Continuous time regime switching model applied to foreign
... CREA, Université du Luxembourg. Mail: [email protected] ...
... CREA, Université du Luxembourg. Mail: [email protected] ...
Initiative for Policy Dialogue Working Paper Series Resilience
... The May 2013 Fed announcement that it would start reducing asset purchases placed the issue of vulnerability of emerging economies to capital account volatility back in the agenda. The predictable reversal of the capital flows that was then unleashed is, of course, the counterpart of the opposite ph ...
... The May 2013 Fed announcement that it would start reducing asset purchases placed the issue of vulnerability of emerging economies to capital account volatility back in the agenda. The predictable reversal of the capital flows that was then unleashed is, of course, the counterpart of the opposite ph ...
This PDF is a selection from a published volume from... National Bureau of Economic Research
... it reflects the last year of “the previous regime” of highly restricted capital flows.1 The year 2003–4 is the most recent year observed. GDP: Over this eleven-year period, GDP measured in current dollars grew by an average of 9.4 percent per annum. Current account: India undertook major initiatives ...
... it reflects the last year of “the previous regime” of highly restricted capital flows.1 The year 2003–4 is the most recent year observed. GDP: Over this eleven-year period, GDP measured in current dollars grew by an average of 9.4 percent per annum. Current account: India undertook major initiatives ...
... fixed exchange rate system forces this type of policy of action by sustaining pricestability; hence lowering the inflation rate. For instance, Argentina adopted a fixed regime to fight against its high inflation rate in the beginning of the 1990s. Three years after adopting of the regime, Argentina ...
NBER WORKING PAPER SERIES A LONG RUN VIEW Michael D. Bordo
... Can financial crises be avoided in these countries despite high proportions of foreign currency debt? Are there other vulnerabilities besides foreign currency debt? Our analysis based on the experience of over 1,700 country years spanning two periods of open international financial integration, 1880 ...
... Can financial crises be avoided in these countries despite high proportions of foreign currency debt? Are there other vulnerabilities besides foreign currency debt? Our analysis based on the experience of over 1,700 country years spanning two periods of open international financial integration, 1880 ...
Exchange rate movements and firm value: Evidence from
... 1. Introduction Foreign exchange risk is a major concern for both investors and corporate managers because exchange rate (ER) movements can directly or indirectly affect cash flows and the market value of firms, which is how we define the concept of ER exposure (see also Jorion, 1990). Nevertheless, ...
... 1. Introduction Foreign exchange risk is a major concern for both investors and corporate managers because exchange rate (ER) movements can directly or indirectly affect cash flows and the market value of firms, which is how we define the concept of ER exposure (see also Jorion, 1990). Nevertheless, ...
Multimarket Trading and Market Liquidity Author(s): Bhagwan
... fourth markets" in some stocks. Also, there often exist active markets in derivative securities, such as futures and options. An investor with private information about a stock could trade, for example, on one or more exchanges on which the stock is listed, while simultaneously trading in off-the-ex ...
... fourth markets" in some stocks. Also, there often exist active markets in derivative securities, such as futures and options. An investor with private information about a stock could trade, for example, on one or more exchanges on which the stock is listed, while simultaneously trading in off-the-ex ...
Mizuho Dealer`s Eye
... Japanese shipping company filed for bankruptcy. There is a possibility all this bad news could negatively impact the results of firms in other industries in October, with risk-evasive yen buying likely to increase as a result. The yen will be sold on the real-demand front as pension funds and so on ...
... Japanese shipping company filed for bankruptcy. There is a possibility all this bad news could negatively impact the results of firms in other industries in October, with risk-evasive yen buying likely to increase as a result. The yen will be sold on the real-demand front as pension funds and so on ...
The Round-the-Clock Market for US Treasury Securities
... between dealers, thereby facilitating information flows in the market while providing anonymity to the trading dealers. For the most part, interdealer brokers act only as agents. For their service, the brokers collect a fee from the trade initiator: typically $12.50 per $1 million on three-month bil ...
