Domestic Saving and International Capital Movements in the Long Run and the Short Run
Feldstein, M. (1982)
The Order of Liberalization of the Current and Capital Accounts of the Balance of Payments
Edwards, S. (1983)
A Multilateral Agreement on Investment: Convincing the Sceptics
Drabek, Z. (1998)
Does Globalization Cause a Higher Concentration of International Trade and Investment flows?
Low, P., M. Olarreaga & J. Suarez (1998)
Whether and When to Liberalize Capital Account and Financial Services
Williamson, J. & Z. Drabek (1999)
Private Capital Flows, Living with Volatility, and the New Architecture
Corden, W.M. (1999)
Capital Flows To Developing Countries And The Reform Of The International Financial System
Akyuz, Y. & A. Cornford (1999)
Academic Views of Capital Flows: An Expanding Universe
Dooley, M.P. & C.E. Walsh (1999)
Problems and Challenges of International Capital Flows
Volcker, P.A. (1999)
How does openness to capital flows affect growth?
Rappaport, J. (2000)
A simple model of international capital flows, exchange rate risk, and portfolio choice
Pecchenino, R.A. & P.S. Pollard (2000)
Capital Mobility for Developing Countries May Not Be So High
Willett, T.D., S.A. Young & M.W. Keil (2000)
Capital Mobility and Economic Performance: Are Emerging Economies Different?
Edwards, S. (2001)
The geography of capital flows: what we can learn from benchmark surveys of foreign equity holdings
Warnock, F.E. & M. Mason (2001)
Long-Term Capital Movements
Lane, P.R. & G.M. Milesi-Ferretti (2001)
Capital account liberalization and disinflation in the 1990s
Gruben, W.C. & D. McLeod (2001)
International Capital Flows: A Challenge for the 21st Century
Leite, S.P. (2001)
When Does Capital Account Liberalization Help More than It Hurts?
Arteta, C., C. Wyplosz & B. Eichengreen (2001)
The Information Content of International Portfolio Flows
Froot, K.A. & T. Ramadorai (2001)
Are International Deposits Tax-Driven?
Huizinga, H. & G. Nicodeme (2001)
Aging and International Capital Flows
Boersch-Supan, A., A. Ludwig & J. Winter (2001)
The Curse of Non-Investment Grade Countries
Rigobon, R. (2001)
Exchange Rates and Capital Flows
Brooks, R.J., H. Edison, M.S. Kumar & T.M. Slok (2001)
Puzzles Over International Taxation of Cross Border Flows of Capital Income
Whalley, J. (2001)
Capital Account Liberalisation: Empirical Evidence and Policy Issues I
Kohli, R. (2001)
Capital Account Liberalisation: Empirical Evidence and Policy Issues II
Kohli, R. (2001)
Global Capital Flows and Financing Constraints
Harrison, A.E., I. Love & M.S. McMillan (2002)
Capital flows? Balance of payments management
FitzGerald, V. (2002)
Financial Opening: Evidence and Policy Options
Aizenman, J. (2002)
Holding International Reserves in an Era of High Capital Mobility
Flood, R.P. & N.P. Marion (2002)
Growing Up With Capital Flows | Published
Mody, A. & A.P. Murshid (2002)
Determinants and Repercussions of the Composition of Capital Inflows
Carlson, M. & L.F. Hernandez (2002)
Financial centers and the geography of capital flows
Warnock, F.E. & C. Cleaver (2002)
Börsch-Supan, A., A. Ludwig &mpa; J. Winter (2002)
Capital Account Liberalization and Economic Performance: Survey and Synthesis | Published
SURVEY PAPER
Edison, H.J., M.W. Klein, L. Ricci & T. Slok (2002)
Portfolio Investment: CPIS Database
IMF (2003)
Abstract: Under the auspices of the IMF, a Coordinated Portfolio Investment Survey (CPIS), involving the participation of 67 economies, was undertaken at end 2001. This followed the first CPIS, in which 29 economies participated, which was conducted for end-1997. The CPIS will now be conducted on an annual basis.
A Decomposition of Global Linkages in Financial Markets Over Time | Published
Forbes, K. & M.D. Chinn (2003)
Capital Flows to developing countries: does the emperor have clothes?
Griffith-Jones, S. & J. Leape (2003)
When Rivers Flow Upstream: International Capital Movements in the Era of Globalization
Morrissey, M. & D. Baker (2003)
Catalyzing Capital Flows: Do IMF-Supported Programs Work as Commitment Devices?
Mody, A. & D. Saravia (2003)
What Do Capital Inflows Do? Dissecting the Transmission Mechanism for Thailand, 1980-96
Jansen, W.J. (2003)
What Drives Long-term Capital Flows? A Theoretical and Empirical Investigation | Published
Verdier, G. (2003/08)
The Developed World's Demographic Transition - The Roles of Capital Flows, Immigration, and Policy
Fehr, H., S. Jokisch & L. Kotlikoff (2003)
The Risk Tolerance of International Investors
Froot, K.A. & P.G. J. O'Connell (2003)
Open Capital Account: Concrete Wealth or Paper Wealth
Cai, J. & B. Gangnes (2003)
Serial Default and the "Paradox" of Rich to Poor Capital Flows | Published
Reinhart, C.M. (2004)
Empirical Perspectives on Long-Term External Debt
Lane, P.R. (2004)
The Composition of International Capital Flows: Risk Sharing Through Foreign Direct Investment
Albuquerque, A. (2004)
How can the IMF catalyse private capital flows? A model
Penalver, A. (2004)
On the Two Way Feedback Between Financial And Trade Openness | Published
Aizenman, J. & I. Noy (2004/06)
Capital Income Taxation and Economic Growth in Open Economies
Palomba, G. (2004)
Short-Term Capital Flows and Growth in Developed and Emerging Markets
Petroulas, P. (2004)
Sources for Financing Domestic Capital - Is Foreign Saving a Viable Option for Developing Countries? | Published
Aizenman, J., B. Pinto & A. Radziwill (2004/07)
Capital Income Taxation in the Globalized World
Razin, A. & E. Sadka (2004)
International Investment Patterns
Milesi-Ferretti, G.M. & P. Lane (2004)
When it Rains, it Pours: Procyclical Capital Flows and Macroeconomic Policies
Kaminsky, G.L., C.M. Reinhart & C.A. Vegh (2004)
Insurance Value of International Reserves: An Option Pricing Approach | Published
Lee, J. (2004/09)
Credit Market Imperfections and Patterns of International Trade and Capital Flows
Matsuyama, K. (2004)
Keeping Capital Flowing: The Role of the IMF | Alternative
Bordo, M.D., A. Mody & N. Oomes (2004)
Can Higher Reserves Help Reduce Exchange Rate Volatility?
Hviding, K., M. Nowak & L.A. Ricci (2004)
External Adjustment
Obstfeld, M. (2004)
The Mussa Theorem: and other results on IMF induced moral hazard | Published
Jeanne, O.D. & J. Zettelmeyer (2004)
Abstract: Using a simple model of international lending, we show that as long as the IMF lends at an actuarially fair interest rate and debtor governments maximize the welfare of their taxpayers, any changes in policy effort, capital flows, or borrowing costs in response to IMF crisis lending are efficient. Thus, under these assumptions, the IMF cannot cause moral hazard, as argued by Michael Mussa (1999, 2004). It follows that examining the effects of IMF lending on capital flows or borrowing costs is not a useful strategy to test for IMF-induced moral hazard. Instead, empirical research on moral hazard should focus on the assumptions of the Mussa theorem.
World financial liberalization and its effects on capital flows
Santana, J.R. & F. Garcia (2004)
Technology Differences and Capital Flows
Claro, S. (2004)
Population Aging and International Capital Flows | Published
Domeij, D. & M. Floden (2004/06)
Do Tax Havens Flourish?
Hines, J.R. Jr. (2004)
FDI in Space: Spatial Autoregressive Relationships in Foreign Direct Investment
Blonigen, B.A., R.B. Davies, G.R. Waddell & H.T. Naughton (2004)
An Assignment Theory of Foreign Direct Investment
Nocke, V. & S. Yeaple (2004)
Why are Capital Flows so much more Volatile in Emerging than in Developed Countries?
Broner, F. & R. Rigobon (2004)
The Flow of Capital to Latin America, 1973–2000
Ramrattan, L., A.A. Gottesman & M. Szenberg (2005)
Foreign Direct Investment and the Domestic Capital Stock
Desai, M.C., C.F. Foley & J.R. Hines Jr. (2005)
Fundamentals, information, and international capital flows: A welfare analysis
Krebs, T. (2005)
Capital Account Liberalization, Institutional Quality and Economic Growth: Theory and Evidence
Klein, M.W. (2005)
The Effects of IMF and World Bank Lending on Long-Run Economic Growth: An Empirical Analysis
Butkiewicz, J.L. & H. Yanikkaya (2005)
International Financial Adjustment | Published
Gourinchas, P-O. & H. Rey (2005/07)
Abstract: We explore the implications of a country's external constraint for the dynamics of net foreign assets, returns, and exchange rates. Deteriorations in external accounts imply future trade surpluses (trade channel) or excess returns on the net foreign portfolio (valuation channel). Using a new data set on U.S. gross external positions, we find that stabilizing valuation effects contribute 27 percent of the cyclical external adjustment. Our approach has asset-pricing implications: external imbalances predict net foreign portfolio returns one quarter to two years ahead and net export growth at longer horizons. The exchange rate is forecastable in and out of sample at one quarter and beyond.
The determinants of cross-border equity flows
Portes, P. & H. Rey (2005)
The IMF in a World of Private Capital Markets | Published
Eichengreen, B., K. Kletzer & A. Mody (2005/06)
The Chinese Approach to Capital Inflows: Patterns and Possible Explanations
Prasad, E. & S-J. Wei (2005)
A Review of the Empirical Literature on FDI Determinants
SURVEY PAPER
Blonigen, B.A. (2005)
The IMF in a World of Private Capital Markets
Eichengreen, B.J., K. Kletzer & A. Mody (2005)
International Reserves: Precautionary versus Mercantilist Views, Theory and Evidence
Aizenman, J. & J. Lee (2005)
Does Competition for Capital Discipline Governments? Decentralization, Globalization, and Public Policy
Cai, H. & D. Treisman (2005)
A Meta-Analysis of the Effect of Common Currencies on International Trade
Rose, A.K. & T.D. Stanley (2005)
Curbing the Boom-Bust Cycle: Stabilizing Capital Flows to Emerging Markets
Williamson, J. (2005)
Abstract: For the past three decades, a boom-bust cycle in capital flows has repeatedly plunged into crisis countries that had been growing rapidly. Are there feasible policy actions to curb this cycle and thus permit both investors and emerging markets to tap the benefits of capital mobility without the costs of crises? Williamson concludes that a significant reduction in the wild swings in capital flows is feasible, even though complete stability is not. The boom-bust problem cannot be tackled just, or even mainly, from the supply side but will require actions on the part of both creditors and debtors, including forward-looking provisioning by banks, retention of capital controls in some cases, and introduction of new financial instruments. The action program developed in this study is intended to facilitate financial maturity in emerging markets similar to that which has already occurred in the industrial countries.
