U.S. Dollar Dynamics PDF
By:Mr.Ravi Balakrishnan,Stefan Laseen,Mr.Andrea Pescatori
Published on 2016-09-23 by International Monetary Fund
We investigate the drivers of dynamics of major U.S. FX bilaterals. We first construct a novel measure of FX risk premiums using Consensus exchange rate forecasts. We then use VAR analysis to show that (i) risk premium shocks play a key role in driving dynamics of the major U.S. FX bilaterals; (ii) longer-term interest differentials also matter, especially for the Canadian $ and the Euro; (iii) oil price shocks play a particularly important role for the Canadian $ (an oil exporter); and (iv) risk appetite shocks (e.g., VIX shocks) generally lead to U.S. dollar appreciation. The importance of risk premium and longer-term interest differential shocks fit well with a simple theoretical model and are supported by recent event studies.
This Book was ranked at 26 by Google Books for keyword International Foreign Exchange novel.
Book ID of U.S. Dollar Dynamics's Books is VZ0tDQAAQBAJ, Book which was written byMr.Ravi Balakrishnan,Stefan Laseen,Mr.Andrea Pescatorihave ETAG "rSaS7Km8pO0"
Book which was published by International Monetary Fund since 2016-09-23 have ISBNs, ISBN 13 Code is 9781475540932 and ISBN 10 Code is 1475540930
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Book which have "47 Pages" is Printed at BOOK under CategoryBusiness and Economics
Book was written in en
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