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1.
This paper revisits the relationship between interest rates and exchange rates in a small open emerging economy using wavelet-based methodologies. Based on data for Romania, our results confirm the theoretical predictions on the interest rate - exchange rate relationship during turmoil or policy changes. In the short term, the relationship is negative, confirming the sticky-price models, and over the long term, the relationship is positive, confirming the Purchasing Power Parity theory. At the beginning of the turmoil, the exchange rate movements generally take the lead over the interest rates for the first month, but the monetary authorities take the lead afterwards. Our results reveal that in a small open emerging economy with a direct inflation targeting monetary policy regime, the relationship between exchange rates and interest rate is fundamentally different from that in an advanced economy. Also, our results stress the necessity that the central bank must pay simultaneous attention to both variables in order to achieve their monetary policy targets. 相似文献
2.
This paper examines the dynamic linkages among major exchange rates during the Global Financial Crisis and Eurozone Sovereign Debt Crisis. We extend the previous literature on volatility spillover linkages among the currencies by taking into account the uncovered interest-rate parity hypothesis for 2004–2015. The results indicate that the Canadian Dollar and Great British Pound were affected mainly by the US Dollar across the two crises due to strong financial and economic ties among the three economies, while the Japanese Yen shows evidence of a safe-haven currency. We also provide evidence of varying vulnerability of currencies to both crises, implying increased portfolio diversification benefits, since holding a portfolio with diverse currencies is less subject to systematic risk. These results show that the policy makers need to adopt a stricter form of monetary policy coordination among central banks, since the different vulnerability of currencies across turbulent periods reveals possible non-cooperative monetary policies. 相似文献
3.
Kanta Marwah 《Economic Modelling》1985,2(2):93-124
A balance-of-payments structural model of the foreign exchange market of Canada, endogenizing capital flows, the spot and forward exchange rates and the entities of the monetary sector, is developed using quarterly data for 1971–81. The capital flows have been disaggregated into ten categories and the exchange rates of the Canadian dollar have been analysed against five major currencies. While the model does not adhere strictly to purchasing power or interest rate parity, it does recognize them and it also incorporates other economic fundamentals, expectations and risk. Government interventions, although generated endogenously, are quantified implicitly and globally. The model tracks the post-Bretton Woods in-sample experience and generates ex post predictions reasonably well. 相似文献
4.
This article studies the sensitivity of the US stock market to nominal and real interest rates and inflation during the 2003–2013 period using quantile regression (QR). The empirical results show that the stock market has a significant sensitivity to changes in interest rates and inflation and finds differences across sectors and over time. Moreover, the effect of changes in both interest rates and inflation tends to be more pronounced during extreme market conditions, thus distinguishing expansion periods from recession periods. 相似文献
5.
In this paper we analyze the existence of nonlinear relationships between macroeconomic fundamentals and exchange rates for some major industrialized countries using an error correction model with time-varying parameters for the post Bretton Woods period. We find that inflation rate differentials with respect to the US inflation rate are the driving forces for the nonlinear relationships in the monetary model for exchange rates for the data from Germany, the UK, Canada, France and Italy. In addition to the variables in the traditional monetary model, also the relative interest rates are relevant in determining exchange rate changes only when the inflation differentials are either very large or very small. In contrast to previous studies we find significant long-run effects in the error correction representation of the monetary model for exchange rates when the nonlinear dynamics is taken into account in the analysis. 相似文献
6.
Kerry Liu 《Research in Economics》2019,73(1):66-71
Based on quarterly data between Q4, 2008–Q4, 2017, this study examines the interest rates pass-through from policy rate to lending rates, and more broadly, the determinants of lending rates in China. The results show that while there is a certain level of pass-through from money market rates to lending rates, and the interest rates pass-through has improved after the interest rate liberalization completion on October 2015, this pass-through is also negatively affected by the asset quality of commercial banks and shadow banking activities as well. This study also finds that the macroeconomic condition also affects the lending rates. 相似文献
7.
