I investigate monetary policy transmission under the Trilemma across Advanced and Emerging Market Economies, paying particular attention on the extent of spillovers under intermediate exchange rate regimes (i.e. managed floats). The extent of monetary pass-through: 1) is broadly significant, but more incomplete in Emerging Markets than Advanced Economies, 2) varies within intermediate exchange rate regimes, 3) appears to be diversifiable under a basket peg, and 4) is non-linear in exchange rate flexibility, especially across Emerging Markets. The latter three points suggest that near-corner exchange rate policies can carry starkly different implications from corner policies themselves: Countries can face almost the same monetary autonomy as under a float without resorting to a pure float. Countries under a fixed regime appear to gain disproportionate monetary independence by giving up relatively little exchange rate stability. The use of international reserves as an additional policy instrument appears to play a role in explaining these non-linearities, particularly for Emerging Markets. Such gains in monetary autonomy are allocated towards domestic objectives differently across Advanced Economies and Emerging Markets. Advanced Economies tend to put greater emphasis on output stabilization while Emerging Markets focus on inflation.
{"title":"Monetary Policy Spillovers under Intermediate Exchange Rate Regimes","authors":"Rashad Ahmed","doi":"10.2139/ssrn.3545521","DOIUrl":"https://doi.org/10.2139/ssrn.3545521","url":null,"abstract":"I investigate monetary policy transmission under the Trilemma across Advanced and Emerging Market Economies, paying particular attention on the extent of spillovers under intermediate exchange rate regimes (i.e. managed floats). The extent of monetary pass-through: 1) is broadly significant, but more incomplete in Emerging Markets than Advanced Economies, 2) varies within intermediate exchange rate regimes, 3) appears to be diversifiable under a basket peg, and 4) is non-linear in exchange rate flexibility, especially across Emerging Markets. The latter three points suggest that near-corner exchange rate policies can carry starkly different implications from corner policies themselves: Countries can face almost the same monetary autonomy as under a float without resorting to a pure float. Countries under a fixed regime appear to gain disproportionate monetary independence by giving up relatively little exchange rate stability. The use of international reserves as an additional policy instrument appears to play a role in explaining these non-linearities, particularly for Emerging Markets. Such gains in monetary autonomy are allocated towards domestic objectives differently across Advanced Economies and Emerging Markets. Advanced Economies tend to put greater emphasis on output stabilization while Emerging Markets focus on inflation.","PeriodicalId":20949,"journal":{"name":"PSN: Exchange Rates & Currency (Comparative) (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83579819","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper metaphorically suggests that Malaysia could have been the 5th Asian Tiger if it were able to discover its special hidden talents as the idiom from the Chinese mythology “Crouching Tiger, Hidden Dragon” infers. Malaysia’s astounding economic track record (1985-96) underpinned by tamed inflation and high future prospects fell short of expectations in the late 1990s. Malaysia’s autocratic leaders and their instability-inflicting policies augmented uncertainty and undermined any potential recovery efforts in the aftermath of the homegrown Asian crisis of 1997-98. As a result, Malaysia’s promising outlook had abruptly shifted from being a model for the future to Asian myth. Malaysia’s GDP contracted mindboggling -7.4% in 1998 after averaging 9.2% in the period of 1992-96. The unthinkable shrinkage in the steady state output amounted to a loss of about $30 billion, the country’s GDP declined from $101 billion in 1996 to $72.2 billion in 1998. Malaysian people become a lot poorer after the crisis; the per capita income was $4,797 in 1996 as opposed to $3,264 in 1998, a decline of $1,533 in per capita income. Malaysia managed to escape the severe impacts of the near global financial meltdown with a minor dent; unlike the contraction observed in 1998 (-7.4%), Malaysia’s GDP dropped from 6.3% to 4.83% (2007-08) before contracting -1.51% in 2009. Despite the transparent and open economy (ranked 16th place in 2008 GCI) plus fast rise in the Human Development Index ranking (61st out of 190 countries in 2018), Malaysia’s heavy reliance on exports and its elongated addiction to the U.S. dollar made it become more prone to financial, currency, trade, and economic crises. The propagation of contemporaneous crises since the late 1990s have distinctly proved that Malaysia is hardly immune to shocks resulting from the slower economic growth in China and monetary normalizations in Europe and the U.S. which are causing interest rates to rise and exchange rate pressures to increase. Although the remarkable transition of Malaysia into a middle-income country was rather easy fostered