Exchange Rate Volatility Response to Macroeconomic News: Evidence from the Great Recession

2015 ◽  
Author(s):  
Walid Ben Omrane ◽  
Tanseli Savaser
Keyword(s):  
Exchange Rate ◽  
Great Recession ◽  
Exchange Rate Volatility ◽  
Macroeconomic News ◽  
The Great Recession

scholarly journals Vehicle Currency Pricing and Exchange Rate Pass-Through

2021 ◽  
Author(s):  
Natalie Chen ◽  
Wanyu Chung ◽  
Dennis Novy
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Great Recession ◽  
Firm Level ◽  
Bilateral Exchange ◽  
The Great Recession ◽  
Pass Through ◽  
Exchange Rate Changes ◽  
Exchange Rate Pass Through ◽  
The Relationship

Abstract Using detailed firm-level transactions data for UK imports, we find that invoicing in a vehicle currency is pervasive, with more than half of the transactions in our sample invoiced in neither sterling nor the exporter’s currency. We then study the relationship between invoicing currencies and the response of import unit values to exchange rate changes. We find that for transactions invoiced in a vehicle currency, import unit values are much more sensitive to changes in the vehicle currency than in the bilateral exchange rate. Pass-through therefore substantially increases once we account for vehicle currencies. This result helps to explain why UK inflation turned out higher than expected when sterling depreciated during the Great Recession and after the Brexit referendum. Finally, within a conceptual framework we show why bilateral exchange rates are not suitable for capturing exchange rate pass-through under vehicle currency pricing. Overall, our results help to clarify why the literature often finds a disconnect between exchange rates and prices when vehicle currencies are not accounted for.

scholarly journals Fixed on Flexible: Rethinking Exchange Rate Regimes after the Great Recession

2017 ◽  
Vol 65 (3) ◽  
pp. 586-632 ◽  
Author(s):  
Giancarlo Corsetti ◽  
Keith Kuester ◽  
Gernot J. Müller
Keyword(s):  
Exchange Rate ◽  
Great Recession ◽  
Exchange Rate Regimes ◽  
The Great Recession

scholarly journals The "Great Moderation" in a Dual Exchange Rate Regime

2012 ◽  
Vol 12 (4) ◽  
pp. 1850276
Author(s):  
Sven W. Arndt
Keyword(s):  
Exchange Rate ◽  
Great Recession ◽  
Full Employment ◽  
Exchange Rate Regime ◽  
Contributing Factors ◽  
Employment Level ◽  
Policy Makers ◽  
The Great Recession ◽  
Economic Developments ◽  
The U.S

In the early nineties, the U.S. economy was emerging from a brief slump, monetary policy was easy, and economic activity recovered quickly during the decade, with GDP eventually reaching and then passing the consensus full employment level. Yet aggregate inflation remained surprisingly subdued. This moderation in prices at the aggregate level persuaded policy makers to allow the easy-money stance to continue in spite of the presence of inflation in non-tradables and in housing and construction in particular. This paper uses a flex-price, mixed-exchange rate model to examine some of the major contributing factors to economic developments in the two-decade period that ended in the financial meltdown and the great recession. It argues that Chinese exchange rate manipulation and China's preference for holding dollar reserves were important contributing factors. On the U.S. side, failure to understand the importance of differencial inflation patterns in tradables and non-tradables sectors, and especially failure to see inflation in housing and construction as goods rather than asset inflation, allowed monetary expansion to last much longer than it should have.

Sign in / Sign up

Export Citation Format

Share Document