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Annual Conference

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International Macroeconomics, Money & Banking

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May 2022

The financial channel of exchange rates operates through changes in risk-taking by investors and is reflected in the response of financial conditions to exchange rate movements. We show that stock returns also reflect the financial channel of exchange rates, with higher local currency stock returns ...
Keywords: global liquidity, pricing factor, emerging market, exchange rate
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Annual Conference

|

International Macroeconomics, Money & Banking

|

May 2019

In emerging market economies, currency appreciation goes hand in hand with compressed sovereign bond spreads, even for local currency sovereign bonds. This yield compression comes from a reduction in the credit risk premium. Crucially, the relevant exchange rate involved in yield compression is the ...
Keywords: Bond Spread, Capital Flow, Credit Risk, Emerging Market, exchange rate
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