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1.
We study the impact of Japanese foreign exchange intervention on the volatility of the yen/dollar exchange rate since the
early 1990’s in a GARCH framework with interventions as exogenous variables. Using daily intervention data provided by the
Japanese Ministry of Finance, we show that the effect of interventions varies over time. From 1991 up to the late 1990’s,
Japanese foreign exchange intervention is associated with an increase in volatility of the yen/dollar exchange rate. After
the year 1997, Japanese foreign exchange intervention correlates with reductions in exchange rate volatility. This can be
explained by the fact that Japanese foreign exchange intervention remained quasi unsterilized in the liquidity trap.
相似文献
Gunther SchnablEmail: |
2.
This paper provides some of the first empirical evidence on labour market adjustments to exchange rate movements in Canadian
manufacturing industries. Controlling for endogeneity using generalized method of moments estimation, it is found that during
the 1981–1997 period, exchange movements have a substantial impact on labour input and that this impact has grown over time
as the manufacturing industries have become more exposed to trade. In contrast, the exchange rate effect on real wages is
estimated to be virtually zero for all manufacturing industries.
相似文献
Terence YuenEmail: |
3.
Floating exchange rates are said to introduce volatility into the foreign exchange market that could deter trade flows. Previous
research employed aggregate import and export trade data and provided mixed results. In this paper we disaggregate the trade
data between the U.S. and the emerging economy of India and use the bounds testing approach to cointegration and error-correction
modeling to show that in 40 industries that trade between the two countries, exchange rate volatility has negative and positive
effects in 40% of industries, in the short run. These short-run effects, however, do not last into the long run in many cases.
相似文献
Mohsen Bahmani-OskooeeEmail: |
4.
A present-value model of less developed countries’ (LDC) debt is developed to understand the factors that affect the discount
on the secondary market. LDC debt trades at a substantial discount on the secondary market. This paper investigates the determinants
of the discount for a sample of 13 countries over a 9 year period. The findings show that debt–exports, foreign currency reserves–imports
and total debt service to exports ratios are significant determinants of the secondary market prices of LDC debt. The discount
is higher in countries where debt–exports ratios are higher and is lower for those with lower foreign currency reserves–imports
ratios. Concentration of debt with money center banks has a positive and significant effect on the secondary market price
of debt.
相似文献
Ayla OgusEmail: |
5.
This paper studies to what extent the diversity of exchange rate regimes within Mercosur exerts an influence on the feasibility
of a monetary union in this area. A semi-structural vector autoregression model is built for each country, including a set
of international and domestic variables. Based on impulse response functions and forecast error decomposition, we conclude
that differences in exchange rate regimes explain significantly the divergences of economic dynamics triggered by foreign
or domestic shocks. Second, we decompose the structural innovations generated by each country model into unobservable common
and idiosyncratic components, using a state-space model. This last exercise, intended to assess the degree of policy coordination
between the Mercado Común del Sur members, did not disclose any common component for the structural innovations generated
by the three national models.
相似文献
Alain Sand-Zantman (Corresponding author)Email: |
6.
Theoretical durable-goods models suggest that a monopolist will prefer to lease rather than sell units of output due to the
seller’s commitment problem with potential buyers. However, many monopolistic durable-goods manufactures are commonly observed
simultaneously leasing and selling output. We provide a theoretical rationale for this observed behavior in firms engaged
in trade with a foreign country. In a simple two-period setting we show that a foreign durable-goods monopolist will concurrently
lease and sell output if the expected future exchange rate is lower than the current rate. With this concurrent strategy the
firm earns higher profit than a pure rental or sales regime. Additionally, our model provides additional theoretical underpinnings
for the empirical finding that increases in expected future exchange rates increase the current sales price of durable products.
Finally, our analysis examines the role of product durability in determining exchange rate pass-though to domestic prices.
相似文献
Michael K. Pippenger (Corresponding author)Email: |
7.
Foreign Transfers and Real Exchange Rate Adjustments in a Financially Constrained Dependent Economy 总被引:2,自引:2,他引:0
This paper investigates the role of the real exchange rate in determining the effects of foreign transfers. If capital is
perfectly mobile between sectors, a pure transfer has no long-run impact on the real exchange rate. A decline in the traded
sector occurs because the transfer, being denominated in traded output, substitutes for exports in financing imports. While
a pure transfer causes short-run real exchange appreciation, this response is temporary and negligibly small. Transfers allocated
to productivity enhancement do generate permanent real exchange rate adjustments in response to the sectoral reallocation
of productive factors. The analysis, which employs extensive numerical simulations, emphasizes the tradeoffs between real
exchange adjustments, long-run capital accumulation, and economic welfare, associated with alternative forms of transfers.