Neither a Borrower nor a Lender: Does China's Zero Net Foreign Asset Position Make Economic Sense? | Published
Dollar, D. & A. Kraay (2005)
A Global Perspective on External Positions | Alternative
Lane, P.R. & G.M. Milesi-Ferretti (2005)
The United States as a Debtor Nation
Cline, W.R. (2005)
Abstract: The United States has once again entered a period of large external imbalances. This time the current account deficit, at nearly 6 percent of GDP in 2004, is much larger than in the last episode, when the deficit peaked at about 3.5 percent of GDP in 1987. This deficit is no longer benign, as it arguably was in the late 1990s when it was financing high investment instead of high consumption and large government dissaving. In the absence of US fiscal adjustment and a further correction of the dollar, the current account deficit is headed to $1.2 trillion by 2010 (7½ percent of GDP) and net US foreign liabilities to about $8 trillion (50 percent of GDP). The rising imbalance will increasingly put the US economy--and hence the world economy and especially developing countries--at risk. The dollar needs to decline by as much as another 20 percent, and the fiscal deficit needs to be eliminated, to bring the current account deficit down to a sustainable 3 percent of GDP. Asian currencies, especially the Chinese renminbi, will need to rise sharply, and central banks should stop intervening to prevent this rise.
Bilateral FDI Flows: Threshold Barriers and Productivity Shocks
Razin, A., E. Sadka & H. Tong (2005)
FDI Flows to Asia: Did the Dragon Crowd Out the Tigers?
Mercereau, B. (2005)
Capital Flows in a Globalized World: The Role of Policies and Institutions
Alfaro, L., S. Kalemli-Ozcan & V. Volosovych (2005)
International Capital Flows, Returns and World Financial Integration
Evans, M.D.D. & V. Hnatkovska (2005)
Controlled Capital Account Liberalization: A Proposal
Prasad, E. & R. Rajan (2005)
An Information-Based Trade Off between Foreign Direct Investment and Foreign Portfolio Investment | Published
Goldstein, I. & A. Razin (2005/06)
Capital mobility among advanced countries
Kant, C. (2005)
Is Financial Globalization Beneficial?
Mishkin, F. (2005)
Why Doesn't Capital Flow from Rich to Poor Countries? An Empirical Investigation
Alfaro, L., S. Kalemli-Ozcan & V. Volosovych (2005)
The Social Cost of Foreign Exchange Reserves
Rodrik, D. (2006)
The External Wealth of Nations Mark II: Revised and Extended Estimates of Foreign Assets and Liabilities, 1970-2004 | Published
Lane, P.R. & G.M. Milesi-Ferretti (2006/07)
Determinants of Capital Flows: A Cross-Country Analysis
Ralhan, M. (2006)
The Accumulation of Foreign Reserves
Pineau, G., E. Dorrucci, F. Comelli & A. Lagerblom (2006)
Private capital flows, capital controls, and default risk
Wight, M.L.J. (2006)
A Portfolio Theory of International Capital Flows
Devereux, M.B. & M. Saito (2006)
The Case for an International Reserve Diversification Standard
Truman, E.M. & A. Wong (2006)
Institutions, capital flows and financial integration
Lothian, J.R. (2006)
Foreign reserves management subject to a policy objective
Coche, J., M. Koivu, K. Nyholm & V. Poikonen (2006)
Capital Flows and Monetary Policy
Pineda, J.G. (2006)
The IMF and the Liberalization of Capital Flows
Joyce, J.P. & I. Noy (2006)
Catalysing Private Capital Flows: Do IMF Programmes Work as Commitment Devices?
Mody, A. & D. Saravia (2006)
U.S. Dollar Risk Premiums and Capital Flows
Balakrishnan, R. & V. Tulin (2006)
When is FDI a Capital Flow?
Marin, D. & M. Schnitzer (2006)
Real Exchange Rate and International Reserves in the Era of Growing Financial and Trade Integration
Aizenman, J. & D. Riera-Crichton (2006)
A Solution to Two Paradoxes of International Capital Flow
Ju, J. & S-J. Wei (2006)
Institutional Efficiency, Monitoring Costs and the Investment Share of FDI
Aizenman, J. & M.M. Spiegel (2006)
What matters for financial development? Capital controls, institutions, and interactions
Chinn, M.D. & H. Ito (2006)
Economic Policy, Institutions, and Capital Flows: Portfolio and Direct Investment Flows in Developing Countries
Ahlquist, J.S. (2006)
The Home Bias and Capital Income Flows between Countries and Regions
Artis, M.J. & M. Hoffmann (2006)
International Capital Flows and U.S. Interest Rates
Warnock, F.E. & V.C. Warnock (2006)
The Optimal Level of International Reserves for Emerging Market Countries: Formulas and Applications
Jeanne, o. & R. Ranciere (2006)
Bond Markets As Conduits for Capital Flows: How Does Asia Compare?
Eichengreen, B.J. & P. Luengnaruemitchai (2006)
Capital Account Liberalization: Theory, Evidence, and Speculation | Published
Henry, P.B. (2006/07)
Unemployment dynamics with international capital mobility
Azariadis, C. & C.A. Pissarides (2006)
International reserves management and capital mobility in a volatile world: Policy considerations and a case study of Korea
Aizenman, J., Y. Lee & Y. Rhee (2007)
Central bank intervention and exchange rate dynamics: A rationale for the regime-switching process of exchange rates
Lee, H-Y. & W-Y. Chang (2007)
Multinational Firms, FDI Flows and Imperfect Capital Markets
Antras, P., M.A. Desai & C.F. Foley (2007)
Trade Costs and Foreign Direct Investment
Neary, J.P. (2007)
The determinants of capital inflows: Does opacity of recipient country explain the flows?
Hooper, V. & S-J. Kim (2007)
Longitude matters: Time zones and the location of foreign direct investment
Stein, E. & C. Daude (2007)
International Finance and Income Convergence: Europe is Different
Abiad, A., D. Leigh & A. Mody (2007)
The endogeneity of the exchange rate as a determinant of FDI: A model of entry and multinational firms
Russ, K.N. (2007)
Liquidity Risk Aversion, Debt Maturity, and Current Account Surpluses: A Theory and Evidence from East Asia
Fukuda, S-I. & Y. Kon (2007)
International capital flows
Tille, C. & E. van Wincoop (2007)
Capital flows and capital goods
Alfaro, L. & E. Hammel (2007)
The Stability of Large External Imbalances: The Role of Returns Differentials
Curcuru, S.E., T. Dvorak & F.E. Warnock (2007)
Productivity and Taxes as Drivers of FDI
Razin, A. & E. Sadka (2007)
Explaining the global pattern of current account imbalances
Gruber, J.W. & S.B. Kamin (2007)
Current account balances, financial development and institutions: Assaying the world “saving glut”
Chinn, M.D. & H. Ito (2007)
Equipping Immigrants: Migration Flows and Capital Movements
Lange, F. & D. Gollin (2007)
International Financial Integration and Entrepreneurial Firm Activity
Alfaro, L. & A. Charlton (2007)
Welfare Implications of Capital Account Liberalization
Faia, E. (2007)
The Harberger–Laursen–Metzler effect under capital market imperfections
Huang, K.X.D. & Q. Meng (2007)
Large Hoarding of International Reserves and the Emerging Global Economic Architecture
Aizenman, J. (2007)
Drift control of international reserves
Bar-Ilan, A., N.P. Marion & D. Perry (2007)
Revisiting Price-based Controls on Capital Inflows in a “Sophisticated” Emerging Market
David, A.C. (2007)
Measurement and Inference in International Reserve Diversification
Wong, A. (2007)
Returns on FDI: Does the U.S. Really Do Better?
Bosworth, B., S.M. Collins & G. Chodorow-Reich (2007)
The effect of the euro on foreign direct investment
Petroulas, P. (2007)
International investment positions and exchange rate dynamics: a dynamic panel analysis
Binder, M. & C.J. Offermanns (2007)
International reserves and monetary policy
Bar-Ilan, A. & D. Lederman (2007)
Reserve accumulation: objective or by-product?
de Beaufort Wijnholds, J.O. & L. Søndergaard (2007)
Current Account Adjustment and Capital Flows
Debelle, G. & G. Galati (2007)
Capital Flows to Developing Countries: The Allocation Puzzle
Gourinchas, P-O. & O. Olivier (2007)
Foreign Capital and Economic Growth
Prasad, E.S., R.G. Rajan & A. Subramanian (2007)
Do Reserve Portfolios Respond to Exchange Rate Changes Using a Portfolio Rebalancing Strategy? An Econometric Study Using COFER Data
Lim, E-G. (2007)
Terrorism and the world economy
Abadie, A. & J. Gardeazabal (2008)
Globalization and the Sustainability of Large Current Account Imbalances: Size Matters
Aizenman, J. & Y. Sun (2008)
International Reserves-Too Much of a Zipf's Thing
Sumlinski, M. (2008)
The Landscape of Capital Flows to Low-Income Countries
Dorsey, T.W., H. Tadesse, S. Singh & Z. Brixiova (2008)
Taxes and the global allocation of capital
Backus, D., E. Henriksen & K. Storesletten (2008)
Capital Inflows and Reserve Accumulation: The Recent Evidence
Reinhart, C.M. & V.R. Reinhart (2008)
Capital Account Liberalization, Real Wages, and Productivity
Henry, P.B. & D. Sasson (2008)
International capital mobility: What do national saving–investment dynamics tell us?
