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|z 9781498348416
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Balakrishnan, Ravi.
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|a U.S. Dollar Dynamics :
|b How Important Are Policy Divergence and FX Risk Premiums? /
|c Ravi Balakrishnan, Stefan Laseen, Andrea Pescatori.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2016.
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|a 1 online resource (47 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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 USD and the Euro; (iii) oil price shocks play a particularly important role for the Canadian USD (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.
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|a Mode of access: Internet
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|a Laseen, Stefan.
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|a Pescatori, Andrea.
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|a IMF Working Papers; Working Paper ;
|v No. 2016/125
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2016/125/001.2016.issue-125-en.xml
|z IMF e-Library
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