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1.
Klaus Schmidt-Hebbel 《International Economics and Economic Policy》2006,3(3-4):249-258
I discuss Sebastian Edwards’ most recent paper with great pleasure. As so much of the work of this distinguished economist, this paper provides new insights on a burning issue in international economics. Here Edwards provides empirical evidence on the resilience to external shocks of countries that lack a national currency (“monetary-union” or MU countries). The paper starts by reviewing the issues and literature relevant on exchange-rate regimes, dollarization, and MU in Latin America, with an emphasis on the question if countries in the region satisfy key optimal currency area criteria. Then the paper provides extensive new evidence on economic performance in MU countries, in comparison to countries with a national currency, using a large world panel sample. Performance tests are conducted for the comparative likelihood of MU countries of sudden stops in capital flows (SS) and large current (deficit) reversals (CAR), as well as their ability to absorb terms-of-trade shocks, SS, and CAR. The results are generally negative and significant for the comparative performance of MU countries. To set the stage, I start my comments by documenting first how country selection of exchange-rate and monetary regimes is quickly evolving in the world during the last decades, discussing subsequently how economists’ views follow suit (Section 1). Then I discuss some aspects of Edwards’ paper, focusing in particular on the data and model specification (Section 2). I end with brief implications for exchange-rate and monetary regime choice in Latin America. 相似文献
2.
This paper empirically analyzes the impact of exchange-rate uncertainty, exchange-rate movements, and expectations on foreign
direct investment (FDI). Using data on US outward FDI for the period 1984–2004 we examine two competing measures of exchange-rate
volatility. While the standard measure yields a discouraging effect on FDI outflows in all industries the alternative risk
specification reveals a clear distinction between manufacturing and non-manufacturing industries, with the latter showing
a positive correlation with increased exchange risk. A real appreciation of host-country currency was associated with higher
FDI flows, while expectations about an appreciation showed a negative result. 相似文献
3.
Sergio L. Schmukler 《International Economics and Economic Policy》2006,3(3-4):409-414
This note evaluates the prospects for a world currency, using as a departure point the papers by Bordo and James (2006) and Cooper (2006). The note argues that a world currency is unlikely in the foreseeable future and probably undesirable. Although more evidence
is needed, there seem to be no strong forces towards the creation of new monetary unions among the countries with major currencies
or between those countries and the periphery. Based on recent experience, the note also argues that one of the main benefits
to establish a world currency, the elimination of exchange rate uncertainty, is likely less important than commonly believed.
No matter how rigid a currency arrangement is, initiatives to dissolve it tend to appear as bad times arise. Still, the present
equilibrium of no world currency leaves unresolved many difficult issues related to the functioning of the domestic and international
monetary systems.
Sergio L. Schmukler has prepared this note as a comment to the papers “Proposal for an OECD Currency” by Richard N. Cooper
and “One World Money, Then and Now” by Michael Bordo and Harold James, presented at the conference “Regional and International
Currency Arrangements,” February 24 and 25, 2006, Vienna, Austria, organized by the Bank of Greece and the Oesterreichische
Nationalbank (Central Bank of Austria). I thank conference participants for useful comments. I am also grateful to Jose Azar
and Francisco Ceballos for excellent research assistance. The views expressed in this paper are entirely those of the author
and do not necessarily represent the opinion of the World Bank. 相似文献
4.
This paper analyses the consequences of “original sin” (the fact that the currency of an emerging market economy usually cannot
be used to borrow abroad) for macroeconomic stability. The approach is based on third-generation models of currency crises,
but differs from alternative versions by explicitly modeling the price setting behavior of firms if prices are sticky and
there is incomplete information about the future exchange rate. It is shown that a small depreciation is beneficial, but a
large one is detrimental. 相似文献
5.
This paper evaluates the changes in the exchange-rate policies of East Asian economies in the aftermath of the currency crisis and the process in which the exchange-market stability was re-established. The empirical analysis evaluates the changing roles of the yen and the US dollar in the currency baskets, the shifts in the volatility of the underlying macroeconomic fundamentals and their implications on exchange-rate management, the exchange-market perception of credibility and risk of the postcrisis exchange-rate regimes, and the process of reversion to fundamental values after the massive currency depreciation.The analysis shows that after the abandonment of the quasi-dollar peg, the yen had gained a greater weight in the currency baskets and the greater flexibility in which the exchange rates are being managed serve to accommodate the greater volatility in the macroeconomic fundamentals. The improvement in the macroeconomic conditions and the greater credibility that has been acquired by the regional monetary authorities had allowed the exchange market to stabilize and enabled the exchange rates to revert back to their fundamental values. 相似文献
6.