相似文献
Stephen J. TurnovskyEmail: |
8.
Balazs Egert 《Open Economies Review》2008,19(2):147-165
In this paper we explore the evidence that would establish that Dutch disease is at work in, or poses a threat to, the Kazakh
economy. Assessing the mechanism by which fluctuations in the price of oil can damage non-oil manufacturing—and thus long-term
growth prospects in an economy that relies heavily on oil production—we find that non-oil manufacturing has so far been spared
the perverse effects of oil price increases from 1996 to 2005. The real exchange rate in the open sector has appreciated over
the last couple of years, largely due to the appreciation of the nominal exchange rate. We analyze to what extent this appreciation
is linked to movements in oil prices and oil revenues. Econometric evidence from the monetary model of the exchange rate and
a variety of real exchange rate models show that the rise in the price of oil and in oil revenues might be linked to an appreciation
of the U.S. dollar exchange rate of the oil and non-oil sectors. But appreciation is mainly limited to the real effective
exchange rate for oil sector and is statistically insignificant for non-oil manufacturing.
相似文献
Balazs EgertEmail: Email: |
9.
Kenneth Rogoff 《Review of World Economics》2009,145(1):1-12
Forecasting nominal exchange rates remains a remarkably difficult task, despite the proliferation of new floating currencies,
the maturation of the floating rate period, the deepening of financial markets, and the development of more sophisticated
econometric tests that make use of today’s more powerful computing possibilities. Despite these advances, the basic results
of Meese and Rogoff in the 1980s stand up remarkably well—it is still extremely difficult to forecast exchange rates. To the
extent that there is any forecasting power, the most promising models are those based on purchasing power parity or the current
account, although it must be noted that these mainly predict the real exchange rate, rather than the nominal exchange rate.
Thus, some of the adjustment takes place in prices. Finally, it should be noted that panel methods help in exchange rate forecasting,
albeit mainly by allowing better estimation of nonstructural factors such as shift parameters.
相似文献
Kenneth RogoffEmail: |
10.
Kazuhiro Ohnishi 《International Economics and Economic Policy》2008,4(4):421-432
This paper examines an international mixed model in which a social-welfare-maximizing domestic public firm competes against
a profit-maximizing foreign private firm. First, the public firm can adopt either a lifetime employment contract or a wage-rise
contract as strategic commitments. Second, the foreign private firm decides whether or not to enter the market. Third, if
the foreign private firm enters, each firm independently chooses its actual output, while if the foreign private firm does
not enter, the public firm acts as a monopolist. The paper shows the equilibrium of the international mixed model.
相似文献
Kazuhiro OhnishiEmail: |
11.
Michael Bleaney 《Open Economies Review》2008,19(2):135-146
The puzzle that real exchange rates are less volatile in open economies is an important challenge to exchange rate theory.
Adjustment of domestic prices to nominal exchange rate movements can account for only a small proportion of this effect. Real
and nominal shocks display no obvious correlation with openness. It is shown here that real effective exchange rates are more
strongly mean-reverting in more open economies, even after controlling for exchange rate regime effects. This is predicted
by the theory of current account sustainability, because of its emphasis on ratios to GDP rather than to trade flows.
相似文献
Michael BleaneyEmail: |
12.
Building on the celebrated Keynes–Ohlin debate and on Lane and Milesi-Ferretti (Rev Econ Stat 86:841–857, 2004), the paper
investigates the transfer problem for the Euro area vis-à-vis the rest of the world. The analysis is developed in a theoretically
and statistically consistent way and is intended as a contribution to the empirical literature on EMU. The main result of
the paper is that the accumulation of net foreign asset in the Euro area is consistent with real exchange appreciation, largely
through the relative price of nontradables rather than through the terms of trade.
相似文献
Paolo Paesani (Corresponding author)Email: |
13.
In a recent article Robert P. Murphy (2006) uses Cantor’s diagonal argument to prove that market socialism could not function,
since it would be impossible for the Central Planning Board to complete a list containing all conceivable goods (or prices
for them). In the present paper we argue that Murphy is not only wrong in claiming that the number of goods included in the
list should be uncountable, but also that the number of equations/prices is irrelevant from the point of view of market socialism.
相似文献
Juliusz JabłeckiEmail: |
14.
