Search: FX
RBA Glossary definition for FX
FX – Foreign exchange
Search Results
What Determines the Strength of Spillovers?
23 Apr 2019
RDP
2019-03
Table 8: Distinguishing FX and Financial Channels. Foreign currency debt. Portfolio equity from originator. ... FX volatility is calculated from the bilateral exchange rate between the originator and recipient economies.
https://www.rba.gov.au/publications/rdp/2019/2019-03/what-determines-the-strength-of-spillovers.html
Why Do Monetary Policy Spillovers Occur?
23 Apr 2019
RDP
2019-03
Ciccarelli and Mojon 2010; Neely and Rapach 2011). Spillovers can occur via a foreign exchange (FX) channel if a country pegs its exchange rate to that of a larger economy, either ... Alternatively, they may intervene in the FX market to smooth the
https://www.rba.gov.au/publications/rdp/2019/2019-03/why-do-monetary-policy-spillovers-occur.html
Data
23 Apr 2019
RDP
2019-03
To gauge the impact of the FX regime for spillover effects, we compute a measure of realised FX volatility from squared daily changes of spot exchange rates (see, for example, De ... Grauwe and Schnabl (2008) for a similar approach to construct de facto
https://www.rba.gov.au/publications/rdp/2019/2019-03/data.html
References
23 Apr 2019
RDP
2019-03
Diebold FX, M Piazzesi and GD Rudebusch (2005), ‘Modeling Bond Yields in Finance and Macroeconomics’, The American Economic Review, 95(2), pp 415–420. ... Ferrari M, J Kearns and A Schrimpf (2017), ‘Monetary Policy's Rising FX Impact in the Era
https://www.rba.gov.au/publications/rdp/2019/2019-03/references.html
Conclusion
23 Apr 2019
RDP
2019-03
We study the role of domestic economic conditions, FX regime and bond risk premia (and financial conditions).
https://www.rba.gov.au/publications/rdp/2019/2019-03/conclusion.html
Introduction
23 Apr 2019
RDP
2019-03
We propose three alternative channels: (i) domestic economic conditions (including economic linkages), (ii) FX regime, and (iii) the impact of bond risk premia (and financial factors more broadly).
https://www.rba.gov.au/publications/rdp/2019/2019-03/introduction.html
Research Design: Detecting and Explaining Spillovers
23 Apr 2019
RDP
2019-03
Hence, one would expect FX volatility and spillover strengths to be negatively correlated. ... The FX regime channel, by contrast, will operate predominantly via short-term interest rates, but longer-term rates might also be affected to some extent.
https://www.rba.gov.au/publications/rdp/2019/2019-03/research-design-detecting-and-explaining-spillovers.html
Explaining Monetary Spillovers: The Matrix Reloaded
1 Apr 2019
RDP
2019-03
Alternatively, they may intervene in the FX market to smooth the bilateral exchange rate. ... Hence, one would expect FX volatility and spillover strengths to be negatively correlated.
https://www.rba.gov.au/publications/rdp/2019/2019-03/full.html