Annual Conference

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International Macroeconomics, Money & Banking

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May 2015

World Asset Markets and the Global Financial Cycle

Helene REY, Silvia MIRANDA AGRIPPINO
We find that one global factor explains an important part of the variance of a large cross section of returns of risky assets around the world. Using a model with heterogeneous investors, we interpret the global factor as reflecting aggregate realised variance and the time-varying degree of market-w...
Keywords: Asset markets, financial cycle, risk aversion, credit spreads, credit flows, bank leverage, spillovers
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

When is foreign exchange intervention effective? Evidence from 33 countries

Lucio SARNO, Marcel FRATZSCHER, Oliver GLOEDE, Lukas MENKHOFF, Tobias STÖHR
This paper examines foreign exchange intervention based on novel daily data covering 33 countries from 1995 to 2011. We find that intervention is widely used and an effective policy tool, with a success rate in excess of 80 percent under some criteria. The policy works well in terms of smoothing the...
Keywords: Foreign exchange intervention, exchange rate regimes, effectiveness measures, Communication, capital controls
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2016

Whatever it takes: The Real Effects of Unconventional Monetary Policy

Viral V. ACHARYA, Tim EISERT, Christian EUFINGER, Christian HIRSCH
Launched in Summer 2012, the European Central Bank’s (ECB) Outright Monetary Transactions (OMT) program indirectly recapitalized European banks through its positive impact on periphery sovereign bonds. However, the stability reestablished in the banking sector did not fully translate into economic...
Keywords: monetary policy, Zombie Lending, Banking sector, Cash reserves
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2021

What Explains the Crash of Bank Stock Prices During COVID-19?

Viral V. ACHARYA, Sascha STEFFEN, Robert ENGLE
We provide evidence consistent with a “credit-line drawdown channel” to explain the large and persistent crash of bank stock prices during the COVID-19 pandemic. Stock prices of banks with large ex-ante exposures to undrawn credit lines and large ex-post gross drawdowns declined more, especially...
Keywords: Credit lines, liquidity risk, bank capital, loan supply, stress tests, Pandemic
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Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2015

What Do Stock Markets Tell Us About Exchange Rates?

Gino CENEDESE, Giorgio VALENTE, Richard PAYNE, Lucio SARNO
The sign of the correlation between equity returns and exchange rate returns can be positive or negative in theory. Using data for a broad set of forty-two countries, we find that exchange rate movements are in fact unrelated to differentials in country-level equity returns. Consequently, a trading ...
Keywords: Empirical Asset Pricing, exchange rates, Uncovered Equity Parity, International Asset Allocation
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