In this paper, we re-examine the “PPP Puzzle” using sectoral disaggregated data. Specifically, we first analyse the mean reversion
speeds of real exchange rates for a number of different sectors in 11 industrial economies and then focus on relating these
rates to variables identified in the literature as key determinants of CPI-based real exchange rates, namely: the trade balance, productivity and the mark up. In particular, we seek to understand to what extent the relationships existing at the aggregate level are borne out at the
disaggregate level. We believe that this analysis can help shed light on the PPP puzzle.
相似文献
Ronald MacDonaldEmail: |
15.
This paper considers whether an intra regional currency basket and the associated divergence indicators could play a useful
role in official exchange rate surveillance. Recently, proponents of an Asian currency basket have referred to the role the
European Currency Unit played in constructing exchange rate divergence indicators as evidence of the usefulness of intra regional
currency baskets for exchange rate monitoring. The paper shows that such indicators have a number of features that can lead
to them obscuring underlying changes in exchange rates and that the signals they emit will often be difficult to interpret.
In addition, the use of regional currency baskets for surveillance can lead to potentially serious N − 1 problems in circumstances when there is not agreement about which regional currencies will be the anchor currencies.
相似文献
Hwee Kwan Chow (Corresponding author)Email: |
16.
In a fixed exchange rate regime, an exchange rate change can be a swift way to change the real exchange rate in the short
run. Fiscal policy also affects relative prices, and fiscal policy response to various types of shocks can therefore be crucial
for the credibility of an exchange rate peg. We develop a model within which fiscal policy plays a crucial role for ensuring
the viability and thus credibility of an exchange rate peg. We use the insights of this model to take a closer look at Denmark,
which has successfully pursued a fixed exchange rate policy since 1982.
相似文献
Torben M. AndersenEmail: |
17.
We explore the interactions between exchange rate and fiscal policy, and default on external debt. Exchange rate policy affects
the supply of short-term debt facing the government. Under a conventional soft peg, it can be optimal for the government to
set the exchange rate at a level in which partial default occurs. In this case multiple equilibria exist, with one featuring
high interest rate, overvalued exchange rate, low level of output, and default. Default is also an equilibrium under a hard
peg, precisely because devaluation is not an option. Under a hard peg, however, there is a unique equilibrium.
相似文献
Peter MontielEmail: |
18.
Yifan Hu 《International Economics and Economic Policy》2006,3(1):27-42
A growing number of countries have anchored their monetary policy to an explicit numerical rate or range of inflation since
such an inflation targeting framework was first adopted by New Zealand in 1989. This paper empirically investigates economic
structure and institutional factors associated with a country’s choice of inflation targeting using a dataset of 66 countries
for the period of 1980–2000. It is found that a sound fiscal position is significantly and positively associated with the
choice of inflation targeting framework; the central bank is more likely to adopt inflation targeting with greater financial
depth; institutional capacity including central bank autonomy and flexible exchange rate regime is important for the choice
of inflation targeting.
相似文献
Yifan HuEmail: |
19.
This paper empirically investigates the demand for international reserves (and foreign exchange reserves) during fixed and
floating exchange rates periods in three developing countries: Kenya, Mexico and Philippines. Based on theoretical models,
three factors are identified as important for the demand of international reserves and foreign reserves: average propensity
to import, volume of imports and variability of reserves. The paper employs the cointegration methodology and error correction
method to investigate the relationships. Cointegration tests results indicate a reliable long-run stationary relationship
between the international reserves (and foreign exchange reserves) and the stated explanatory variables across countries and
sub-periods of fixed and clean float. The error correction results indicate causality from the explanatory variables to the
reserves during both the short and long run. This is true during both the fixed and the floating periods.
相似文献
Mohammad Hasan (Corresponding author)Email: |
20.
Philip R. Lane 《International Economics and Economic Policy》2007,4(3):263-279
Introduction This paper addresses the dynamics of the Swedish external position, with a particular focus on its inter-relation with the
external value of the krona.
Materials and methods We argue that financial globalisation means that a broader conceptual framework is required, whereby exchange rate fluctuations
operate through the ‘valuation channel’ of external adjustment, in addition to the traditional trade balance channel. In the
other direction, we highlight that the projected trend for the trade balance is an important influence on the long-term prospects
for the krona.
Conclusion Finally, we seek to assess the future direction for the Swedish net foreign asset position by investigating the likely impact
of demographic change and shifts in the Swedish position in the world income distribution.
相似文献
Philip R. LaneEmail: |