Pelgrin, F. and S. Schich (2008)
International capital mobility: Evidence from panel cointegration tests
Adedeji, O. & J. Thornton (2008)
A Welfare Analysis of Capital Account Liberalization
von Hagen, J. & H. Zhang (2008)
The cost of reserves
Yeyati, E.L. (2008)
A Pragmatic Approach to Capital Account Liberalization | Published
Prasad, E.S. & R. Rajan (2008)
Capital Inflows and Balance of Payments Pressures - Tailoring Policy Responses in Emerging Market Economies
Ghosh, A.R., M. Goretti, B. Joshi, U. Ramakrishnan, A.H. Thomas & J. Zalduendo (2008)
International Reserves and Self-Insurance against External Shocks
Barnichon, R. (2008)
Banking Globalization, Monetary Transmission, and the Lending Channel
Cetorelli, N. & L.S. Goldberg (2008)
Global Portfolio Rebalancing Under the Microscope
Hau, H. & H. Rey (2008)
International Portfolios, Capital Accumulation and Foreign Assets Dynamics | Published
Coeurdacier, N., R. Kollmann & P. Martin (2008/09)
Are Emerging Asia's Reserves Really Too High?
Ruiz-Arranz, M. & M. Zavadjil (2008)
Capital account liberalization, financial depth, and economic growth
Klein, M.W. & G.P. Olivei (2008)
Capital Flow Bonanzas: An Encompassing View of the Past and Present
Reinhart, C.M. & V.R. Reinhart (2008)
Does Openness to International Financial Flows Raise Productivity Growth? | Published
Kose, M.A., E. Prasad & M. Terrones (2008)
International Capital Flows under Dispersed Information: Theory and Evidence
Tille, C. & E. van Wincoop (2008)
Why doesn’t Luxembourg send all its capital to India?
Taub, B. & R. Zhao (2008)
Addressing causality in the effect of capital account liberalization on growth
Honig, A. (2008)
Capital Inflows, Resource Reallocation and the Real Exchange Rate
Lartey, E.K.K. (2008)
One-Size-Fits-One: Tailor-Made Fiscal Responses to Capital Flows
Zakharova, D. (2008)
Why Aren't Developed Countries Saving?
Dobrescu, L.I., L.J. Kotlikoff & A.F. Motta (2009)
Capital Inflows and the Real Exchange Rate: Can Financial Development Cure the Dutch Disease?
Saborowski, C. (2009)
Capital Inflows: Macroeconomic Implications and Policy Responses
Cardarelli, R., S. Elekdag & M.A. Kose (2009)
Abstract: This paper examines the macroeconomic implications of, and policy responses to surges in private capital inflows across a large group of emerging and advanced economies. In particular, we identify 109 episodes of large net private capital inflows to 52 countries over 1987-2007. Episodes of large capital inflows are often associated with real exchange rate appreciations and deteriorating current account balances. More importantly, such episodes tend to be accompanied by an acceleration of GDP growth, but afterwards growth has often dropped significantly. A comprehensive assessment of various policy responses to the large inflow episodes leads to three major conclusions. First, keeping public expenditure growth steady during episodes can help limit real currency appreciation and foster better growth outcomes in their aftermath. Second, resisting nominal exchange rate appreciation through sterilized intervention is likely to be ineffective when the influx of capital is persistent. Third, tightening capital controls has not in general been associated with better outcomes.
Financial Instability, Reserves, and Central Bank Swap Lines in the Panic of 2008
Obstfeld, M., J.C. Shambaugh & A.M. Taylor (2009)
The current account as a dynamic portfolio choice problem
Didier, T. & A. Lowenkron (2009)
A Portfolio Model of Capital Flows to Emerging Markets | Published
Devereux, M.B. & A. Sutherland (2009)
Capital Flow Paradox, Speculation And External Adjustment In Emerging Market Economies
La Marca, M. (2009)
The Long or Short of it: Determinants of Foreign Currency Exposure in External Balance Sheets | Published
Lane, P.R. & J.C. Shambaugh (2009)
The composition of capital inflows when emerging market firms face financing constraints
Smith, K.A. & D. Valderrama (2009)
On the determinants of net international portfolio flows: A global perspective
De Santis, R.A. & M. Lührmann (2009)
Patterns of International Capital Raisings | Published
Gozzi, J.C., R. Levine & Sergio L. Schmukler (2009)
Remittances, financing constraints and growth volatility : Do remittances dampen or magnify shocks?
Coulibaly, D. (2009)
Remittances: An Automatic Output Stabilizer?
Chami, R., D. Hakura & P. Montiel (2009)
Global Savings and Global Investment: The Transmission of Identified Fiscal Shocks
Feyrer, J. & J.C. Shambaugh (2009)
Net Capital Flows, Financial Integration, and International Reserve Holdings: The Recent Experience of Emerging Markets and Advanced Economies
Choi, W.G., S. Sharma & M. Strömqvist (2009)
A Macroeconomic Perspective on Reserve Accumulation
Bar-Ilan, A. & N.P. Marion (2009)
Hoarding of International Reserves: Mrs Machlup's Wardrobe and the Joneses
Cheung, Y-W. & X. Qian (2009)
What is Driving Reserve Accumulation? A Dynamic Panel Data Approach
Bastourre, D., J. Carrera & J. Ibarlucia (2009)
Trade and Capital Flows: A Financial Frictions Perspective
Antràs, P. & R.J. Caballero (2009)
Capital account liberalization, financial development and industry growth: a synthetic view
Eichengreen, B., R. Gullapalli & U. Panizza (2009)
International capital flows and U.S. interest rates
Warnock, F.E. & V.C. Warnock (2009)
Productivity Growth and Capital Flows: The Dynamics of Reforms
Buera, F.J. & Y. Shin (2009)
Why is There No Race to the Bottom in Capital Taxation?
Plümper, T., V.E. Troeger & H. Winner (2009)
Credit Rationing and Exchange-Rate Stabilization: Examining the Relation between Financial Frictions, Exchange-Rate Volatility, Lending Rates, and Capital Inflows
Martinez, G. (2009)
Who Benefits from Capital Account Liberalization? Evidence from Firm-Level Credit Ratings Data
Prati, A., M. Schindler & P. Valenzuela (2009)
The financial crisis and sizable international reserves depletion: From 'fear of floating' to the 'fear of losing international reserves'?
Aizenman, J. & Y. Sun (2009)
Ageing and Export Dependency
Vistesen, C. (2009)
Hoarding International Reserves Versus a Pigovian Tax-Cum-Subsidy Scheme: Reflections on the Deleveraging Crisis of 2008-9, and a Cost Benefit Analysis
Aizenman, J. (2009)
Endogenous Inflows of Speculative Capital and the Optimal Currency Appreciation Path
Li, M. & J. Qiu (2009)
A new perspective on “the new rule”of the current account
Tille, C. & E. van Wincoop (2009)
Why do foreigners invest in the United States?
Forbes, K.J. (2009)
Composition of International Capital Flows: A Survey
SURVEY PAPER
Kirabaeva, K. & A. Razin (2009)
Intra-Industry Foreign Direct Investment
Alfaro, L. & A. Charlton (2009)
Gravity for FDI
Kleinert, J. & F. Toubal (2010)
Fixed Costs, Foreign Direct Investment, and Gravity with Zeros
Davies, R.B. & H. Kristjánsdóttir (2010)
Imperfect Capital Mobility: A General Approach to the Two-Sector Harris Todaro Model
Choi, J-Y. & E.S.H. Yu (2010)
Liquidity, Institutional Quality and the Composition of International Equity Flows
Goldstein, I., A. Razin & H. Tong (2010)
Financial Development and the Patterns of International Capital Flows
von Hagen, J. & H. Zhang (2010)
Growth and Capital Flows with Risky Entrepreneurship
Sandri, D. (2010)
Cross-Border Investment in Small International Financial Centers
Lane, P.R. & G.M. Milesi-Ferretti (2010)
Capital Flows, Consumption Booms and Asset Bubbles: A Behavioural Alternative to the Savings Glut Hypothesis
Laibson, D. & J. Mollerstrom (2010)
Toward a Theory of International Currency
Matsuyama, K., N. Kiyotaki & A. Matsui (1993)
Abstract: Our goal is to provide a theoretical framework in which both positive and negative aspects of international currency can be addressed in a systematic way. To this end, we use the framework of random matching games and develop a two country model of the world economy, in which two national fiat currencies compete and may be circulated as media of exchange. There are multiple equilibrium which differ in the areas of circulation of the two currencies. In one equilibrium, the two national currencies are circulated only locally. In another, one of the national currencies is circulated as an international currency. There is also an equilibrium in which both currencies are accepted internationally. We also find an equilibrium in which the two currencies are directly exchanged. The existence conditions of these equilibria are characterized, using the relative country size and the degree of economic integration as the key parameters. In order to generate sharper predictions in he presence of multiple equilibria, we discuss an evolutionary approach to equilibrium selection, which is used to explain the evolution of the international currency as the two economies become more integrated. Some welfare implications are also discussed. For example, a country can improve its national welfare by letting its own currency circulated internationally, provided the domestic circulation is controlled for. When the total supply is fixed, however, a resulting currency shortage may reduce the national welfare.
Currency Exchange in a Random Search Model
Zhou, R. (1997)
Abstract: This paper investigates foreign exchange trading, a phenomenon that typically accompanies international trade. A search-theoretic general equilibrium approach is adopted to study a two-country, two-currency model. For some parameter values of the model, there exist some pure-strategy equilibria in which commodity-currency trade is conducted primarily through local currency and in which there is active currency-currency exchange. The coexistence of valued foreign currency and its local non-acceptability conforms largely with the country-specific cash-in-advance constraint that is often assumed exogenously in international finance literature.
Transactions costs and vehicle currencies
Black, S.W. (1991)
Abstract: Using a simple model of transactions costs in the interbank foreign exchange market and a model of vehicle currency use, the interaction between transactions costs and vehicle currency use is explored. The impact of volume on bid–ask spreads is estimated from cross-section time series data on seven currencies. Data on transactions costs and the currency denomination of trade and capital transactions are used to estimate changes in the attractiveness of using the US dollar as a vehicle between 1980 and 1987. The data suggest a modest reduction in the attractiveness and use of the dollar as a vehicle.
International Trade and Currency Exchange
Rey, H. (2002)
Abstract: On the international scene, away from national legal rules, the use of different currencies is largely due to the operation of the "Invisible Hand". The paper develops a three-country model of the world economy. This links real trade patterns with currency exchange structures in a general equilibrium framework which includes transaction costs on foreign exchange markets. In the presence of strategic complementarities, there are multiple equilibrium structures of currency exchange for a given underlying real trade pattern. The existence conditions of these different equilibria are characterized, using the trade links between countries as the key parameters. Finally, repercussions on world output of the choice of a currency exchange structure are analysed.
