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Exchange rate

About: Exchange rate is a research topic. Over the lifetime, 47255 publications have been published within this topic receiving 944563 citations. The topic is also known as: foreign-exchange rate & forex rate.


Papers
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Journal ArticleDOI
TL;DR: This article revisited the effects of monetary policy on exchange rates by applying Uhlig's [Uhlig, H., 2005a] identification procedure that involves sign restrictions on the impulse responses of selected variables.

250 citations

Posted Content
TL;DR: In this article, a model of the optimizing behavior of an international banking tirm is used to derive the sensitivity coefficients of the alternative factors, including market return, interest rate and exchange rate risk factors.
Abstract: This paper presents and estimates a multifactor model of bank stock returns that incorporates market return, interest rate and exchange rate risk factors. A model of the optimizing behavior of an international banking tirm is used to derive the sensitivity coefficients of the alternative factors. Regression equations are estimated that are based on either actual or unexpected values of the underlying factors with a post-October 1979 time dummy variable and with a money-center bank dummy variable. Standard results are obtained for the market and interest rate variables while new results are derived for the exchange rate variable. The specific effects of the latter variable are found to be dependent on the time period of observation and the money-center status of banks.

250 citations

Journal ArticleDOI
TL;DR: In this paper, the authors explore the relation between global prices of gold, crude oil, the USD-INR exchange rate, and the stock market in India and highlight the need for dynamic policy making in India to contain exchange rate fluctuations and stock market volatility using gold price and oil price as instruments.

250 citations

ReportDOI
TL;DR: In this article, the authors analyzed the characteristics of systemic sudden stops (3S) in capital flows and the relevance of balance-sheet effects in the likelihood of their materialization using a sample of 110 developed and developing countries for the period 1990-2004.
Abstract: Using a sample of 110 developed and developing countries for the period 1990-2004, this paper analyzes the characteristics of systemic sudden stops (3S) in capital flows and the relevance of balance-sheet effects in the likelihood of their materialization. A small supply of tradable goods relative to their domestic absorption?a proxy for potential changes in the real exchange rate?and large foreign-exchange denominated debts towards the domestic banking system are claimed to be key determinants of the probability of 3S, producing a balancesheet effect with non-linear impacts on the probability of 3S. While financial integration is up to a point associated with a higher likelihood of 3S, beyond that point financial integration is associated with a lower likelihood of 3S.

250 citations

Journal ArticleDOI
22 Mar 2005
TL;DR: The authors developed a simple model of exchange rate and current account determination, which they then use to interpret the recent behavior of the U.S. current account and the dollar and explore what might happen in alternative future scenarios.
Abstract: TWO MAIN FORCES underlie the large U.S. current account deficits of the past decade. The first is an increase in U.S. demand for foreign goods, partly due to relatively faster U.S. growth and partly to shifts in demand away from U.S. goods toward foreign goods. The second is an increase in foreign demand for U.S. assets, starting with high foreign private demand for U.S. equities in the second half of the 1990s, and later shifting to foreign private and then central bank demand for U.S. bonds in the 2000s. Both forces have contributed to steadily increasing current account deficits since the mid-1990s, accompanied by a real dollar appreciation until late 2001 and a real depreciation since. The depreciation accelerated in late 2004, raising the issues of whether and how much more is to come and, if so, against which currencies: the euro, the yen, or the Chinese renminbi. We address these issues by developing a simple model of exchange rate and current account determination, which we then use to interpret the recent behavior of the U.S. current account and the dollar and explore what might happen in alternative future scenarios. The model's central assumption is that there is imperfect substitutability not only between U.S. and foreign goods, but also between U.S. and foreign assets. This allows us to discuss the effects not only of shifts in the relative demand for goods, but also of shifts in the relative demand for assets. We show that increases in U.S. demand for foreign goods lead to an initial real dollar depreciation, followed by further, more gradual depreciation over time. Increases in foreign demand for U.S. assets lead instead to an initial appreciation, followed by depreciation over time, to a level lower than before the shift. The model provides a natural interpretation of the recent behavior of the U.S. current account and the dollar exchange rate. The initial net effect of the shifts in U.S. demand for foreign goods and in foreign demand for U.S. assets was a dollar appreciation. Both shifts, however, imply an eventual depreciation. The United States appears to have entered this depreciation phase. How much depreciation is to come, and at what rate, depends on how far the process has come and on future shifts in the demand for goods and the demand for assets. This raises two main issues. First, can one expect the deficit to largely reverse itself without changes in the exchange rate? If it does, the needed depreciation will obviously be smaller. Second, can one expect foreign demand for U.S. assets to continue to increase? If it does, the depreciation will be delayed, although it will still have to come eventually. Although there is substantial uncertainty about the answers, we conclude that neither scenario is likely. This leads us to anticipate, in the absence of surprises, more dollar depreciation to come at a slow but steady rate. Surprises will, however, take place; only their sign is unknown. We again use the model as a guide to discuss a number of alternative scenarios, from the abandonment of the renminbi's peg against the dollar, to changes in the composition of reserves held by Asian central banks, to changes in U.S. interest rates. This leads us to the last part of the paper, where we ask how much of the dollar's future depreciation is likely to take place against the euro, and how much against Asian currencies. We extend our model to allow for four "countries": the United States, the euro area, Japan, and China. We conclude that, again absent surprises, the path of adjustment is likely to be associated primarily with an appreciation of the Asian currencies, but also with a further appreciation of the euro against the dollar. A Model of the Exchange Rate and the Current Account Much of economists' intuition about joint movements in the exchange rate and the current account is based on the assumption of perfect substitutability between domestic and foreign assets. …

250 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
20242
2023899
20222,022
20211,295
20201,609
20191,767