7.
Conclusions Our empirical investigation of forward and spot rates in the European Monetary System in comparison to flexible exchange-rate
regimes provides the following results.
Unit root tests reveal that forward rates and spot rates are best described by random walks for all six exchange rates under
consideration. This indicates that even in the EMS, exchange rates behave in an unpredictable way and exchange-rate variability
is relatively high. Applying cointegration theory to the forward rate and the future spot rate, we find that these two time
series are cointegrated in the EMS and in flexible exchange-rate systems. There exists a stable linear relationship between
the forward rate and the future spot rate which implies that a necessary condition for forward market efficiency is fulfilled.
We find the forward rate to be a poor predictor of the future exchange rate. It predicts the sign of the future exchange-rate
change correctly except for the guilder, but explains only a small fraction of the change. Concerning forward market efficiency,
the single hypothesis, H0: β1 = 1, for EMS and non-EMS exchange rates was found to be rather robust. The joint hypothesis for forward market efficiency,
H0: α1 =0, β1 = 1, could be rejected for the EMS exchange rates but not for the flexible exchange rates. Thus, a sufficient condition for
forward market efficiency is violated in the case of the EMS while it holds for the flexible exchange rates.
Zusammenfassung Terminkurse und Kassakurse im Europ?ischen W?hrungssystem. Zur Effizienz der Terminm?rkte. — Die Verfasser untersuchen für die Periode 1979–89 das Verhalten der Termin- und Kassakurse im EWS im Vergleich zum System flexibler Wechselkurse. Die „random-walk“-Hypothese für Termin- und Kassakurse kann weder für floatende noch für EWS-Wechselkurse verworfen werden. Kointegrationstests ergeben eine stabile Beziehung zwischen Termin- und Kassakursen, was eine notwendige Bedingung für die Effizienz der Terminm?rkte ist. Eine hinreichende Bedingung für effiziente Terminm?rkte, die sich aus einem von Fama vorgeschlagenen Verfahren ergibt, ist zwar für flexible Wechselkurse erfüllt, nicht aber für das EWS.
Résumé Les cours du change à terme et les cours au comptant dans le système monétaire européen (SME): L’efficience du marché à terme. — Cette étude analyse pour la période 1979—89 le comportement des cours du change à terme et des cours au comptant dans le SME en comparaison des cours du change flexibles. L’hypothèse de ?random-walk? pour les cours du change à terme et les cours au comptant ne peut pas être réjetée, ni pour les cours flottants ni pour les cours dans le SME. Les tests de cointégration rélèvent une relation stable entre les cours du change à terme et ceux au comptant ce qui est une condition nécessaire pour l’efficience du marché à terme. Une condition suffisante, donnée par une procédure proposée par Fama, est satisfaite pour les cours du change flexibles, mais pas pour le SME.
Resumen Tasas a término y spot en el sistema monetario europeo. La eficiencia del mercado a término. — En este trabajo se investiga el comportamiento de las tasas a término y spot en el sistema monetario europeo (EMS) en comparación con los regimenes de cambios flexibles de 1979 a 1989. La hipótesis del “random walk” para tasas a término y spot no puede ser rechazada, ni para tasas de cambio flexibles ni para tasas de cambio del EMS. Tests de cointegración revelan una relación estable entre las tasas a término y spot, la cual es una condición necesaria para la eficiencia del mercado a término. Una condición suficiente para la eficiencia del mercado a término, dada por el procedimiento sugerido por Fama, es satisfecha para las tasas de cambio flexibles, mas no para las del EMS.相似文献
8.
The recent rash of international currency crises has generated considerable interest in the role that exchange rate regimes
have played in contributing to these crises. Many economists have argued that efforts to operate adjustably pegged exchange
rate regimes have been a major contributor to “the unstable middle” hypothesis and some have argued that this unstable middle
is so broad that only the two corners of hard fixes or floating rates will be stable in a world of high capital mobility—the
two corners or bipolar hypothesis. Two recent empirical studies by researchers at the International Monetary Fund reach opposing
conclusions on these issues. We examine the issue further and show that conclusions can be quite sensitive to how exchange
rate regimes are grouped into categories and the measures of currency crises that are used. In general we find that the dead
center of the adjustable peg is by far the most crisis prone broad type of exchange rate regimes, but that countries need
not go all the way to freely floating rates or hard fixes to substantially reduce the risks of currency crises.