An Information Approach to International Currencies | Published
Lyons, R.K. & M.J. Moore (2005/09)
Vehicle Currency Use in International Trade | Alternative | Published
Goldberg, L.S. & C. Tille (2005/08)
Sterling's Past, Dollar's Future: Historical Perspective on Reserve Currency Competition
Eichengreen, B. (2005)
State "Currencies" and the Transition to the U.S. Dollar: Clarifying Some Confusions
Michener, R.W. & R.E. Wright (2005)
Will the Euro Eventually Surpass the Dollar as Leading International Reserve Currency
Chinn, M. & J. Frankel (2005)
A Theory of International Currency and Seigniorage Competition | Published
Li, Y. & A. Matsui (2005/09)
The Ties that Divide: A Network Analysis of the International Monetary System
Flandreau, M. & C. Jobst (2005)
The Empirics of International Currencies: Historical Evidence | Published
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Flandreau, M. & C. Jobst (2006/09)
Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar
Papaioannou, E., R. Portes & G. Siourounis (2006)
The International Role of the Dollar and Trade Balance Adjustment
Goldberg, L.S. & C. Tille (2006)
Money and capital as competing media of exchange
Lagos, R. & G. Rocheteau (2006)
Inflation and dollarization in a dual-currency search-theoretic model
Chang, S.S. (2006)
On the Welfare Benefits of an International Currency | Published
Kannan, P. (2007/09)
Float on a note
Wallace, N. & T. Zhu (2007)
The euro as a reserve currency: a challenge to the pre-eminence of the US dollar?
Galati, G. & P.D. Wooldridge (2007)
Currency Preferences in a Tri-Polar Model of Foreign Exchange
Melecky, M. (2007)
Asymmetric government transaction policies and currencies substitutability
Marchesiani, A. & P. Senesi (2007)
The growing role of the euro in emerging market finance
Masson, P.R. (2007)
International Money and Finance
Hallwood, P. & R. MacDonald (2008)
Macroeconomic Interdependence and the International Role of the Dollar | Published
Goldberg, L.S. & C. Tille (2008/09)
Vehicle Currency
Devereux, M.B. & S. Shi (2008)
Abstract: While in principle, international payments could be carried out using any currency or set of currencies, in practice, the US dollar is predominant in international trade and financial flows. The dollar acts as a `vehicle currency' in the sense that agents in non-dollar economies will generally engage in currency trade indirectly using the US dollar rather than using direct bilateral trade among their own currencies. Indirect trade is desirable when there are transactions costs of exchange. This paper constructs a dynamic general equilibrium model of a vehicle currency. We explore the nature of the efficiency gains arising from a vehicle currency, and show how this depends on the total number of currencies in existence, the size of the vehicle currency economy, and the monetary policy followed by the vehicle currency's government. We find that there can be very large welfare gains to a vehicle currency in a system of many independent currencies. But these gains are asymmetrically weighted towards the residents of the vehicle currency country. The survival of a vehicle currency places natural limits on the monetary policy of the vehicle country.
The Macroeconomic Implications of a Key Currency
Canzoneri, M., R.E. Cumby, B. Diba & D. Lopez-Salido (2008)
Currencies, competition, and clans
Kocenda, E., J. Hanousek & D. Engelmann (2008)
Foreign-currency bonds - currency choice and the role of uncovered and covered interest parity
Habib, M.M. & M. Joy (2008)
Liquidity Premium and International DSeigniorage Payments
Eden, B. (2009)
Why the Euro Will Rival the Dollar
Chinn, M. & J. Frankel (2008)
Abstract: The euro has arisen as a credible eventual competitor to the dollar as leading international currency, much as the dollar rose to challenge the pound 70 years ago. This paper uses econometrically-estimated determinants of the shares of major currencies in the reserve holdings of the world's central banks. Significant factors include: size of the home country, rate of return, and liquidity in the relevant home financial center (as measured by the turnover in its foreign exchange market). There is a tipping phenomenon, but changes are felt only with a long lag (we estimate a weight on the preceding year's currency share around .9). The equation correctly predicts out-of-sample a (small) narrowing in the gap between the dollar and euro over the period 1999-2007. This paper updates calculations regarding possible scenarios for the future. We exclude the scenario where the United Kingdom joins euroland. But we do take into account of the fact that London has nonetheless become the de facto financial center of the euro, more so than Frankfurt. We also assume that the dollar continues in the future to depreciate at the trend rate that it has shown on average over the last 20 years. The conclusion is that the euro may surpass the dollar as leading international reserve currency as early as 2015.
Monetary Geography Before the Industrial Revolution
Flandreau, M., C. Galimard, C. Jobst & M.D.P. Nogués Marco (2009)
One or Two Monies?
Hua, J.J. & D. Mei (2009)
Secondary currency: An empirical analysis
Colacelli, M. & D.J.H. Blackburn (2009)
Crash Risk in Currency Markets
Farhi, E., S.P. Fraiberger, X. Gabaix, R. Ranciere & A. Verdelhan (2009)
The Euro at Ten: The Next Global Currency?
Pisani-Ferry, J. & A.S. Posen (editors) (2009)
Abstract: Over the first ten years of its existence, the euro has proved to be more than a powerful symbol of collective identity.It has provided price stability to previously inflation-prone countries; it has offered a shelter against currency crises; and it has by and large been conducive to budgetary discipline. The eurozone has attracted five new members in addition to the initial eleven, and many countries in Europe wish to adopt it. The euro has also been successful internationally. Even though research presented in this volume confirms that it has not rivaled the dollar's world currency status, it has certainly become a strong regional currency in Europe and the Mediterranean region. Some countries in the region have de facto adopted it, several peg to it, and many have become at least partially euroized. However, the euro's impressive first decade is likely to be followed by a much more difficult period. The present financial crisis is posing at least two important challenges: real economic adjustment within the euro area and maintenance of fiscal and financial stability without a central government authority capable of taking appropriate financial and fiscal decisions in difficult times. The papers and remarks in this volume demonstrate that the euro has proved to be attractive as a fair weather currency for countries and investors well beyond its borders. But it remains to be seen whether it is equipped to also succeed as a stormy weather currency.
Global roles of currencies
Thimann, C. (2009)
Will the Dollar be Dethroned as the Main Reserve Currency?
Carbaugh, R.J. & D.W. Hedrick (2009)
Foreign Demand for Domestic Currency and the Optimal Rate of Inflation
Schmitt-Grohé, S. & M. Uribe (2009)
Managed Floats to Damp Shocks like 1982-5 and 2006-9: Field and Laboratory Evidence for Chinese Interest in a Single World Currency
Pope, R., R. Selten, S. Kube & J. von Hagen (2009)
The hysteresis of currency substitution: Currency risk vs. network externalities
Valev, N.T. (2010)
Expectations and Exchange Rate Dynamics
Dornbusch, R. (1976)
Abstract: The paper develops a theory of exchange rate movements under perfect capital mobility, a slow adjustment of goods markets relative to asset markets, and consistent expectations. The perfect foresight path is derived and it is shown that along that path a monetary expansion causes the exchange rate to depreciate. An initial overshooting of exchange rates causes is shown to derive from the differential adjustment speed of markets. The magnitude and persistence of the overshooting is developed in terms of the structural parameters of the model. To the extent that output responds to a monetary expansion in the short run, this acts as a dampening effect on exchange rate depreciation and may, in fact, lead to an increase in interest rates.
A Theory of Exchange Rate Determination
Stockman, A.C. (1980)
Abstract: This paper develops an equilibrium model of the determination of exchange rates and prices of goods. Changes in relative prices of goods, due to supply or demand shifts, induce changes in exchange rates and deviations from purchasing power parity. These changes may create a correlation between the exchange rate and the terms of trade, but this correlation cannot be exploited by the government to affect the terms of trade by foreign exchange market operations.
Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?
Meese, R. & K. Rogoff (1983)
Abstract: This study compares the out-of-sample forecasting accuracy of various structural and time series exchange rate models. We find that a random walk model performs as well as any estimated model at one to twelve month horizons for dollar/pound, dollar/mark, dollar/yen and trade-weighted dollar exchange rates. The candidate structural models include the flexible price (Frenkel-Bilson) and sticky-price (Dornbusch-Frankel) monetary models, and a sticky-price model which incorporates the current account (Hooper-Morton). The structural models perform poorly despite the fact that we base their forecasts on actual realized values of future explanatory variables.
Rational Expectations and Exchange Rate Dynamics
Wickens, M.R. (1984)
Abstract: Dornbusch's overshooting model of the exchange rate has proved a very influential alternative to the monetary model. The original Dornbusch model was specified in continuous time and assumed perfect foresight. It also imposed the restriction of a sticky price level which does not respond instantaneously to new information. While convenient for analytic purposes, this particular model is less suitable for empirical analysis in which the data are aggregated over time and expectations are not formed perfectly. This paper presents a discrete time, rational expectations version of the Dornbusch model in which the price level is permitted to respond immediately, but not necessarily fully, to new information. The resulting dynamic behaviour of the exchange rate is analysed and interpreted. The conditions under which exchange rate overshooting occurs are derived and the effect of pre-announced policy changes are studied. Although the main purpose of the paper is expositional, an interesting feature of the results is that price stickyness is shown to be neither a necessary nor a sufficient condition for a change in monetary policy to bring about exchange rate overshooting.
The Equilibrium Approach to Exchange Rates
Stockman, A.C. (1987)
Abstract: The disequilibrium theory of exchange rates has come under increasing criticism in recent years. It conflicts with available evidence and an alternative equilibrium theory based on simple economic principles has been developed. The new theory has completely different implications and policy prescriptions from the earlier theory, which underlies most current public policy discussions. This article summarizes the basic elements of the equilibrium approach to exchange rate behavior and the evidence that conflicts with the older disequilibrium theory. It argues that the equilibrium approach to exchange rates is in better accord with this evidence. It concludes with a discussion of the implications of the equilibrium approach to exchange rates for economic policies.
Risk and Exchange Rates
Obstfeld, M. & K. Rogoff (2000)
Abstract: The model we propose in this paper extends the “new open-economy macroeconomics” framework of Obstfeld and Rogoff (1995, 1996), Corsetti and Pesenti (1998), and others to an explicitly stochastic environment. We analyze a sticky-price monetary model in which risk has an impact not only on asset prices and short-term interest rates, but also on the price-setting decisions of individual producers, and thus on expected output and interna-tional trade flows.