Catching up: The role of demand, supply and regulated price effects on the real exchange rates of four accession countries 总被引:1,自引:0,他引:1
The main aim of this paper is to examine the exchange rate behaviour of a group of four transitional, EU accession countries, with a view to making policy recommendations regarding their full accession to the European Monetary Union. We employ a dynamic OLS panel estimator to investigate the relative importance of demand and supply influences on the exchange rates of these countries. Our analysis shows that both supply‐ and demand‐side effects are important for the accession countries, although their overall effect on inflation differentials and competitiveness seems to be small. An additional focus of the paper is the examination of the role that administrated, or regulated, prices and the productivity of the distribution sector play in the real exchange rate dynamics. Using a unique database we show that administrative prices have been a powerful force behind price and real exchange developments for our group of accession countries. The distribution sector is shown to have an independent effect on the internal price ratio over and above that generated by the Balassa–Samuelson effect. 相似文献
8.
Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets 总被引:1,自引:0,他引:1
Ming-Shiun Pan Robert Chi-Wing Fok Y. Angela Liu 《International Review of Economics & Finance》2007,16(4):503-520
This study examines dynamic linkages between exchange rates and stock prices for seven East Asian countries, including Hong Kong, Japan, Korea, Malaysia, Singapore, Taiwan, and Thailand, for the period January 1988 to October 1998. Our empirical results show a significant causal relation from exchange rates to stock prices for Hong Kong, Japan, Malaysia, and Thailand before the 1997 Asian financial crisis. We also find a causal relation from the equity market to the foreign exchange market for Hong Kong, Korea, and Singapore. Further, while no country shows a significant causality from stock prices to exchange rates during the Asian crisis, a causal relation from exchange rates to stock prices is found for all countries except Malaysia. Our findings are robust with respect to various testing methods used, including Granger causality tests, a variance decomposition analysis, and an impulse response analysis. Our findings also indicate that the linkages vary across economies with respect to exchange rate regimes, the trade size, the degree of capital control, and the size of equity market. 相似文献
9.
We analysed interest rate forecasts from Australia, China, Hong Kong, India, Indonesia, Malaysia, New Zealand, Singapore, South Korea, Taiwan and Thailand. We assessed 532 forecast time series with a total of 85,264 individual interest rate forecasts. To do so, we carried out a comparison to naïve forecasts and investigated the forecast time series for topically orientated trend adjustments. In addition, we deployed the sign accuracy test and the unbiasedness test. The results are very sobering in part: 95.9% of all forecast time series are characterized by the phenomenon of topically orientated trend adjustments, and 99.4% of all forecast time series proved to be biased. Only a small proportion of the forecast time series (3.6%) reflected the future interest rate trend significantly more precisely than a naïve forecast. However, at the same time some of the results of the study are surprisingly positive. The sign accuracy test revealed that 48.3% of all forecast time series predict the interest rate trend significantly better than a random walk forecast. 相似文献
10.
We examine the accuracy of Blue Chip forecasts of short- and long-term interest rates and country risk premiums for the Eurozone and six other industrial countries for 1999–2008. In so doing, we utilize comparable random walk forecasts as benchmarks. Consistent with the efficient market hypothesis, the long-term interest rate forecasts fail to outperform the random walk. Our findings on the accuracy of short-term interest rate forecasts are, however, mixed. Further results reveal that Blue Chip is more (less) accurate in predicting country risk premiums associated with short-term (long-term) interest rates. Such evidence is reasonable since the short-term country risk premiums contain only the perceived default risk, while the long-term risk premiums, in addition, can contain the perceived inflation and exchange rate differentials. 相似文献
11.
We derive the equilibrium joint distribution of exchange rate and commodity price in a two-country rational expectations model. The correlation between commodity price and exchange rate appears crucial for the stability of commodity markets. This result arises from the common practice to quote commodity prices in consuming countries' currency, which subjects producing countries to the currency risk. Welfare results of commodity price stabilization are obtained and facilitate the interpretation of the position taken by industrialized countries long opposed to international commodity agreements. We apply our model to the Philippines and investigate the potential effects of the International Sugar Agreement (ISA) on the various conditional volatilities of the model. We conclude on the relative ineffectiveness of these agreements in limiting fluctuations of sugar prices. 相似文献
12.
