Annual Conference

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International Macroeconomics, Money & Banking

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May 2019

The Global Financial Cycle and US Monetary Policy in an Interconnected World

Alessandro GALESI, Stéphane DÉES
We assess the international spillovers stemming from identified US conventional and unconventional monetary policy shocks by estimating a global VAR model which exploits panel variation on several macroeconomic and financial indicators for a set of advanced and emerging economies. We find that US mo...
Keywords: trilemma, global financial cycle, monetary policy spillovers
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2019

Monetary Trilemma Dilemma or Something in Between

Ruijie CHENG, Ramkishen S. RAJAN
This paper revisits the monetary “trilemma” versus “dilemma” debate by examining empirically interest‐rate policy independence for a large sample of both advanced and developing countries over the period 1973–2014. We broadly concur with the growing body of literature that suggests that ...
Keywords: Asymmetry, capital controls, dilemma, exchange‐rate regime, trilemma
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2019

International Bank Lending Channel of Monetary Policy

Davide FURCERI, Silvia ALBRIZIO, Sangyup CHOI, Chansik YOON
How does domestic monetary policy in systemic countries spillover to the rest of the world? This paper examines the transmission channel of domestic monetary policy in the cross-border context. We use exogenous shocks to monetary policy in systemically important economies, including the U.S., and lo...
Keywords: Monetary policy spillovers;International bank lending channel, Cross-border banking flows, Global financial cycles, Local projections
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2019

Global Currency Hedging with Common Risk Factors

Steven J. RIDDIOUGH, Wei OPIE
We develop a novel method to dynamically hedge foreign exchange exposure in international equity and bond portfolios. The method exploits the time-series predictability of currency returns, which we show emerges from exploiting a forecastable component in global factor returns. The hedging strategy ...
Keywords: global currency hedging, currency risk factors, currency returns, international portfolio diversification, mean-variance optimization
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2019

Currency Mispricing and Dealer Balance Sheets

Pasquale Della CORTE, Gino CENEDESE, Tianyu WANG
We relate currency mispricing originating from the breakdown of covered interest rate parity to the dealer balance-sheet constraints resulting from the post-crisis financial regulation. Using a unique data set on contract-level foreign exchange derivatives with disclosed counterparty identities, we ...
Keywords: exchange rates, dollar basis covered interest parity condition, arbitrage opportunities
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