160
result(s)
Trade Flows and Exchange Rates: Importers, Exporters and Products
Staff Working Paper 2019-41
Michael Devereux,
Wei Dong,
Ben Tomlin
Using highly disaggregated transaction-level trade data, we document the importance of new firm level trade partner relationships and the addition of new products to existing relationships in driving long-run import flows.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Exchange rates,
Firm dynamics,
International topics
JEL Code(s):
F,
F1,
F4
Exchange Rates, Retailers, and Importing: Theory and Firm-Level Evidence
Staff Working Paper 2019-34
Alex Chernoff,
Patrick Alexander
We develop a model with firm heterogeneity in importing and cross-border shopping among consumers. Exchange-rate appreciations lower the cost of imported goods, but also lead to more cross-border shopping; hence, the net impact on aggregate retail prices and sales is ambiguous.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Exchange rates,
International topics,
Service Sector
JEL Code(s):
F,
F1,
F10,
F14,
L,
L8,
L81
Entrepreneurial Incentives and the Role of Initial Coin Offerings
Staff Working Paper 2019-18
Rod Garratt,
Maarten van Oordt
Initial coin offerings (ICOs) are a new mode of financing start-ups that saw an explosion in popularity in 2017 but declined in popularity in the second half of 2018 as regulatory pressure, instances of fraud and reports of poor performance began to undermine their reputation.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Asset Pricing,
Exchange rates
JEL Code(s):
G,
G3,
G32
Estimating the Effect of Exchange Rate Changes on Total Exports
Staff Working Paper 2019-17
Thierry Mayer,
Walter Steingress
This paper shows that real effective exchange rate (REER) regressions, the standard approach for estimating the response of aggregate exports to exchange rate changes, imply biased estimates of the underlying elasticities. We provide a new aggregate regression specification that is consistent with bilateral trade flows micro-founded by the gravity equation.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Econometric and statistical methods,
Exchange rates,
International topics
JEL Code(s):
F,
F1,
F11,
F12,
F3,
F31,
F32
The Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility
Staff Analytical Note 2018-39
Adam Albogatchiev,
Jean-Sébastien Fontaine,
Jabir Sandhu,
Reginald Xie
We identify a few Bank of Canada press releases that had the largest immediate impact on the exchange rate market. We find that volatility increases after these releases, but the effect is short-lived and mostly dissipates after the first hour, on average. Beyond the first hour, the size of the effect is similar to what we observe for other economic releases, such as those for inflation or economic growth data.
Content Type(s):
Staff Research,
Staff Analytical Notes
Topic(s):
Exchange rates,
Financial markets,
Monetary Policy
JEL Code(s):
E,
E4,
E44,
F,
F3,
F31,
G,
G1,
G10,
G12,
G14,
G15
Markets Look Beyond the Headline
Staff Analytical Note 2018-37
Bruno Feunou,
James Kyeong,
Raisa Leiderman
Many reports and analyses interpret the release of new economic data based on the headline surprise—for instance, total inflation, real GDP growth and the unemployment rate. However, we find that headline news alone cannot adequately explain the responses of market prices to new information. Rather, market prices react more strongly, on average, to non-headline news such as the composition of GDP growth, quality of jobs created and revisions to past data. Thus, tracking the impact of non-headline information released on the news day is crucial in analyzing how markets interpret and react to new economic data.
Content Type(s):
Staff Research,
Staff Analytical Notes
Topic(s):
Asset Pricing,
Exchange rates,
Interest rates
JEL Code(s):
E,
E4,
E43,
G,
G1,
G12,
G14
Macroprudential FX Regulations: Shifting the Snowbanks of FX Vulnerability?
Staff Working Paper 2018-55
Toni Ahnert,
Kristin Forbes,
Christian Friedrich,
Dennis Reinhardt
Can macroprudential foreign exchange (FX) regulations on banks reduce the financial and macroeconomic vulnerabilities created by borrowing in foreign currency? To evaluate the effectiveness and unintended consequences of macroprudential FX regulations, we develop a parsimonious model of bank and market lending in domestic and foreign currency and derive four predictions.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Exchange rates,
Financial Institutions,
Financial system regulation and policies,
International financial markets
JEL Code(s):
F,
F3,
F32,
F34,
G,
G1,
G15,
G2,
G21,
G28
Uncovered Return Parity: Equity Returns and Currency Returns
Staff Working Paper 2018-22
Edouard Djeutem,
Geoffrey R. Dunbar
We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate. URP implies that unilateral exchange rate equations are misspecified and that equity returns also affect exchange rates. Fama regressions provide evidence that URP is statistically preferred to uncovered interest rate parity (UIP) for nominal bilateral exchange rates between the US dollar and six countries (Australia, Canada, Japan, Norway, Switzerland and the UK) at the monthly frequency.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Asset Pricing,
Exchange rates,
International financial markets
JEL Code(s):
E,
E4,
E43,
F,
F3,
F31,
G,
G1,
G15
The Share of Systematic Variations in the Canadian Dollar—Part III
Staff Analytical Note 2018-13
Guillaume Nolin,
James Kyeong,
Jean-Sébastien Fontaine
We draw a parallel between the dramatic increases of systematic variations in exchange rates and international bank lending. We find that when a country’s currency has a larger share of systematic variations, lending flows by international banks to that country become more sensitive to global lending - they also become more systematic. This parallel is particularly prevalent for large commodity exporters, including Canada. Global financial intermediation may open a new channel between the real economy and exchange rates.
Content Type(s):
Staff Research,
Staff Analytical Notes
Topic(s):
Exchange rates
JEL Code(s):
F,
F3,
F31
The Impacts of Monetary Policy Statements
Staff Analytical Note 2017-22
Bruno Feunou,
Corey Garriott,
James Kyeong,
Raisa Leiderman
In this note, we find that market participants react to an unexpected change in the tone of Canadian monetary policy statements. When the market perceives that the Bank of Canada plans to tighten (or alternatively, loosen) the monetary policy earlier than previously expected, the Canadian dollar appreciates (or depreciates) and long-term Government of Canada bond yields increase (or decrease). The tone of a statement is particularly relevant to the market when the policy rate has been unchanged for some time.
Content Type(s):
Staff Research,
Staff Analytical Notes
Topic(s):
Asset Pricing,
Exchange rates,
Interest rates,
Monetary policy communications,
Transmission of monetary policy
JEL Code(s):
E,
E4,
E43,
E5,
E52,
F,
F3,
F31,
G,
G1,
G12