description
Author: John Williamson
Publisher: Peterson Institute
ISBN: 9780881322934
Category : Business & Economics
Languages : en
Pages : 110
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Book Description
In the aftermath of the Asian/global financial crises of 1997-98, how should emerging markets now structure their exchange rate systems to prevent new crises from occurring? This study challenges current orthodoxy by advocating the revival of intermediate exchange rate regimes. In so doing, Williamson presents a reasoned challenge to the new prevailing attitude which claims that all countries involved in the international capital markets need to polarize to one of the extreme regimes (to a fixed rate with either a currency board or dollarization, or to a lightly-managed float). He concludes that although there is some truth in the allegation that intermediate regimes are vulnerable to speculative crises, they still offer offsetting advantages. He also contends that it would be possible to redesign them to be more flexible so as to reduce their vulnerability to crises.
Author: Roberto Pereira Guimarães
Publisher: International Monetary Fund
ISBN: 1451854641
Category : Business & Economics
Languages : en
Pages : 34
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Book Description
This paper analyzes the effects of intervention on the level and volatility of the exchange rate in Mexico and Turkey, two emerging countries that have floating exchange rate regimes. The paper finds mixed evidence on the effectiveness of intervention. In Mexico, foreign exchange sales have a small impact on the exchange rate level and raise short-term volatility, while in Turkey, intervention does not appear to affect the exchange rate level but reduces its shortterm volatility. In both cases, the findings are consistent with officially stated policy objectives, which aim to minimize the effect of intervention on the exchange rate, but cast doubt on claims that intervention is a useful tool for smoothing volatility. Although these findings cannot be generalized to other emerging markets, intervention's apparently limited effectiveness highlights the need for central banks to use their scarce foreign reserves selectively and parsimoniously.