The rapid growth of housing prices has attracted the attention of the whole of society in China. This article adopts the dynamic panel quantile regression to investigate the impact of income, economic openness and interest rates on housing prices in China, based on the panel data of 35 major cities from 2002 to 2012. Compared with previous studies, we can more precisely and reasonably discuss the impact of these variables on different levels of housing prices. The empirical results indicate that the impact of independent variables on housing prices is heterogeneous across quantiles. Specifically, the impact of income is positive and significant across quantiles, and the impact becomes greater at the 90th and 95th quantiles. Economic openness has a positive and significant effect at the 5th–80th quantiles, which support the Balassa–Samuelson effect, but it is insignificant at the 90th and 95th quantiles. The impact of interest rates is positive and significant at low quantiles, but the impact is negative and insignificant at high quantiles. Furthermore, we also find that the coefficients of interest rates at various quantiles are smaller. In addition, the population has a significant positive effect across quantiles. Finally, we provide important policy implications. 相似文献
13.
Carsten Krabbe Nielsen 《Economic Theory》2003,21(2-3):293-315
Using the concept of ex-post optimality, we compare different exchange rate regimes, including floating exchange rates and
fixed exchange rates with a Monetary Union in a two country OLG model with stochastic endowments. The emphasis of this comparison
is on the welfare consequences of agents having incorrect beliefs. We do not assume that agents can hold any beliefs, but
rather that their beliefs are rational that is consistent with the observed empirical behavior of the economy. We study a
large set of possible policies, but two of them have our particular interest. The first policy implies devaluations in reaction
to a negative shock, while the other implies a fixed exchange rate. These policies have very different consequences. The first
will for generic beliefs not result in an ex-post optimal allocation. The other policy is on the other hand always feasible
and results in an ex-post optimal allocation. When the two countries form a Monetary Union, the ex-post optimal allocation
is also achieved. The meaning of “endogenous uncertainty” as an institutionally induced uncertainty is illustrated.
Received: September 1, 2001; revised version: 24 June 2002
RID="*"
ID="*" I would like to thank Horace W. Brock, Gianluca Cassese, Paula Orlando, Ho-Mou Wu as well as seminar participants at
Copenhagen Business School, ESEM98, Keio University, Kyoto University, Osaka University, SITE (Stanford) and University of
Copenhagen for many useful comments on the paper. I am also grateful to Mark J. Garmaise, Takako Fujiwara-Greve, and an anonymous
referee for many helpful suggestions for improving the paper. Without the many discussions about Rational Beliefs and related
issues I have had with Mordecai Kurz over the years, the research presented here would not have been possible. Financial support
from The Carlsberg Foundation, Danish Social Research Council, University of Copenhagen and SITE is gratefully acknowledged. 相似文献
14.
Foreign exchange (forex) interventions by central banks have recently become too frequent in emerging markets. The effects of these interventions on exchange rate volatility are widely documented, but their implications for firm-level outcomes have rarely been examined. This study argues that forex interventions should influence the sensitivity of firms’ cash flows to currency movements. Accordingly, I address a novel question regarding the effect of forex interventions on emerging market firms’ exchange rate risk exposure. I find an asymmetric effect, such that the impact of forex purchase interventions differs from that of forex sale interventions. Moreover, the positive effects of forex sale interventions on the magnitude of firms’ exposure are more pronounced during depreciation periods. Study findings imply that firms remain unhedged, given that interventions are perceived as implicit government guarantees against currency fluctuations. Credible communication from policymakers regarding the motives for interventions by central banks would assist in alerting firms to potential currency risks. 相似文献
15.