Price Discovery in Multiple-Dealer Markets: The Case of the Interbank Foreign Exchange Market
Williams, K.L. (2000)
FX Trading & Exchange Rate Dynamics
Evans, M.D.D. (2001)
The Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure Variables
Gradojevic, N. & Y. Jing (2001)
Implicit Band within the Announced Exchange Rate Band
Koren, M. (2001)
Chaos and the Exchange Rate
Federici, D. & G. Gandolfo (2001)
High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models
Alizadeh, S., M.W. Brandt & F.X. Diebold (2001)
Easy Money through the Back Door: The Markets vs. the ECB | Alternative
Bibow, J. (2001)
The Adjustment of Prices and the Adjustment of the Exchange Rate
Engel, C. & J. Morley (2001)
Currency Substitution and the Demand for Money: Some Evidence for Canada
Bordo, M.D. & E.U. Choudhri (2001)
Technical Analysis in Foreign Exchange Markets: Linear Versus Nonlinear Trading Rules
Fernández-Rodríguez, F., S. Sosvilla-Rivero and J. Andrada-Félix (2001)
On the Variation of Hedging Decisions in Daily Currency Risk Management
Bos, C.S., R.J. Mahieu & H.K. van Dijk (2001)
Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, C.S., R.J. Mahieu & H.K. van Dijk (2001)
Learning Dynamics in an Artificial Currency Market
Georges, C. (2001)
Abstract: This paper considers the behavior of the exchange rate in a very simple artificial currency market with two currencies and artificial agents who evolve their forecast rules over time via a genetic algorithm. I consider two simple forecast rules, one linear and the other non-linear. Under the first rule, learning tends to be rapid and complete. Under the second, learning can generate persistent exchange rate dynamics.
The Multi-Fractal Model of Asset Returns: Simple Moment and GMM Estimation
Lux, T. (2001)
Modelling exchange rates: smooth transitions, neural networks, and linear models
Medeiros, M.C., A. Veiga & C.E. Pedreira (2001)
Rational Speculation and Exchange Rates | Published | Comment
Duarte, M. & A.C. Stockman (2001)
Current Accounts and Exchange Rates: A New Look at the Evidence
Leonard, G. & A.C. Stockman (2001)
Portfolio Balance, Price Impact, and Secret Intervention
Evans, M.D.D. & R.K. Lyons (2001)
Why Has the Euro Been Falling? An Investigation into the Determinants of the Exchange Rate
Sinn, H.W. & F. Westermann (2001)
Abstract: This paper reconsiders the determinants of the exchange rate by studying the historical episode after the fall of the Iron Curtain. Testing a modified portfolio balance model, we attribute the strength of the deutschmark in the early nineties and the puzzling decline of the euro during its virtual existence to changes in the demand for deutschmarks in eastern Europe and to variations in the demand for black money balances in Europe as a whole. We reject the view that the strength of the dollar and the weakness of the euro reflect the prosperity of the US and the weakness of the European economy on both theoretical and empirical grounds.
Heterogeneous Expectations, Currency Options and the Euro/Dollar Exchange Rate
Rzepkowski, B. (2001)
Currency orders and exchange-rate dynamics: explaining the success of technical analysis
Osler, C.L. (2001)
Tracking the euro
Koen, V., L. Boone, A. de Serres & N. Fuchs (2001)
Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity
Luger, R. (2001)
Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula | Published
Patton, A.J. (2001/06)
FX trading and Exchange Rate Dynamics
Evans, M. (2001)
To What Extent Does Productivity Drive the Dollar?
Tille, C., N. Stoffels & O. Gorbachev (2001)
Abstract: The continuing strength of the dollar has fueled interest in the relationship between productivity and exchange rates. An analysis of the link between the dollar’s movements and productivity developments in the United States, Japan, and the euro area suggests that productivity can account for much of the change in the external value of the dollar over the past three decades.
Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets
Brandt, M.W. & P. Santa-Clara (2001)
Abstract: We present an econometric method for estimating the parameters of a diffusion model from discretely sampled data. The estimator is transparent, adaptive, and inherits the asymptotic properties of the generally unattainable maximum likelihood estimator. We use this method to estimate a new continuous-time model of the Joint dynamics of interest rates in two countries and the exchange rate between the two currencies. The model allows financial markets to be incomplete and specifies the degree of incompleteness as a stochastic process. Our empirical results offer several new insights into the dynamics of exchange rates.
Structural Error Correction Models: Instrumental Variables Methods and Application to an Exchange Rate Model
Kim, J., M. Ogaki & M.S. Yang (2001)
The Adjustment of Prices and the Adjustment of the Exchange Rate
Engel, C. & J.C. Morley (2001)
Why Has the Euro Been So Weak?
Meredith, G.M. (2001)
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond
Clarida, R., L. Sarno, M. Taylor & G. Valente (2001)
Can Markov switching models predict excess foreign exchange returns?
Dueker, M. & C.J. Neely (2001)
UIP for Short Investments in Long-Term Bonds
Alexius, A. (2001)
Daily exchange rate behaviour and hedging of currency risk
Bos, C.S., R.J. Mahieu & H.K. Van Dijk (2001)
Neural networks as econometric tool
Kaashoek, J.F. & H.K. Van Dijk (2001)
Exchange Rate Forecasting: The Errors We've Really Made | Published
Faust, J., J.H. Rogers & J. Wright (2001/2003)
Why is it so difficult to beat the random walk forecast of exchange rates?
Kilian, L. & M.P. Taylor (2001)
Heterogeneous Beliefs and Instability
Lasselle, L., S. Svizzero & C. Tisdell (2001)
Abstract: While Rational Expectations have dominated the paradigm of expectations formation, they have been more recently challenged on the empirical ground such as, for instance, in the dynamics of the exchange rate. This challenge has led to the introduction of heterogeneous expectations in economic modeling. More specifically, the forecasts of the market participants have been drawn from competing views. Two behaviours are usually considered: agents are either fundamentalist or chartist. Moreover, the possibility of switching from one behaviour to the other one is also assumed. In a simple cobweb model, we study the dynamics associated with different endogenous switching process based on the path of prices. We provide an example with an asymmetric endogenous switching process built on the dynamics of past prices. This example confirms the widespread belief that fundamentalist market behaviour as compared with that of chartist tends to promote market stability.
Predicting exchange rate volatility genetic programming vs. GARCH and RiskMetrics
Neely, C.J. & P.A. Weller (2001)
The Forward Premium Puzzle Revisited
Meredith, G.M. & Y. Ma (2002)
Commodity Currencies and Empirical Exchange Rate Puzzles
Chen, Y.C. & K. Rogoff (2002)
Productivity and the Euro-Dollar Exchange Rate Puzzle
Alquist, R. & M.D. Chinn (2002)
Exchange Rate Pass-Through, Exchange Rate Volatility, and Exchange Rate Disconnect
Devereux, M.B. & C. Engel (2002)
Abstract: This paper explores the hypothesis that high volatility of real and nominal exchange rates may be due to the fact that local currency pricing eliminates the pass-through from changes in exchange rates to consumer prices. Exchange rates may be highly volatile because in a sense they have little effect on macroeconomic variables. The paper shows the ingredients necessary to construct such an explanation for exchange rate volatility. In addition to the presence of local currency pricing, we need a) incomplete international financial markets, b) a structure of international pricing and product distribution such that wealth effects of exchange rate changes are minimized, and c) stochastic deviations from uncovered interest rate parity. Together, it is shown that these elements can produce exchange rate volatility that is much higher than shocks to economic fundamentals, and `disconnected' from the rest of the economy in the sense that the volatility of all other macroeconomic aggregates are of the same order as that of fundamentals.
Dornbusch's Overshooting Model After Twenty-Five Years
Rogoff, K. (2002)
Abstract: This Mundell Fleming lecture at the International Monetary Fund's annual research conference marks the 25th anniversary of Rudiger Dornbusch's masterpiece, "Expectations and Exchange Rate Dynamics", a seminal contribution to both policy and research in the field of international finance. This essay provides a simple overview of the model as well as some empirics, not only on exchange rates but on measures of the paper's influence. Last, but not least, I offer some personal reflections on how Dornbusch conveyed the ideas in his "overshooting model" to inspire a generation of students.
Non-Linear Forecasting Methods: Some Applications to the Analysis of Financial Series
Bajo-Rubio, O., S. Sosvilla-Rivero & F. Fernández-Rodríguez (2002)
Foreign exchange: macro puzzles, micro tools
SURVEY PAPER
Lyons, R.K. (2002)
Exchange Rate Modelling: Where Do We Stand? | Published
SURVEY PAPERS
CESifo Summer Institute (2002/2005)
Abstract: Proceedings of a CESIfo Summer Institute Workshop held at the Venice International University, San Servolo, 13-14 July, 2002.
Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals
Froot, K.A. & T. Ramadorai (2002)
The Cross Sectional Dependence Puzzle
Cerrato, M. (2002)
The Euro-Dollar exchange rate: Is it fundamental?
Camarero, M., J. Ordóñez & C. Tamarit (2002)
Return-volatility linkages in the international equity and currency markets
Francis, B.B., I. Hasan & D.M. Hunter (2002)
Exchange Rates and Adjustment: Perspectives from the New Open Economy Macroeconomics
Obstfeld, M. (2002)
Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive? | Published
Cheung, Y.W., M.D. Chinn & A.G. Pascual (2002/2005)
Abstract: Previous assessments of nominal exchange rate determination have focused upon a narrow set of models typically of the 1970's vintage. The canonical papers in this literature are by Meese and Rogoff (1983, 1988), who examined monetary and portfolio balance models. Succeeding works by Mark (1995) and Chinn and Meese (1995) focused on similar models. In this paper we re-assess exchange rate prediction using a wider set of models that have been proposed in the last decade: interest rate parity, productivity based models, and behavioral equilibrium exchange rate' models. The performance of these models is compared against a benchmark model the Dornbusch-Frankel sticky price monetary model. The models are estimated in error correction and first-difference specifications. Rather than estimating the cointegrating vector over the entire sample and treating it as part of the ex ante information set as is commonly done in the literature, we recursively update the cointegrating vector, thereby generating true ex ante forecasts. We examine model performance at various forecast horizons (1 quarter, 4 quarters, 20 quarters) using differing metrics (mean squared error, direction of change), as well as the consistency' test of Cheung and Chinn (1998). No model consistently outperforms a random walk, by a mean squared error measure; however, along a direction-of-change dimension, certain structural models do outperform a random walk with statistical significance. Moreover, one finds that these forecasts are cointegrated with the actual values of exchange rates, although in a large number of cases, the elasticity of the forecasts with respect to the actual values is different from unity. Overall, model/specification/currency combinations that work well in one period will not necessarily work well in another period.
