Persistent differences in interest rates across countries account for much of the profitability of currency carry trade strategies. The high-interest rate “investment” currencies tend to be “commodity currencies,” while low interest rate “funding” currencies tend to belong to countries that export finished goods and import most of their commodities. We develop a general equilibrium model of com...

This paper explores the role of trade invoicing currencies in international spillover monetary policy. Using high-frequency measures Federal Reserve policy shocks, I show exchange rates, interest rates and equity returns countries with larger shares dollar-invoiced imports systematically respond more to US document similar transmission effects from ECB shocks euro-invoiced imports. rationalize ...

In this paper we evaluate the feasibility of a common Asian Currency Unit (ACU) involving countries of East and South Asia. We analyze the various properties of an ACU and calculate it’s value using weighted averages of the values of Asian currencies. Looking at the movement of individual Asian currencies vis-á-vis the ACU, we find that there have been severe misalignments among the Asian curre...

The article presents an analysis of the impact foreign currency dynamics on fundamentals (basic indices economic performance) Czech Republic, Hungary and Poland during financial crisis 2007/2008 its aftermath until 2017. subject are three currencies: US dollar, euro Swiss franc. assessment their above-mentioned economies is based joint volatilities bond spreads currencies. A series copula-GARCH...