by unusually favorable macroeconomic environment, but it seems to have been stuck in the middle-income trap and the next major economic leap to achieve a high-income status will require so much more than cheap labor and “mobilization of resources” based on “perspiration rather than inspiration”. Malaysia is struggling to figure out how to develop comprehensive skills which are essential to support future economic growth. Another problem is that educational institutions in Malaysia are not well aligned with industries to meet their demands; furthermore, a seamless coordination as well as collaboration between them is missing. Accordingly, a decade after the 2008 global financial crisis, Malaysia ranks 44th in pillar 4 (Health and Primary Education) and 41st in pillar 5 (Higher Education and Training). Malaysia also ranks 43rd in pillar 9 (Technological Readiness) due to a lack of l
{"title":"Malaysia: 'Crouching Tiger, Hidden Dragon'","authors":"John Taskinsoy","doi":"10.2139/ssrn.3522206","DOIUrl":"https://doi.org/10.2139/ssrn.3522206","url":null,"abstract":"This paper metaphorically suggests that Malaysia could have been the 5th Asian Tiger if it were able to discover its special hidden talents as the idiom from the Chinese mythology “Crouching Tiger, Hidden Dragon” infers. Malaysia’s astounding economic track record (1985-96) underpinned by tamed inflation and high future prospects fell short of expectations in the late 1990s. Malaysia’s autocratic leaders and their instability-inflicting policies augmented uncertainty and undermined any potential recovery efforts in the aftermath of the homegrown Asian crisis of 1997-98. As a result, Malaysia’s promising outlook had abruptly shifted from being a model for the future to Asian myth. Malaysia’s GDP contracted mindboggling -7.4% in 1998 after averaging 9.2% in the period of 1992-96. The unthinkable shrinkage in the steady state output amounted to a loss of about $30 billion, the country’s GDP declined from $101 billion in 1996 to $72.2 billion in 1998. Malaysian people become a lot poorer after the crisis; the per capita income was $4,797 in 1996 as opposed to $3,264 in 1998, a decline of $1,533 in per capita income. Malaysia managed to escape the severe impacts of the near global financial meltdown with a minor dent; unlike the contraction observed in 1998 (-7.4%), Malaysia’s GDP dropped from 6.3% to 4.83% (2007-08) before contracting -1.51% in 2009. Despite the transparent and open economy (ranked 16th place in 2008 GCI) plus fast rise in the Human Development Index ranking (61st out of 190 countries in 2018), Malaysia’s heavy reliance on exports and its elongated addiction to the U.S. dollar made it become more prone to financial, currency, trade, and economic crises. The propagation of contemporaneous crises since the late 1990s have distinctly proved that Malaysia is hardly immune to shocks resulting from the slower economic growth in China and monetary normalizations in Europe and the U.S. which are causing interest rates to rise and exchange rate pressures to increase. Although the remarkable transition of Malaysia into a middle-income country was rather easy fostered by unusually favorable macroeconomic environment, but it seems to have been stuck in the middle-income trap and the next major economic leap to achieve a high-income status will require so much more than cheap labor and “mobilization of resources” based on “perspiration rather than inspiration”. Malaysia is struggling to figure out how to develop comprehensive skills which are essential to support future economic growth. Another problem is that educational institutions in Malaysia are not well aligned with industries to meet their demands; furthermore, a seamless coordination as well as collaboration between them is missing. Accordingly, a decade after the 2008 global financial crisis, Malaysia ranks 44th in pillar 4 (Health and Primary Education) and 41st in pillar 5 (Higher Education and Training). Malaysia also ranks 43rd in pillar 9 (Technological Readiness) due to a lack of l","PeriodicalId":20949,"journal":{"name":"PSN: Exchange Rates & Currency (Comparative) (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82150809","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
I study the supply-side effects of a unique monetary shock – the 2016 Indian demonetization – that made 86% of currency in circulation illegal overnight. Exploiting cross-sectional variation in firm and industry characteristics that correlate with cash usage and exposure to the informal sector, I find that firms that use cash more and obtain larger shares of labor or material inputs from the informal sector, experienced declines in their labor and material shares after demonetization. I also show that casual laborers were more likely to report being unemployed in the months following demonetization. These findings document a supply channel for demonetization and also show that cash plays an essential role in India’s informal sector. Crucially, given that India’s formal sector is highly dependent on the informal sector for labor and materials, any shock to the supply of cash is likely to have affected the economy as a whole.