Classroom Guide to the Equilibrium Exchange Rate Model
Da Silva, S. (2002)
The Dornbusch Model with Chaos and Foreign Exchange Intervention
Da Silva, S. (2002)
Understanding Bilateral Exchange Rate Volatility
Devereux, M.B. and P.R. Lane (2002)
Keynes, Cocoa, and Copper: In Search of Commodity Currencies
Cashin, P.A., L. Cespedes & R. Sahay (2003)
Explaining the Exchange Rate Pass-Through in Different Prices
Choudhri, E.U., H. Faruqee & D. Hakura (2003)
How is Macro News Transmitted to Exchange Rates? | Published
Evans, M.D.D. & R.K. Lyons (2003/08)
Forward Discount Bias, Nalebuff's Envelope Puzzle, and the Siegel Paradox in Foreign Exchange
Edlin, A.S. (2003)
A Fundamental Theory of Exchange Rates and Direct Currency Trades | Published
Head, A. & S. Shi (2003)
Testing the Informational Efficiency of OTC Options on Emerging Market Currencies
Chan-Lau, J. & A. Morales (2003)
Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle? | Published
van Wincoop, E. & P. Bacchetta (2003/06)
Medium-Term Exchange Rate Forecasting: What Can We Expect?
Meredith, G. (2003)
Uncovered interest parity: it works, but not for long | Published
Chaboud, A.P. & J.H. Wright (2003/2005)
Exchange rate determination in a model of pricing-to-market and nontradeables
Hairault, J.O. & T. Sopraseuth (2003)
Is Grassman's Law Still There? The Empirical Range of Pass-Through in US, German and Japanese Macrodata
Mihailov, A. (2003)
Overshooting and the exchange rate disconnect puzzle: a reappraisal | Published
Hairault, J.O., L. Patureau, Lise & T. Sopraseuth (2003/04)
Chartists and Fundamentalists in the Currency Market and the Volatility of Exchange Rates
Bask, M. (2003)
Technical Analysis in Foreign Exchange - The Workhorse Gains Further Ground
Gehrig, T. & L. Menkhoff (2003)
More Evidence on the Dollar Risk Premium in the Foreign Exchange Market
Bams, D., K. Walkowiak &l; C. Wolff (2003)
Why is it so difficult to beat the random walk forecast of exchange rates?
Kilian, L. & M.P. Taylor (2003)
Commodity currencies
Chen, Y.C. and K. Rogoff (2003)
Nonlinear Exchange Rate Models: A Selective Overview
Words, Deeds, and Outcomes: A Survey on the Growth Effects of Exchange Rate Regimes
SURVEY PAPER
Sarno, L. (2003)
Trade Liberalization and Real Exchange Rate Movement
Li, X. (2003)
Does the Purchasing Power Parity Hold in Emerging Markets? Evidence from Black Market Exchange Rates
Cerrato, M. & N. Sarantis (2003)
Noise Traders and the Volatility of Exchange Rates
Bauer, C. & B. Herz (2003)
Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates
Leon, H.L. & S. Najarian (2003)
Tough Policies, Incredible Policies?
Velasco, A. & A. Neut (2003)
Official Interventions and Occasional Violations of Uncovered Interest Party
Mark, N. & Y-K. Moh (2003)
Exchange rate dynamics, central bank interventions and chaos control methods | Published
Westerhoff, F. & C. Wieland (2003)
Investment Prices and Exchange Rates: Some Basic Facts | Alternative
Burstein, A., J. Neves & S. Rebelo (2003)
Abstract: This paper documents four basic facts about investment goods and investment prices. First, investment has a very signiÞcant nontradable component in the form of construction services. Second, distributions services (wholesaling, retailing and transportation) are much less importance for investment than for consumption. Third, the import content of investment is much larger than that of consumption. Finally, in the aftermath of three large devaluations the rate of exchange rate pass-through is, not surprisingly, highest for imported equipment and lowest for construction services.
Exchange Rate Puzzles and Distorted Beliefs | Published
Gourinchas, P.O. & A. Tornell (2003)
Time-Varying Thresholds: An Application to Purchasing Power Parity
Leon, H.L. & S. Najarian (2003)
Can We Beat the Random Walk Forecasts of Out-of-Sample Exchange Rates? A Structural Approach
Karame, F., L. Patureau & T. Sopraseuth (2003)
The Big Mac Standard: A Statistical Illustration
Fujiki, H. & Y. Kitamura (2003)
The high-frequency response of exchange rates and interest rates to macroeconomic announcements | Published
Faust, J., J.H. Rogers, S-Y.B. Wang & J.H. Wright (2003/07)
Imperfect Knowledge and Asset Price Dynamics: Modeling the Forecasting of Rational Agents, Dynamic Prospect Theory and Uncertainty Premia on Foreign Exchange
Frydman, R. & M.D. Goldberg (2003)
Do Fundamentals Matter for the D-Mark/Euro-Dollar? A Regime Switching Approach
Frömmel, M., R. MacDonald & L. Menkhoff (2003)
A Theory of Exchange Rates and the Term Structure of Interest Rates
Lim, H-S. & M. Ogaki (2003)
Net Foreign Assets and Imperfect Pass-through: The Consumption-Real Exchange Rate Anomaly
Tuesta, T. & J. Selaive (2003)
Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists
Westerhoff, F.H. & S. Reitz (2003)
In search of overshooting and bandwagons in exchange rates
Pippenger, J. (2003)
Bandwagon effects and run patterns in exchange rates once more
Rotheli, T.F. (2003)
High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market
Tyurin, K. (2003)
Real Exchange Rate Misalignments
Terra, M.C.T. & F.E.C. Valladares (2003)
An Intraday Pricing Model of Foreign Exchange Markets
Romeu, R. (2003)
Exploring Elements of Exchange Rate Theory in a Controlled Enivronment
Fisher, E. (2003)
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
Andersen, T.G., T. Bollerslev & F.X. Diebold (2003)
Abstract: A rapidly growing literature has documented important improvements in volatility measurement and forecasting performance through the use of realized volatilities constructed from highfrequency returns coupled with relatively simple reduced-form time series modeling procedures. Building on recent theoretical results from Barndorff-Nielsen and Shephard (2003c,d) for related bipower variation measures involving the sum of high-frequency absolute returns, the present paper provides a practical framework for non-parametrically measuring the jump component in realized volatility measurements. Exploiting these ideas for a decade of high-frequency five-minute returns for the DM/$ exchange rate, the S&P500 market index, and the 30-year U.S. Treasury bond yield, we find the jump component of the price process to be distinctly less persistent than the continuous sample path component. Explicitly including the jump measure as an additional explanatory variable in an easy-toimplement reduced form model for realized volatility results in highly significant jump coefficient estimates at the daily, weekly and quarterly forecast horizons. As such, our results hold promise for improved financial asset allocation, risk management, and derivatives pricing, by separate modeling, forecasting and pricing of the continuous and jump components of total return variability.
Exchange rates and fundamentals | Alternative
Engel, C. & K.D. West (2003, 2004)
Are Different-Currency Assets Imperfect Substitutes?
Evans, M.D.D. & R.K. Lyons (2003)
Unit Root Tests in Three-Regime SETAR Models
Kapetanios, G. & Y. Shin (2003)
What Do We Know about Recent Exchange Rate Models? In-Sample Fit and Out-of-Sample Performance Evaluated
Cheung, Y-W., M.D. Chinn & A. Garcia-Pascual (2003)
A Scapegoat Model of Exchange Rate Fluctuations | Published
Bacchetta, P. & E. van Wincoop (2004)
Abstract: While empirical evidence finds only a weak relationship between nominal exchange rates and macroeconomic fundamentals, forex markets participants often attribute exchange rate movements to a macroeconomic variable. The variables that matter, however, appear to change over time and some variable is typically taken as a scapegoat. For example, the current dollar weakness appears to be caused almost exclusively by the large current account de cit, while its previous strength was explained mainly by growth differentials. In this paper, we propose an explanation of this phenomenon in a simple monetary model of the exchange rate with noisy rational expectations, where investors have heterogeneous information on some structural parameter of the economy. In this context, there may be rational confusion about the true source of exchange rate fluctuations, so that if an unobservable variable affects the exchange rate, investors may attribute this movement to some current macroeconomic fundamental. We show that this effect applies only to variables with large imbalances. The model thus implies that the impact of macroeconomic variables on the exchange rate changes over time.
Order Flows, Delta Hedging and Exchange Rate Dynamics
Rzepkowski, B. (2004)
Accounting for Exchange Rate Variability in Present-Value Models When the Discount Factor is Near One | Published
Engel, C. & K.D. West (2004)
Abstract: Nominal exchange rates in low-inflation advanced countries are nearly random walks. Engel and West (2003a) offer an explanation for this in the context of models in which the exchange rate is determined as the discounted sum of current and expected future fundamentals. Engel and West show that if the fundamentals are I(1), then as the discount factor approaches one, the exchange rate becomes indistinguishable from a random walk. An alternative explanation for the random-walk behavior of exchange rates is that there are some unobserved variables that drive exchange rates that follow near random walks. This paper takes the approach that both explanations are possible. We are able to measure how much of exchange-rate variation could be accounted for by the Engel-West explanation, despite the fact that we do not observe the information set of financial markets. We find that the observable fundamentals (money, income, prices, interest rates) may account for about 40 percent of the variance of changes in exchange rates under the assumption of discount factors near unity.
Who Bears the Cost of a Change in the Exchange Rate? The Case of Imported Beer | Published
Hellerstein, R. (2004/08)
A New Micro Model of Exchange Rate Dynamics
Evans, M.D.D. & R.K. Lyons (2004)
Exchange rates and interest rates: can term structure models explain currency movements?
Inci, A.C. & B. Lu (2004)
Can Fluctuations in the Consumption-Wealth Ratio Help to Predict Exchange Rates?
Selaive, J. & V. Tuesta (2004)
Exchange Rate Dynamics: Where is the Saddle Path?