Apostolos Kiohos 《International economic journal》2018,32(2):177-198
The debt crisis of the Euro Area in 2010 raised plenty of doubts concerning the sustainability of the monetary union. Eurozone includes economies which have different structural characteristics. This event does not allow the establishment of an optimal currency area. The present research attempts to explore if the join of Cyprus, Malta, Latvia, Slovenia and Slovakia in the Eurozone was in favor of their economies. We used the nominal exchange rates as a financial instrument by combing the Error Correction Model with the Threshold GARCH, ECM-TGARCH. The empirical findings highly support that the EU membership influenced positively the relationship between the euro and the Cypriot Pound, the Latvian Lats and the Slovenian Tolar. On the contrary, we discovered that the join of Malta in the EU had a slightly negative and a long-term impact in the relationship between the euro and the Maltese currency. Finally, the entrance of Slovakia in the EU influenced positively the Slovakian currency. However, the relationship between the euro and the Slovakian Koruna remained negative. 相似文献
16.
We analyze the link between macroeconomic fundamentals and exchange rate dynamics in two new and two potential EU member states:
Bulgaria, Romania, Croatia, and Turkey. Given the different institutional settings of the exchange rate market in the countries
of interest, we follow two different modelling strategies. For Romania and Turkey, we evaluate possible exchange rate misalignments
based on a monetary model of exchange rate determination. In the case of Bulgaria and Croatia, with currency board and narrow-band
peg arrangements against the euro, we discuss possible exit strategies and quantitatively assess the effects of the peg arrangements
by means of simulation.
相似文献
Maria Antoinette SilgonerEmail: |
17.
Naa Anyeley Akofio-Sowah 《International Advances in Economic Research》2009,15(3):296-309
This paper investigates the relationship between the monetary regime: pegged, currency board, dollarization, and the exchange
rate pass-through for a sample consisting of 15 Sub-Saharan Africa countries and 12 Latin American countries. The research
findings about pass-through rates will shed light on the feasibility of a monetary union for Sub-Saharan Africa. The inclusion
of the latter country group was deemed desirable to explore pass-through behavior in several monetary regime options not often
used in Sub-Saharan Africa.
相似文献
Naa Anyeley Akofio-SowahEmail: |
18.
Identifying the impact of the interest rates upon Islamic banks is a key to understand the contribution of such institutions to the financial stability, designing monetary policies and devising a proper risk management applicable to these institutions. This article analyses and investigates the impact of interest rate shock upon the deposits and loans held by the conventional and Islamic banks with particular reference to the period between December 2005 and July 2009 based on Vector Error Correction (VEC) methodology. It is theoretically expected that the Islamic banks, relying on interest-free banking, shall not be affected by the interest rates; however, in concurrence with the previous studies, the article finds that the Islamic banks in Turkey are visibly influenced by interest rates. 相似文献
19.
In this paper we investigate how the evolution of income growth, real interest rates, and inflation have driven income inequality across a variety of countries with particular focus on the BRICS economies (Brazil, Russia, India, China, and South Africa) during the period 2001 to 2015. Our work suggests that, when central banks of the BRICS economies use monetary policy for macroeconomic stabilization, they need to consider the impact monetary policy changes have on the distribution of income in their nations. Our estimates reveal that the unintended consequence of policies that induce economic growth and higher prices is higher income inequality. We find that the positive relationship between the three macroeconomic variables and income inequality for the BRICS economies is stronger during the post-2008 period. 相似文献
20.
Shin-ichi Fukuda 《Applied economics letters》2016,23(9):618-622
This article first shows that the yen/dollar rate tended to appreciate in Japan daytime but to depreciate in Japan night-time in the 2000s. The result is very paradoxical because the asymmetry implies that the intra-daily yen/dollar rate had predictable stochastic trends in the 2000s. The article then investigates whether lagged dependent variables and various external shocks were responsible to the asymmetric feature. We find that once we control the effects of lagged dependent variables and external shocks, the daytime yen/dollar rate tended to appreciate when it had appreciated on the day before, while the night-time yen/dollar rate tended to depreciate when it had depreciated on the day before. 相似文献