{"title":"The Supply-Side Effects of India’s Demonetization","authors":"G. Subramaniam","doi":"10.2139/ssrn.3472758","DOIUrl":"https://doi.org/10.2139/ssrn.3472758","url":null,"abstract":"I study the supply-side effects of a unique monetary shock – the 2016 Indian demonetization – that made 86% of currency in circulation illegal overnight. Exploiting cross-sectional variation in firm and industry characteristics that correlate with cash usage and exposure to the informal sector, I find that firms that use cash more and obtain larger shares of labor or material inputs from the informal sector, experienced declines in their labor and material shares after demonetization. I also show that casual laborers were more likely to report being unemployed in the months following demonetization. These findings document a supply channel for demonetization and also show that cash plays an essential role in India’s informal sector. Crucially, given that India’s formal sector is highly dependent on the informal sector for labor and materials, any shock to the supply of cash is likely to have affected the economy as a whole.","PeriodicalId":20949,"journal":{"name":"PSN: Exchange Rates & Currency (Comparative) (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-01-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85798395","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Returns to currency carry and momentum are compensations for the risk of global interest rate uncertainty (IRU), with risk exposures explaining 92% of their cross-sectional return variations. The unified explanation stems from its impact on financial constraints of FX intermediaries. Higher global IRU tightens constraints and triggers losses from carry trade, it also makes FX intermediary reluctant to accommodate gradual cross-country asset flows, leading to losses of momentum in currency and other asset markets. Using data of bilateral asset flows, I provide evidence supporting the mechanism. The explanatory power is not driven by existing measures of uncertainty or intermediary constraints.
{"title":"Currency Carry, Momentum, and Global Interest Rate Uncertainty","authors":"M. Zeng","doi":"10.2139/ssrn.3190657","DOIUrl":"https://doi.org/10.2139/ssrn.3190657","url":null,"abstract":"Returns to currency carry and momentum are compensations for the risk of global interest rate uncertainty (IRU), with risk exposures explaining 92% of their cross-sectional return variations. The unified explanation stems from its impact on financial constraints of FX intermediaries. Higher global IRU tightens constraints and triggers losses from carry trade, it also makes FX intermediary reluctant to accommodate gradual cross-country asset flows, leading to losses of momentum in currency and other asset markets. Using data of bilateral asset flows, I provide evidence supporting the mechanism. The explanatory power is not driven by existing measures of uncertainty or intermediary constraints.","PeriodicalId":20949,"journal":{"name":"PSN: Exchange Rates & Currency (Comparative) (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91162846","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We examine whether oil prices help produce accurate forecasts of the real broad effective exchange rate of the United Arab Emirates (UAE). Using monthly data for 1994–1999, we formulate a univariate moving average (MA) and an augmented moving average (A‐MA) model to generate multi‐period forecasts of UAE real exchange rates for 2000–2019. The MA model utilises past information in real exchange rates, while the A‐MA model utilises past information in both real exchange rates and oil prices. Our results indicate that oil prices help produce accurate forecasts of UAE real exchange rates only for 2000–2009; that is, for this period, the A‐MA forecasts are unbiased, outperform the MA forecasts and are directionally accurate. As for 2009–2019, we take a non‐parametric approach and show that oil price changes accurately predict directional change in UAE real effective exchange rates.