Cheung, Y-W., J. Gardeazabal & J. Vazquez (2004)
The Forward Premium Puzzle in a Model of Imperfect Information: Theory and Evidence
Albuquerque, R. (2004)
Measuring Tail Thickness under GARCH and an Application to Extremal Exchange Rate Changes
Wagner, N. & T. Marsh (2004)
International Capital Markets and Foreign Exchange Risk
Brennan, M. & Y. Xia (2004)
Identification and estimation of exchange rate models with unobservable fundamentals | Published
Chambers, M.J. & J.R. McCrorie (2004/06)
Does the World Real Interest Rate Affect the Real Exchange Rate? The South East Asian Experience
Gente, K. & M. Leon-Ledesma (2004)
Foreign exchange exposure of exporting and importing firms
Pritamani, M.D., D.K. Shome & V. Singal (2004)
Exchange Rate Puzzles: A Tale of Switching Attractors | Published
De Grauwe, P. & M. Grimaldi (2004/05)
Productivity, Tradability, and the Long-Run Price Puzzle
Bergin, P., R. Glick & A.M. Taylor (2004)
From Heterogeneous expectations to exchange rate dynamics
Neuberg, L., P. Protin & C. Louargant (2004)
Testing the monetary model of exchange rate determination: a closer look at panels
Rapach, D.E. & M.E. Wohar (2004)
Volatility Comovement: A Multifrquency Approach
Calvet, L.E., A.J. Fisher & S.B. Thompson (2004)
Fractional cointegration and real exchange rates
Caporale, G.M. & L.A. Gil-Alana (2004)
Markov Switching Regimes In A Monetary Exchange Rate Model | Published
Froemmel, M., R. Macdonald & L. Menkhoff (2004/2005)
Exchange Rate Behavior and Exchange Rate Puzzles: Why the XVIII Century Might Help
Sanchez, R.T., J.G. Biscarri & F.P. de Gracia (2004)
Currency risk in emerging equity markets
Phylaktis, K. & F. Ravazzolo (2004)
Modelling Exchange Rate Volatility in the Run-up to EMU using a Markov Switching GARCH Model
Frommel, M. (2004)
Monetary Policy and Long-Horizon Uncovered Interest Parity
Chinn, M.D. & G. Meredith (2004)
Exchange Rates and Markov Switching Dynamics
Cheung, Y-W. & U.G. Erlandsson (2004)
Trade Openness And Real Exchange Rate Volatility: Panel Data Evidence
Calderon, C. (2004)
A Guided Tour of the Market Microstructure Approach to Exchange Rate Determination | Published
SURVEY PAPER
Vitale, P. (2004/07)
Should the Exchange Rate be in the Monetary Policy Objective Function?
Kirsonova, T., C. Leith & S. Wren-Lewis (2004)
The Rise of Fund Managers in Foreign Exchange
Gehrig, T. & L. Menkhoff (2004)
The Fit of Dynamic Equilibrium Models of Exchange Rate
Martín, J.A.J. & R.F. de Frutos (2004)
An Empirical Study of Liquidity and Information Effects of Order Flow on Exchange Rates
Breedon, F. & P. Vitale (2004)
Risk management for an internationally diversified portfolio
Menoncin, F. (2004)
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets | Published
Andersen, T.G., T. Bollerslev, F.X. Diebold & C. Vega (2004/07)
Limited participation and exchange rate dynamics : does theory meet the data? | Published
Karame, F., L. Patureau & T. Sopraseuth (2004/08)
Do Currency Markets Absorb News Quickly? | Published
Evans, M.D.D. & R.K. Lyons (2005)
Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting | Alternative
Evans, M.D.D. & R.K. Lyons (2005)
Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era
Chinn, M.D. & G. Meredith (2005)
Testing Long-Horizon Predictive Ability with High Persistence, and the Meese-Rogoff Puzzle
Rossi, B. (2005)
Do Financial Market Variables Show (Symmetric) Indicator Properties Relative to Exchange Rate Returns?
Castren, O. (2005)
Dealer behavior and trading systems in foreign exchange markets
Bjønnes, G.H. & D. Rime (2005)
The U.S. Current Account and the Dollar
Blanchard, O., F. Giavazzi & F. Sa (2005)
Liquidity provision in the overnight foreign exchange market
Bjønnes, G.H., D. Rime & H.O.Aa. Solheim (2005)
Exchange rates and fundamentals: new evidence from real-time data
Ehrmann, M. & M. Fratzscher (2005)
Slow Passthrough Around the World: A New Import for Developing Countries?
Frankel, J.A., D.C. Parsley & S-J. Wei (2005)
Fundamental and Non-Fundamental Equilibria in the Foreign Exchange Market: A Behavioural Finance Framework
de Grauwe, P., R. Dieci & M. Grimaldi (2005)
Heterogeneity of agents, transactions costs and the exchange rate
De Grauwe, P. & M. Grimaldi (2005)
Abstract: We develop a model of the exchange rate that has two features. First, there are non-linearities that arise from the existence of transaction costs in goods markets. Second, the model assumes heterogeneous agents who use simple forecasting rules, the ‘fitness’ of which is then controlled ex post by checking their profitability, and by switching to the more profitable rules. This model is capable of reproducing the empirical puzzles observed in exchange markets (disconnect puzzle, excess volatility, fat tails, volatility clustering). We analyse some policy implications of this type of modelling of the exchange rate.
Market microstructure: A survey of microfoundations, empirical results, and policy implications
SURVEY PAPER
Biais, B., L. Glosten & C. Spatt (2005)
Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change
Hau, H., M. Massa & J. Peress (2005)
Exchange rates and fundamentals: evidence on the economic value of predictability
Abhyankar, A., L. Sarno & G. Valente (2005)
The impact of macroeconomic surprises on spot and forward foreign exchange markets
Simpson, M.W., S. Ramchander & M. Chaudhry (2005)
The Exchange Rate and its Fundamentals in a Complex World
De Grauwe, P. & M. Grimaldi (2005)
The euro at five: Short-run pain, long-run gain?
Rogoff, K. (2005)
The euro and the dollar 6 years after creation
Mussa, M. (2005)
The euro–dollar exchange rate defies prediction
Salvatore, S. (2005)
Regime-Switching Behavior of the Term Structure of Forward Markets
Tchernykh, E. & W.H. Branson (2005)
Smooth-transition error-correction in exchange rates
McMillan D.G. (2005)
Feedback trading and autocorrelation interactions in the foreign exchange market: Further evidence
Laopodis, N.T. (2005)
Noise trading and delayed exchange rate overshooting
Pierdzioch, C. (2005)
Rational Inattention: A Solution to the Forward Discount Puzzle
Bacchetta, P. & E. van Wincoop (2005)
Modeling Exchange-Rate Passthrough After Large Devaluations |
Published
Burstein, A., M. & S. Rebelo (2005/07)
The Exchange Rate Forecasting Puzzle
Vitek, F. (2005)
Revisiting the Martingale hypothesis for exchange rates
Lee, Y-S., T-H. Kim & P. Newbold (2005)
Understanding Order Flow
Evans, M.D.D. & R.K. Lyons (2005)
Stock prices and exchange rate dynamics
Phylaktis, K. and Ravazzolo, F. (2005)
What Defines 'News' in Foreign Exchange Markets?
Dominguez, K. & F. Panthaki (2005)
Explaining exchange rate dynamics - the uncovered equity return parity condition
Cappiello, L., E. Krylova & R.A. De Santis (2005)
Monetary policy and the illusionary exchange rate puzzle
Bjørnland, H.C. (2005)
Foreign Exchange Market Microstructure
Evans, M.D.D. (2005)
Arbitrage in the foreign exchange market: Turning on the microscope | Published
Akram, Q.F., D. Rime & L. Sarno (2005/08)
Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution
Lustig, H. & A. Verdelhan (2005)
New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market
Nikolaou, K. & L. Sarno (2005)
Non-Linearities in the Relation between the Exchange Rate and its Fundamentals
Altavilla, C. & P. De Grauwe (2005)
The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly
Boudoukh, J., M. Richardson & R. Whitelaw (2005)
Exchange Rate Pass-through into Import Prices
Campa, J.M. & L.S. Goldberg (2005)
A Note on the Foreign Exchange Market Efficiency Hypothesis: Does Small Sample Bias affect Inference?
Al-Zoubi, H.A. & E. Daal (2005)
A semiparametric GARCH model for foreign exchange volatility
Yang, L. (2006)
Time-varying risk, interest rates, and exchange rates in general equilibrium | Published
Alvarez, F., A. Atkeson & P.J. Kehoe (2006/09)
Uncovered Interest Parity
SURVEY PAPER
Isard, P. (2006)
A Market Microstructure Analysis of Foreign Exchange Intervention | Alternative
Vitale, P. (2006)
The Forward Exchange Rate Bias Puzzle: Evidence from New Cointegration Tests
Aggarwal, R., B.M. Lucey & S.K. Mohanty (2006)
Uncovering Yield Parity: A new insight into the UIP puzzle through the stationarity of long maturity forward rates
Darvas, Z., G. Rappai & Z. Schepp (2006)
Another look at long-horizon uncovered interest parity
Montañés, A. & M. Sanso-Navarro (2006)
The microstructure approach to exchange rates: a survey from a central bank’s viewpoint
SURVEY PAPER
Gereben, A., G. Gyomai & N. Kiss M. (2006)
Towards Decoding Currency Volatilities
Juttner, D.J. & W. Leung (2006)
Fundamental volatility is regime specific
Arnold, I.J.M., R. MacDonald & C.G. de Vries (2006)
Learning to Forecast the Exchange Rate: Two Competing Approaches
De Grauwe, P. & A. Markiewicz (2006)
Profits and Speculation in Intra-Day Foreign Exchange Trading | Published
Mende, A. & L. Menkhoff (2006)
A Habit-Based Explanation of the Exchange Rate Risk Premium
Verdelhan, A. (2006)
Exchange Rates and Order Flow in the Long Run
Boyer, M.M. & S. van Norden (2006)
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
Sarno, L., G. Valente & H.L. Leon (2006)
Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market
Lo, I. & S.G. Sapp (2006)
Regional heterogeneity in the relationship between fiscal imbalances and foreign exchange market pressure
Bird, G. & A. Mandilaras (2006)
On the short-term predictability of exchange rates: A BVAR time-varying parameters approach
Sarantis, N. (2006)
Why use Markov-switching models in exchange rate prediction?
Lee, H-Y. & S-L. Chen (2006)
Can Affine Term Structure Models Help Us Predict Exchange Rates?