相似文献
Thomas D. WillettEmail: |
9.
Manfred Wiebelt Rainer Schweickert Clemens Breisinger Marcus Böhme 《Review of World Economics》2011,147(4):745-770
This paper investigates the effects of oil-financed public investment on economic growth and poverty reduction using a dynamic
multi-sectoral general equilibrium model featuring inter-temporal productivity spillovers. The paper shows that the relationship
between resource-rent flows and real exchange rates, output growth, and poverty is less straightforward than simple models
of the “resource curse” suggest. Taking Ghana as a stylized agriculture-based economy with poverty most pronounced in a region
with home based agricultural production, a policy mix of smoothing the real exchange rate shock and an allocation of infrastructure
spending in rural areas seems to be the most promising public investment strategy to enhance growth and reduce poverty. 相似文献
10.
The three exchange rate regimes adopted by Italy from 1883 up to the eve of World War I — the gold standard (1883–1893), floating
rates (1894–1902), and “gold shadowing” (1903–1911)—produced a puzzling result: formal adherence to the gold standard ended
in failure while shadowing the gold standard proved very successful. This paper discusses the main policies underlying Italy’s
performance particularly focusing on the strategy of reserve accumulation. It presents a cointegration analysis identifying
a distinct co-movement between exchange rate, reserves, and banknotes that holds over the three sub-periods of the sample.
Given this long-run relationship, the different performance in each regime is explained by the diversity of policy measures,
reflected in the different variables adjusting the system in the various regimes. Italy’s variegated experience during the
gold standard provides a valuable lesson about current developments in the international scenario, showing the central role
of fundamentals and consistent policies. 相似文献
11.
Conclusion In this paper I have tried to show that OCA theory fails to advance the case for independent fiat currencies. It does so both
because of its empirical irrelevance, and because of its internal inconsistencies. Therefore, from the perspective of international
monetary economics, there is no theoretical justification for the present monetary organization. Rather other factors, more
related to political interests than to sound economics, should be held responsible for it. It is perhaps interesting to consider
the mainstream economists’ systematic reaction when they discover there is no scientific justification for a fluctuating fiat
currency system. They simply throw away the whole analysis and return to “common sense” propositions. Some of them even go
so far as to recognize the merits of a world currency, eventually pegged to gold, but then dishonestly dismiss the case on
the basis of “beliefs,” or popular wisdom.
All remaining errors are my own. 相似文献
12.
This paper presents a model to explain the official discount rate of the Central Bank of Austria–Hungary from 1876 to 1913.
The discount rate is assumed to depend on the liquidity ratio of the Bank, defined as the ratio of its stock of metals to
banknotes issued, and on changes in foreign discount rates. The paper also presents an equation explaining the liquidity ratio.
We use “not equally spaced chronologically ordered data” referring to the 50 discount rate changes enacted. The regressions
confirm that the liquidity ratio was the main determinant of the discount rate and that Germany (and not Great Britain) played
a significant role in determining the Austro–Hungarian discount rate and the liquidity ratios, supporting the view that the
classical gold standard was a decentralized multipolar system rather than a system fully dominated by London as suggested
by Keynes. The regressions also suggest that, although Austria–Hungary had an inconvertible paper currency (1879–1892) and
fluctuating exchange rates (1876–1895) and formally joined the gold standard only in 1902, it “shadowed” the behaviour of
gold standard Central Banks with such consistency that the stability of the estimated regressions was relatively unaffected
by the frequent institutional changes.
相似文献
Jürgen WoltersEmail: |
13.
Tijmen R. Daniëls 《De Economist》2009,157(4):417-439
A main challenge of understanding currency crises is explaining their puzzling timing. Most “second generation” currency crisis
models are static models with multiple equilibria, and exogenous shifts between equilibria are interpreted as shifts of sentiments
on financial markets leading to crises. This article develops a dynamic, continuous time model with a payoff structure similar
to second generation models. We derive endogenous conditions under which shifts in sentiment occur over time, characterise
them in terms the strategic risk associated with speculation, and provide comparative statics. Moreover, we show that the
findings correspond almost exactly to the implications of global game currency crisis models, which are often used for equilibrium
selection in the static context. 相似文献
14.
We argue that a higher share of the private sector in a country’s external debt raises the incentive to stabilize the exchange
rate. We present a simple model in which exchange rate volatility does not affect agents’ welfare if all the debt is incurred
by the government. Once we introduce private banks who borrow in foreign currency and lend to domestic firms, the monetary
authority has an incentive to dampen the distributional consequences of exchange rate fluctuations. Our empirical results
support the hypothesis that not only the level, but also the composition of foreign debt matters for exchange-rate policy. 相似文献
15.