{"title":"Predicting United Arab Emirates' Real Effective Exchange Rates Using Oil Prices","authors":"Hamid Baghestani, Bassam M. AbuAl-Foul","doi":"10.1111/opec.12166","DOIUrl":"https://doi.org/10.1111/opec.12166","url":null,"abstract":"We examine whether oil prices help produce accurate forecasts of the real broad effective exchange rate of the United Arab Emirates (UAE). Using monthly data for 1994–1999, we formulate a univariate moving average (MA) and an augmented moving average (A‐MA) model to generate multi‐period forecasts of UAE real exchange rates for 2000–2019. The MA model utilises past information in real exchange rates, while the A‐MA model utilises past information in both real exchange rates and oil prices. Our results indicate that oil prices help produce accurate forecasts of UAE real exchange rates only for 2000–2009; that is, for this period, the A‐MA forecasts are unbiased, outperform the MA forecasts and are directionally accurate. As for 2009–2019, we take a non‐parametric approach and show that oil price changes accurately predict directional change in UAE real effective exchange rates.","PeriodicalId":20949,"journal":{"name":"PSN: Exchange Rates & Currency (Comparative) (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82299753","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Public interest, explosive returns, and diversification opportunities gave stimulus to the adoption of traditional financial tools to crypto-currencies. While the CRIX index offered the first scientifically-backed proxy to the cryptomarket (analogous to S&P 500), the introduction of Bitcoin futures by Cboe became the milestone in the creation of the derivatives market for cryptocurrencies. Following the intuition of the "fear index" VIX for the American stock market, the VCRIX volatility index was created to capture the investor expectations about the crypto-currency ecosystem. VCRIX is built based on CRIX and offers a forecast for the mean annualized volatility of the next 30 days, re-estimated daily. The model was back-tested for its forecasting power, resulting in low MSE performance and further examined by the simulation of VIX (resulting in a correlation of 78% between the actual VIX and VIX estimated with the VCRIX model). VCRIX provides forecasting functionality and serves as a proxy for the investors’ expectations in the absence of the developed derivatives market. These features provide enhanced decision making capacities for market monitoring, trading strategies, and potentially option pricing.
{"title":"VCRIX - A Volatility Index for Crypto-Currencies","authors":"Alisa Kim, Simon Trimborn, W. Härdle","doi":"10.2139/ssrn.3480348","DOIUrl":"https://doi.org/10.2139/ssrn.3480348","url":null,"abstract":"Public interest, explosive returns, and diversification opportunities gave stimulus to the adoption of traditional financial tools to crypto-currencies. While the CRIX index offered the first scientifically-backed proxy to the cryptomarket (analogous to S&P 500), the introduction of Bitcoin futures by Cboe became the milestone in the creation of the derivatives market for cryptocurrencies. Following the intuition of the \"fear index\" VIX for the American stock market, the VCRIX volatility index was created to capture the investor expectations about the crypto-currency ecosystem. VCRIX is built based on CRIX and offers a forecast for the mean annualized volatility of the next 30 days, re-estimated daily. The model was back-tested for its forecasting power, resulting in low MSE performance and further examined by the simulation of VIX (resulting in a correlation of 78% between the actual VIX and VIX estimated with the VCRIX model). VCRIX provides forecasting functionality and serves as a proxy for the investors’ expectations in the absence of the developed derivatives market. These features provide enhanced decision making capacities for market monitoring, trading strategies, and potentially option pricing.","PeriodicalId":20949,"journal":{"name":"PSN: Exchange Rates & Currency (Comparative) (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82450775","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Global warming is likely to have unimaginable disruptions in every aspect of human life by 2050 if some actions are not taken immediately to reduce its fast acceleration. Since the Industrial Revolution (1900s), the global mean surface temperature has warmed up approximately +0.8 °C (1.4 °F) due to past and ongoing human-induced emissions of greenhouse gasses as a result of burning of fossil fuels. Scientists and environmentalists warn that if nothing is done in the next decade to deal with climate changes, the global warming may accelerate to around 1.5 °C by 2050, which may lead to climate changes with catastrophic consequences. Blockchain is not confined to cryptocurrencies and can help reduce current levels of human-produced carbon dioxide, methane, and nitrous oxide resulting from activities involving factory farming, livestock farming, and deforestation which are releasing huge amounts of greenhouse gases that suffocate the atmosphere. This paper looks at blockchain and the planet by examining how a wide range of opportunities offered by this revolutionary technology could be harnessed to address global warming challenges.
