Rasmus Fatum
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View article: The Effectiveness of Official Foreign Exchange Intervention in a Small Open Economy: The Case of the Canadian Dollar
The Effectiveness of Official Foreign Exchange Intervention in a Small Open Economy: The Case of the Canadian Dollar Open
The Bank of Canada is one of very few central banks that has made records of the intraday timing of its intervention operations available to researchers. The authors investigate the effectiveness of sterilized intervention in the Canadian …
View article: Reserves and Risk: Evidence from China
Reserves and Risk: Evidence from China Open
We consider if the Chinese accumulation of reserves is associated with unintended consequences in the form of increased private sector risk taking.Using sovereign credit default swap spreads and stock index prices as indicators of risk tak…
View article: Accumulation of Foreign Currency Reserves and Risk-taking
Accumulation of Foreign Currency Reserves and Risk-taking Open
We assess whether the accumulation of foreign currency reserves in the Asia-Pacific region may have unintended consequences in the form of increased private sector risk-taking. To do so we carry out a country-specific daily data event stud…
View article: Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields
Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields Open
We consider the influence of domestic and US macroeconomic news surprises on daily bond yields over the January 1999 to January 2018 period for four advanced Negative Interest Rate Policy (NIRP) economies -Germany, Japan, Sweden, and Switz…
View article: Does the Accumulation of Foreign Currency Reserves Affect Risk-Taking? An Event Study Approach
Does the Accumulation of Foreign Currency Reserves Affect Risk-Taking? An Event Study Approach Open
Fatum and Yetman (2017) assess whether foreign currency reserves accumulation in the Asia-Pacific region is systematically associated with risk-taking, using an event study approach to examine the responses of various proxies of risk-takin…
View article: The Exchange Rate Effects of Macro News after the Global Financial Crisis
The Exchange Rate Effects of Macro News after the Global Financial Crisis Open
We explore whether the exchange rate effects of macro news are time- and state-dependent by analyzing and comparing the relative influence of US and Japanese macro news on the JPY/USD rate before, during, and after the Global Financial Cri…
View article: The Exchange Rate Effects of Macro News after the Global Financial Crisis
The Exchange Rate Effects of Macro News after the Global Financial Crisis Open
We explore whether the exchange rate effects of macro news are time-and state-dependent by analyzing and comparing the relative influence of US and Japanese macro news on the JPY/USD rate before, during, and after the Global Financial Cris…
View article: Do Oil Endowment and Productivity Matter for Accumulation of International Reserves?
Do Oil Endowment and Productivity Matter for Accumulation of International Reserves? Open
We develop a dynamic stochastic optimization model with oil price shocks to show that countries with certain combinations of oil endowment and productivity have strong precautionary incentives to accumulate foreign reserves in response to …
View article: Is the Renminbi a Safe Haven?
Is the Renminbi a Safe Haven? Open
We investigate the relationship between market uncertainty and the relative value of the Renminbi against currencies that the safe haven literature typically considers as the traditional safe haven currency candidates.Our sample spans the …