... between dealers, thereby facilitating information flows in the market while providing anonymity to the trading dealers. For the most part, interdealer brokers act only as agents. For their service, the brokers collect a fee from the trade initiator: typically $12.50 per $1 million on three-month bil ...
the dollar and the policy-performance-confidence mix
... This essay is an attempt to move the debate closer to resolution by reexamining the causes ofthe strong dollar within a broad conceptual framework. The framework is based on the premise that while changes in macroeconomic policies influence exchange rates, the relationship cannot be neatly pigeonhol ...
... This essay is an attempt to move the debate closer to resolution by reexamining the causes ofthe strong dollar within a broad conceptual framework. The framework is based on the premise that while changes in macroeconomic policies influence exchange rates, the relationship cannot be neatly pigeonhol ...
exchange rate volatility and exports in south africa
... dollars) among emerging market currencies (Galati (2000)). In April 2005 the South African Rand accounted for 0.4 percent of global foreign exchange transactions (with an average daily turnover of 10 bn dollars) and was at the same level than other larger emerging markets such as Mexico, according t ...
... dollars) among emerging market currencies (Galati (2000)). In April 2005 the South African Rand accounted for 0.4 percent of global foreign exchange transactions (with an average daily turnover of 10 bn dollars) and was at the same level than other larger emerging markets such as Mexico, according t ...
"#$%! DISCUSSION PAPER SERIES !!!"#$%&"'&()
... Cruz Center for International Economics, 10th Annual International Economics Conference, and especially our discussant Michael Devereux. All errors are ours. ...
... Cruz Center for International Economics, 10th Annual International Economics Conference, and especially our discussant Michael Devereux. All errors are ours. ...
The Nixon Shock after 40 Years
... United States should ‘take advantage of the present crisis to achieve (i) a lasting improvement in the balance-of-payments position of the United States, (ii) a more equitable sharing of the responsibilities for world security and economic progress, and (iii) a basic reform of the international mone ...
... United States should ‘take advantage of the present crisis to achieve (i) a lasting improvement in the balance-of-payments position of the United States, (ii) a more equitable sharing of the responsibilities for world security and economic progress, and (iii) a basic reform of the international mone ...
Is there a trade-off between exchange rate risk
... concerning the effects of the ERM on the levels of exchange rate risk and interest rate risk: the reduction in exchange rate variability observed when the degree of rigidity in the exchange rate commitment increases; the indetermination in the sign of the behaviour of exchange rate risk (i.e. variab ...
... concerning the effects of the ERM on the levels of exchange rate risk and interest rate risk: the reduction in exchange rate variability observed when the degree of rigidity in the exchange rate commitment increases; the indetermination in the sign of the behaviour of exchange rate risk (i.e. variab ...
A Look at the Implications of Regulatory Reforms for OTC
... from the hypothesized value. If the p-value associated with the t-test is not small (p > 0.05), then the null hypothesis is not rejected. An independent one-sample Levene's t-test (it is an inferential statistic used to assess the equality of variances for a variable calculated for two or more grou ...
... from the hypothesized value. If the p-value associated with the t-test is not small (p > 0.05), then the null hypothesis is not rejected. An independent one-sample Levene's t-test (it is an inferential statistic used to assess the equality of variances for a variable calculated for two or more grou ...
Real Exchange Rates and International Competitiveness
... The persistence of a high level of real exchange rate since 2000 has been a focal point of policy discussions. The exchange rate workshop hosted by the Treasury and the Reserve Bank in March 2013 discussed a wide range of issues including exchange rate regimes, drivers of the exchange rate and their ...
... The persistence of a high level of real exchange rate since 2000 has been a focal point of policy discussions. The exchange rate workshop hosted by the Treasury and the Reserve Bank in March 2013 discussed a wide range of issues including exchange rate regimes, drivers of the exchange rate and their ...
Monetary Policy and the Determination of the Interest Rate and
... which is relevant for a small economy with any degree of capital mobility. The model is tested by using the quarterly data of Korea and Singapore. The emperical results show that in the Korean case changes in money supply affect the interest rate, but do not affect the exchange rate, while in the ca ...
... which is relevant for a small economy with any degree of capital mobility. The model is tested by using the quarterly data of Korea and Singapore. The emperical results show that in the Korean case changes in money supply affect the interest rate, but do not affect the exchange rate, while in the ca ...
