Productivity and the Euro-Dollar Real Exchange Rate

This paper analyses how productivity differentials between the United States and the euro area drive the euro-dollar real exchange rate. We derive impulse responses from a two-sector new open economy macro (NOEM) model. These are used as sign restrictions to identify a structural vector autoregression. Our results show that the Balassa–Samuelson effect, through traded sector productivity shocks, is less important in explaining the variation in the euro-dollar exchange rate than are demand and nominal shocks. In particular, productivity can explain part of the appreciation of the dollar in the late 1990s only to the extent that it created a boost to aggregate demand in the United States. JEL no. F41, F31     

What Caused the Korean Currency Crisis in 1997?*: Weak Fundamentals or Self‐fulfilling Expectations*

The present paper investigates which factor is primarily responsible for the sharp depreciation of the Korean won against the US dollar in 1997, using a bivariate vector autoregressive model of real and nominal exchange rates. In the present study, we directly identify the relative importance of fundamental and non‐fundamental factors from the raw data series on exchange rates. This approach is different from most previous studies on the Korean currency crisis, which use proxy variables to represent the two factors. The empirical results show that the collapse of the Korean currency in 1997 appears to be mostly a result of the weakened macroeconomic fundamentals of the economy with, to a limited extent, some non‐fundamental factors.     

FURTHER EVIDENCE ON MEAN REVERSION IN THE AUSTRALIAN EXCHANGE RATE

In this paper we re‐examine the purchasing power parity (PPP) in Australia for the period February 1970 to April 2005 using an alternative method relative to the previous studies. We underlined large shocks due to depreciations that affected the Australian exchange rate, using outlier methodology. Once we adjusted the data of these outliers that had large, but either temporary or permanent effects on the series, our results show that there is no tendency for PPP in Australia to hold in the long run during this period.     

The Role of the Exchange Rate as a Shock Absorber in a Small Open Economy

This paper analyses interactions between the real exchange rate and business cycles in a small open economy like Norway. Using a structural vector autoregression model, the role of different shocks are analysed, to investigate to what extent the real exchange rate is absorbing shocks, or a source of shocks itself. The results are ambiguous. Output and the real exchange rate are mainly explained by separate shocks, so that relinquishing exchange rate independence should come at little cost. However, the importance of nominal shocks in the business cycle emphasises that stabilisation is possible. Hence, remaining monetary independence may be attractive.     

Monetary policy, macroeconomic adjustment and currency speculation under floating exchange rates: the case of Bulgaria

This paper deals with the Bulgarian experience with exchange rate policy and the related macroeconomic adjustment in the transition period. It is argued that in the context of the Bulgarian macroeconomic environment, the exchange rate regime and the exchange rate policy (or the lack of such) did play a crucial role in determining the patterns of macroeconomic adjustment in this period. A simple general equilibrium model is suggested that provides some insights into the stylized performance of an economy under certain assumptions, similar to those characterizing the transitional state of the Bulgarian economy. Finally, some aspects of Bulgarian macroeconomic performance in recent years are analysed on the basis of the available empirical information and using the framework of the theoretical model. The paper concludes with the policy lessons of this experience.     

The differences in the economic effects between the DB plan and the DC plan

This paper investigates the differences between the defined benefit plans (DB) and the defined contribution plans (DC) in the enterprise pension programs in Japan. Attention is paid not only to the effect of labor turnover but also to the difference in various categories of workers, which are classified by gender, education, timing of labor turnover, etc. Also, we take into consideration the effect of interest rates. One important conclusion of this paper is that the DC plan is superior to the DB plan, in contrast to the common belief. J. Japanese Int. Economies 18 (4) (2004) 551–564.     

Are Interventions Self Exciting?

The time pattern of official interventions on the foreign exchange market exhibits periods of intense activity followed by long spells of inaction. In this paper, we examine whether the time interval between successive intervention matters for future interventions. To capture the properties of intervention duration an ACD model is used. The data are daily observations of interventions by the Federal Reserve, the Bundesbank and the Swiss National Bank. The evidence finds that the intervention duration is highly persistent and that the hazard is time dependent.     

Immunizing Foreign Exchange Contracts Against Swap Rate and Volatility Risks

Swap rate risk, also called the problem of' "maturity gaps," originates from foreign currency holdings whenever the involved contracts have differing maturities. Such differing maturities give rise to a sensitivity of the portfolio values with respect to the "swap rate," or differential between the relative interest rates in two countries. Volatility risk, which typically affects only currency contracts having asymmetric payoffs (such as currency options), gives rise to a sensitivity of portfolio values with respect to changes in the exchange rate volatility. In this article we show how currency portfolios may be immunized , or made insensitive, to both swap rate risk and volatility risk, in the sense of Macaulay's (1938) classical treatment of interest rate risk. The European currency option contract is the primary subject of our discussion, since we show that both ordinary forward contracts and other complicated currency contracts are equivalent to suitable combinations of European currency options.     

石化通用机械进出口及其相关政策走向

石化通用机械行业2003年-2006年进出口连年增长.2007年出口继续快速增长,各主要产品进口有增有减.政策调整将对石化通用机械进出口产生影响.部分产品出口退税率下调.国内投资项目中有154种设备进口不予免税.国家鼓励进口6种石化通用机械.重大技术装备关键件进口实行先征税后返回优惠政策.人民币对美元的汇率升值将会继续,有关企业要积极应对.     

Testing for volatility spillover between the British pound and the euro

This paper examines volatility spillover between two nominal U.S. dollar exchange rates: the British pound and the euro. Using the residual cross-correlation approach, we observe that the euro Granger-causes the British pound in variance, whereas the British pound does not Granger-cause the euro in variance. Our findings support unidirectional volatility spillover from the euro to the British pound; thus, the euro volatility has a one-sided impact on the British pound volatility. Moreover, the findings suggest that euro traders succeed in the efficient processing of information derived from the British pound.