The share of USD-denominated foreign exchange reserves dipped to 59.2%, according to the IMF’s COFER data released on December 31 for Q3 2023. For the past 20 years, the USD’s share has been on a slow downward trend, with other currencies nibbling at it from...
Second, the financial crisis dummies (尉1) are all negative in particular with significance at the 5% level for 7 year, 10 year, and 30 year maturities. This result indicates that arbitrage transactions between treasuries and swaps have not taken place on a sufficient scale during the financial...
a well-defined framework that adequately fits the volatility process and considerably outperforms the traditional econometric approaches for modeling returns [GARCH(1, 1) specifications] and realized volatility (long memory specifications: Autoregressive Fractionally Integrated Moving Average-ARFIMA(1,d, 1)...
To capture US monetary policy stance, we use the SSR of De Rezende and Ristiniemi (2023) which is an encompassing measure of the policy announcement dummies; bond yields; US Treasuries, debt and mortgage-backed securities purchases; and other US Federal balance sheet measures of UMP used in ...