Riccardo Fiorentini 《Review of World Economics》1991,127(2):343-355
Conclusions In the paper, the EAPPP theory was discussed and three different tests with increasingly statistic power were proposed and
implemented. The results are mixed, since the theory passed the randomness and orthogonality tests, but not the direct regression
test. The impression is that EAPPP seems to hold in a weak sense, since the evidence confirms random movements of real exchange
rates and an efficient use of information by agents but not the constraints on (14) postulated by EAPPP. In general, the results
of the present study are in accordance with those of Cumby and Obstfeld [1984], Mishkin [1984], MacDonald [1985] and Gaab
et al. [1986] who found only weak support to the EAPPP theory. Furthermore, in the case of the dollar-lira exchange rate,
our findings are different from those of Tronzano [1987] according to which “although PPP holds very badly in its traditional
(absolute or relative formulation), ex ante PPP (both in “weak” and in “strong” version) [is] highly supported by data”. In
fact, in our case both the second orthogonality test and the regression test are unfavourable to the EAPPP. 相似文献
16.
We compare the relationship between net capital inflows, real exchange rate movements and growth for twenty emerging markets
and twelve developed countries over the period 1985–2004. In developed countries low real exchange rates are associated with
faster growth, but in emerging markets depreciations depress growth, even outside crisis periods, and are closely correlated
with declines or reversals in net capital inflows. To investigate valuation effects of currency movements, we construct debt-weighted
real exchange rate indices for emerging markets, which are more closely correlated with growth than trade-weighted indices. 相似文献
17.
Charles P. Henry 《The Review of Black Political Economy》1979,9(2):174-190
Conclusion The general overview of foundation giving to promote black interests and the specific look at the Ford-MARC relationship support
the notion that few foundation grants will go to “controversial” or “political” projects. The Peterson Commission estimated
that only three percent of all private foundation grants are “innovative” and an even smaller percentage are “politically
controversial.” Most often, these projects usually become controversial after the grant is made. A 1971 Urban League study
revealed that grants for human services made by private foundations to black and Spanish-speaking communities were disproportionately
low when measured in terms of the per capita needs of the minority population. Nevertheless, it is unrealistic to expect Ford,
Rockefeller Brothers, Mott, or Carnegie to redistribute income or become the “cutting edge of social change”. 相似文献
18.
Menzie D. Chinn 《Open Economies Review》2006,17(1):115-143
Several alternative measures of “effective” exchange rates are discussed in the context of their theoretical underpinnings
and construction. Focusing on contemporary indices and recently-developed econometric methods, the empirical characteristics
of these differing series are examined for the U.S., the euro area, and several East Asian countries. The issues that confront
the applied economist or policymaker in using the measures of real effective exchange rates available are illustrated in several
case studies from current interest: (i) evaluating exchange rate misalignment; (ii) testing the Balassa-Samuelson effect;
(iii) estimating the price responsiveness of trade flows; and (iv) assessing the potential impact of competitive devaluations.
JEL Classification Numbers: F31, F41 相似文献
19.
Exploring the Intensive and Extensive Margins of World Trade 总被引:1,自引:0,他引:1
World trade evolves at two margins. Where a bilateral trading relationship already exists it may increase through time (intensive
margin). But trade may also increase if a trading bilateral relationship is newly established between countries that have
not traded with each other in the past (extensive margin). We provide an empirical dissection of post–World War II growth
in manufacturing world trade along these two margins. We propose a “corner-solutions version” of the gravity model to explain
movements on both margins. A Tobit estimation of this model resolves the so-called “distance puzzle”. It also finds more convincing
evidence than recent literature that WTO-membership enhances trade.
JEL no. F12, F15 相似文献
20.
We investigate the stationarity of real exchange rates using a panel of Asian and South and Latin American countries by applying a new panel unit root test that is robust to structural breaks due to currency crises. It turns out that the long-run PPP relationship is relevant for the Asian countries, which experienced a flexible exchange rate, whereas for the South and Latin American countries, for which the exchange rate has been pegged to the U.S. dollar for a long time, the PPP relationship breaks down. In Asian countries PPP appears to hold before the 1997 crisis, which is not the case for the South and Latin American countries. This suggests that the Asian flu corresponds to a second-generation type of crises, whereas the 1995 Mexican tequila fits the first-generation models better. JEL no. C13, C33, E41 相似文献