The Asian Crises Reexamined
... resulted in ill-conceived reforms such as the IMF’s ill-fated Contingent Credit Line. We focus on the events in Asia in 1997, but use the plural crises rather than the more common crisis for two reasons. One is to stress that there were both currency and financial crises and these acted to reinforce ...
... resulted in ill-conceived reforms such as the IMF’s ill-fated Contingent Credit Line. We focus on the events in Asia in 1997, but use the plural crises rather than the more common crisis for two reasons. One is to stress that there were both currency and financial crises and these acted to reinforce ...
Capital Inflows, Inflation and Exchange Rate Volatility
... ( ) trends. The capital inflows caused by either “push” or “pull” factors positively impact on monetary base of the host country, foreign reserves and appreciation of the currency value. For remaining indicators, the impact of capital inflows, however, depends upon the channel of flows. For instance ...
... ( ) trends. The capital inflows caused by either “push” or “pull” factors positively impact on monetary base of the host country, foreign reserves and appreciation of the currency value. For remaining indicators, the impact of capital inflows, however, depends upon the channel of flows. For instance ...
Pacific Basin Working Paper Series CAPITAL CONTROLS AND EXCHANGE RATE INSTABILITY
... output—surprisingly little systemic work has been undertaken regarding their impact on exchange rate stability in developing countries.1 Several papers have investigated the experiences of capital controls for a few selected countries (e.g. Edison and Reinhart, 2001a, 2001b; Edwards, 1999; Gregorio, ...
... output—surprisingly little systemic work has been undertaken regarding their impact on exchange rate stability in developing countries.1 Several papers have investigated the experiences of capital controls for a few selected countries (e.g. Edison and Reinhart, 2001a, 2001b; Edwards, 1999; Gregorio, ...
Mr. Samson Ampofo
... in interest rates. As a result, the depreciation episode was more protracted and contributed to a more significant increase in inflation. Nevertheless, exports grew at unprecedented rates and the overall economic growth rate reached a seven-year high. The financial system adjusted for the benefit of ...
... in interest rates. As a result, the depreciation episode was more protracted and contributed to a more significant increase in inflation. Nevertheless, exports grew at unprecedented rates and the overall economic growth rate reached a seven-year high. The financial system adjusted for the benefit of ...
DP2006/04 Other stabilisation objectives within an inflation targeting regime: Some stochastic
... output and interest rate variability. Policy reaction functions that attempt to promptly and aggressively stabilise inflation tend to demonstrate significantly higher output and interest rate variability than reaction functions that respond more gradually. This mirrors conclusions drawn by researche ...
... output and interest rate variability. Policy reaction functions that attempt to promptly and aggressively stabilise inflation tend to demonstrate significantly higher output and interest rate variability than reaction functions that respond more gradually. This mirrors conclusions drawn by researche ...
Invoice Currency: puzzling evidence and new questions from Brazil
... was the way to deal with that restriction. The changes in the economic environment and the resulting increased availability of foreign currencies overcame this restraint in an environment where restrictions on foreign exchange were also progressively removed. Alongside this policy change, another go ...
... was the way to deal with that restriction. The changes in the economic environment and the resulting increased availability of foreign currencies overcame this restraint in an environment where restrictions on foreign exchange were also progressively removed. Alongside this policy change, another go ...
Chapter 7
... Nominal Exchange Rates--Choosing a Definition: Nominal exchange rates (E): price of foreign currency in terms of domestic currency ...
... Nominal Exchange Rates--Choosing a Definition: Nominal exchange rates (E): price of foreign currency in terms of domestic currency ...
World Economic Outlook, October 2015, Chapter 3: Exchange Rates
... typically evolve following real exchange rate movements? In particular, to what extent do exchange rate changes pass through to the relative prices of exports and imports, and how strongly do trade flows respond following these trade price changes? How quickly do the adjustments occur? •• Is there e ...
... typically evolve following real exchange rate movements? In particular, to what extent do exchange rate changes pass through to the relative prices of exports and imports, and how strongly do trade flows respond following these trade price changes? How quickly do the adjustments occur? •• Is there e ...