{"title":"Blockchain: An Unorthodox Solution to Reduce Global Warming","authors":"John Taskinsoy","doi":"10.2139/ssrn.3475144","DOIUrl":"https://doi.org/10.2139/ssrn.3475144","url":null,"abstract":"Global warming is likely to have unimaginable disruptions in every aspect of human life by 2050 if some actions are not taken immediately to reduce its fast acceleration. Since the Industrial Revolution (1900s), the global mean surface temperature has warmed up approximately +0.8 °C (1.4 °F) due to past and ongoing human-induced emissions of greenhouse gasses as a result of burning of fossil fuels. Scientists and environmentalists warn that if nothing is done in the next decade to deal with climate changes, the global warming may accelerate to around 1.5 °C by 2050, which may lead to climate changes with catastrophic consequences. Blockchain is not confined to cryptocurrencies and can help reduce current levels of human-produced carbon dioxide, methane, and nitrous oxide resulting from activities involving factory farming, livestock farming, and deforestation which are releasing huge amounts of greenhouse gases that suffocate the atmosphere. This paper looks at blockchain and the planet by examining how a wide range of opportunities offered by this revolutionary technology could be harnessed to address global warming challenges.","PeriodicalId":20949,"journal":{"name":"PSN: Exchange Rates & Currency (Comparative) (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90780410","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-03-27DOI: 10.35774/ECONA2019.01.063
G. Abuselidze
In terms of the efficiency of monetary policy and economic stability, de-dollarization and its analysis, its impact on the economy are the topical issues. The purpose of this paper is to describe the dollarization and de-dollarization process, which reflects in the economic and economic processes. It also reflects the problems that impede the growth of de-dollarization and the events that make a positive effect on it. The purpose of the work is to determine the place and role of de-dollarization and to identify ways to improve its regulation. This work refers to the study of foreign experience and its prospects in Georgia.
{"title":"Paradigms of De-Dollarization, Challenges and Analysis of Expected Results in Georgia","authors":"G. Abuselidze","doi":"10.35774/ECONA2019.01.063","DOIUrl":"https://doi.org/10.35774/ECONA2019.01.063","url":null,"abstract":"In terms of the efficiency of monetary policy and economic stability, de-dollarization and its analysis, its impact on the economy are the topical issues. The purpose of this paper is to describe the dollarization and de-dollarization process, which reflects in the economic and economic processes. It also reflects the problems that impede the growth of de-dollarization and the events that make a positive effect on it.\u0000The purpose of the work is to determine the place and role of de-dollarization and to identify ways to improve its regulation. This work refers to the study of foreign experience and its prospects in Georgia.","PeriodicalId":20949,"journal":{"name":"PSN: Exchange Rates & Currency (Comparative) (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81927721","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The IET Industrial Confidence Indicator, an indicator calculated by the Gaidar Institute, hit a 6-month low in Q3 2018, refl ecting distribution-related problems facing the Russian industry and its attempts to arrest them amid protracting stagnation and rouble devaluation.
{"title":"Russian Industry Needs Higher Demand for Its Products and Stronger Rouble","authors":"S. Tsukhlo","doi":"10.2139/ssrn.3271663","DOIUrl":"https://doi.org/10.2139/ssrn.3271663","url":null,"abstract":"The IET Industrial Confidence Indicator, an indicator calculated by the Gaidar Institute, hit a 6-month low in Q3 2018, refl ecting distribution-related problems facing the Russian industry and its attempts to arrest them amid protracting stagnation and rouble devaluation.","PeriodicalId":20949,"journal":{"name":"PSN: Exchange Rates & Currency (Comparative) (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-10-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78416499","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper assesses the impact of economic policy uncertainty to UK monetary policy stance and exchange rate movements in light of the UK’s decision to leave the European Union. Our results show that the economic significance of exchange rate movements heightens during the Referendum period. We document statistical differences in the economic importance of policy uncertainty shocks to the interest rate differential in June 2016 relative to other dates thereby providing evidence in favour of time-variation in the influence that policy uncertainty has on UK monetary policy stance.
{"title":"UK Policy Uncertainty, Monetary Policy Stance and Exchange Rates in Light of Brexit","authors":"M. Ellington, C. Milas","doi":"10.2139/ssrn.3244481","DOIUrl":"https://doi.org/10.2139/ssrn.3244481","url":null,"abstract":"This paper assesses the impact of economic policy uncertainty to UK monetary policy stance and exchange rate movements in light of the UK’s decision to leave the European Union. Our results show that the economic significance of exchange rate movements heightens during the Referendum period. We document statistical differences in the economic importance of policy uncertainty shocks to the interest rate differential in June 2016 relative to other dates thereby providing evidence in favour of time-variation in the influence that policy uncertainty has on UK monetary policy stance.","PeriodicalId":20949,"journal":{"name":"PSN: Exchange Rates & Currency (Comparative) (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89388576","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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