Diez, A. (2006)
Forecasting and Combining Competing Models of Exchange Rate Determination
Altavilla, P. & P. De Grauwe (2006)
What drives volatility persistence in the foreign exchange market? | Published
Berger, D., A. Chaboud, E. Hjalmarsson & E. Howorka (2006/09)
Transmission of volatility and trading activity in the global interdealer foreign exchange market: evidence from electronic broking services (EBS) data
Cai, F., E. Howorka & J. Wongswan (2006)
Clustering and psychological barriers in exchange rates
Mitchell, J. & H.Y. Izan (2006)
The Returns to Currency Speculation
Burnside, B., M. Eichenbaum, I. Kleshchelski & S. Rebelo (2006)
The Forward Market in Emerging Currencies: Less Biased Than in Major Currencies | Published
Frankel, J. & J. Poonawala (2006/10)
Volatility impulse responses for multivariate GARCH models: An exchange rate illustration
Hafner, C.M. & H. Herwartz (2006)
Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment
Chinn, M.D. & R. Alquist (2006)
The interaction between technical currency trading and exchange rate fluctuations
Schulmeister, S. (2006)
Pass Through of Exchange Rates to Consumption Prices: What has Changed and Why?
Campa, J.M. & L.S. Goldberg (2006)
Accounting for the source of exchange rate movements: new evidence
Farrant, K. & G. Peersman (2006)
What Drives Heterogeneity in Foreign Exchange Rate Expectations: Deep Insights from a New Survey
Dreger, C. & G. Stadtmann (2006)
Affine term structure models for the foreign exchange risk premium
Benati, L. (2006)
Exchange rate volatility without the contrivance of fundamentals and the failure of PPP
Bask, M. (2006)
Announcement effects on exchange rate movements: continuity as a selection criterion among the REE
Bask, M. (2006)
Testing the uncovered interest parity using traded volatility, a time-varying risk premium and heterogeneous expectations
Sarantis, N. (2006)
Testing for multiple regimes in the tail behavior of emerging currency returns
Candelon, B. & S. Straetmans (2006)
Price Impacts of Deals and Predictability of the Exchange Rate Movements
Ito, T. & Y. Hashimoto (2006)
A Behavioral Finance Model of the Exchange Rate with Many Forecasting Rules
De Grauwe, P. & P.R. Kaltwasser (2006)
The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis
Menkhoff, L. & M.P. Taylor (2006)
On the trade impact of nominal exchange rate volatility
Tenreyro, S. (2006)
Production, trade, prices, exchange rates and equilibration in large experimental economies
Noussair, C., C. Plott & R. Riezman (2006)
On the inadequacy of newswire reports for empirical research on foreign exchange interventions
Fischer, A.M. (2006)
Exchange Rate Markets and Conservative Inferential Expectations
Menzies, G. & D. Zizzo (2006)
Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics | Published
Caporale, G.M. & M. Cerrato (2006/07)
Exchange rate pass-through to domestic prices: Does the inflationary environment matter?
Choudhri, E.U. & D.S. Hakura (2006)
Sentiment in foreign exchange markets: Hidden fundamentals by the back door or just noise?
Rebitzky, R.R. (2006)
Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: VAR Analysis of the Exchange Rate Pass-Through
Ito, T. & K. Sato (2006)
Trade integration, competition, and the decline in exchange-rate pass-through
Gust, C., S. Leduc & R.J. Vigfusson (2006)
Exchange Rate Pass-Through: Evidence Based on Vector Autoregression with Sign Restrictions
An, L. (2006)
Testing the Equilibrium Exchange Rate Model - Updated
Guilherme, M. & D.S. Sergio (2006)
Can Markov switching models predict excess foreign exchange returns?
Dueker, M. & C.J. Neely (2007)
The Overvaluation of Renminbi Undervaluation | Published
Cheung, Y-W., M.D. Chinn & E. Fujii (2007)
Random Walk Expectations and the Forward Discount Puzzle
Bacchetta, P. & E. van Wincoop (2007)
Evaluating An Estimated New Keynesian Small Open Economy Model | Published
Adolfson, M., S. Laséen, J. Lindé & M. Villani (2007/08)
Macroeconomic imbalances and exchange rate regime shifts
Post, E. (2007)
Testing PPP in the non-linear STAR framework
Bahmani-Oskooee, M., A.M. Kutan & S. Zhou (2007)
Industry Restructuring, Mark-ups, and Exchange Rate Pass-Through
Lapham, B. & D. Leung (2007)
A Yield Curve Perspective on Uncovered Interest Parity
Krippner, L. (2007)
Modeling foreign exchange rates with jumps
Maheu, J.M. & T.H. McCurdy (2007)
The Returns to Currency Speculation in Emerging Markets
Burnside, B., M. Eichenbaum & S. Rebelo (2007)
Home bias, exchange rate disconnect, and optimal exchange rate policy | Published
Wang , J. (2007/10)
Incomplete Cost Pass-Through Under Deep Habits
Ravn, M., S. Schmitt-Grohe & M. Uribe (2007)
Do Exchange Rates Move in Line With Uncovered Interest Parity?
Huisman, R., R.J. Mahieu & A. Mulder (2007)
The Forward Premium Puzzle: new evidence from futures contracts
Bernoth, K., J. von Hagen & C. de Vries (2007)
The exchange rate in a behavioral finance framework
Osler, C. (2007)
Forecasting exchange rate better with artificial neural network
Panda, C. & V. Narasimhan (2007)
Resolving the unbiasedness and forward premium puzzles
Thornton, D.L. (2007)
Abstract: There are two unresolved puzzles in the empirical foreign exchange literature. The first is the finding that tests of forward rate unbiasedness using the forward rate and forward premium equations yield markedly different conclusions. A companion puzzle?the forward premium puzzle?is the fact that the forward premium incorrectly predicts the direction of the subsequent change in the spot rate, which implies a massive rejection of uncovered interest parity. This paper resolves both puzzles.
Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform
Nolte, I. & S. Lechner (2007)
Modeling Optimism and Pessimism in the Foreign Exchange Market
De Grauwe, P. & P.R. Kaltwasser (2007)
Exchange rate forecasting, order flow and macroeconomic information | Published
Rime, D., L. Sarno & E. Sojli (2007/09)
The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Comment
Burnside, C. (2007)
A New Approach to Forecasting Exchange Rates
Clements, K.W. & Y. Lan (2007)
Irving Fisher, Expectational Errors, and the UIP Puzzle
Campbell, R., K. Koedijk, J.R. Lothian & R.J. Mahieu (2007)
Exchange Rate Fundamentals and Order Flow
Evans, M.D.D. & R.K. Lyons (2007)
A Resolution of the Forward Discount Puzzle
Olmo, J. & K. Pilbeam (2007)
The Importance of Interest Rate Volatility in Empirical Tests of Uncovered Interest Parity
Hadzi-Vaskov, M. & C. Kool (2007)
End-user order flow and exchange rate dynamics
Reitz, S., M. Schmidt & M.P. Taylor (2007)
A Saddlepoint Approximation to the Distribution of the Half-Life Estimator in an Autoregressive Model: New Insights Into the PPP Puzzle
Chen, Q. & D.E. Giles (2007)
Pricing to Firm: an Analysis of Firm- and Product-level Import Prices
Halpern, L. & M. Koren (2007)
Random Walk Expectations and the Forward Discount Puzzle
Bacchetta, P. & E. van Wincoop (2007)
Macroeconomic news and exchange rates
Pearce, D.K. & M.N. Solakoglu (2007)
Measuring Long-Run Exchange Rate Pass-Through
de Bandt, O., A. Banerjee & R. Kozluk (2007)
Economic Integration and the Foreign Exchange
Weber, E. (2007)
On the returns generating process and the profitability of trading rules in emerging capital markets
Hatgioannides, J. & S. Mesomeris (2007)
Linear and nonlinear exchange rate exposure
Priestley, R. & B.A. Ødegaard (2007)
Uncovered interest rate parity and the term structure
Bekaert, G., M. Wei & Y. Xing (2007)
Understanding the Forward Premium Puzzle: A Microstructure Approach
Burnside, C., M.S. Eichenbaum & S. Rebelo (2007)
Safe Haven Currencies
Soderlind, P. & A. Ranaldo (2007)
The Economics of Uncovered Interest Parity Condition for Emerging Markets: A Survey
Alper, C.E., O.P. Ardic & S. Fendoglu (2007)
Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options
Takahashi, A. & K. Takehara (2007)
Exchange Rate Models Are Not as Bad as You Think
Engel, C., N.C. Mark & K.D. West (2007)
Uncovered interest parity at distant horizons: evidence on emerging economies & nonlinearities
Mehl, A. & L. Cappiello (2007)
Currency and credit markets
Bilsona, J.F.O. & D. Cernauskas (2007)
Specifying the Forecast Generating Process for Exchange Rate Survey Forecasts
Cohen, R.H. & C. Bonham (2007)
Is Sterilized Intervention Effective? New International Evidence
Siklos, P.L. & D.N. Weymark (2007)
International Investment Positions and Exchange Rate Dynamics: A Dynamic Panel Analysis
Binder, M. & C. Offermanns (2007)
Aggregate Trading Behavior of Technical Models and the Yen/Dollar Exchange Rate
Schulmeister, S. (2007)
What can the data tell us about carry trades in Japanese yen?
Gagnon, J.E. & A.P. Chaboud (2007)
Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution
Kiliç, R. (2007)
Which Are the World's Wobblier Currencies? Reference Exchange Rates and Their Variation
Bowden, R.J. & J.Z. Zhu (2007)
Financial Exchange Rates and International Currency Exposures
Lane, P. & J.C. Shambaugh (2007)
The uncovered return parity condition
Cappiello, L. & R.A. De Santis (2007)
Exchange rate pass-through to export prices: assessing some cross-country evidence | Published
Vigfusson, R.J., N. Sheets & J. Gagnon (2007/09)
Testing Uncovered Interest Parity: A Continuous-Time Approach
Diez de los Rios, A. & E. Sentana (2007)
Solving Exchange Rate Puzzles with neither Sticky Prices nor Trade Costs
Roche, M.J. & M.J. Moore (2007)
Professional forecasts of interest rates and exchange rates: Evidence from the Wall Street Journal’s panel of economists
Mitchell, K. & D.K. Pearce (2007)
Optimal Informed Trading in the Foreign Exchange Market
Vitale, P. (2007)
Where Does Price Discovery Occur in FX Markets?
D'Souza, C. (2007)
Using a New Open Economy Macroeconomics model to make real nominal exchange rate forecasts
Sellin, P. (2007)
The timing and magnitude of exchange rate overshooting
Hoffmann, M., J. Sondergaard & N.J. Westelius (2007)
A monetary model of the exchange rate with informational frictions
Martinez-Garcia, E. (2007)
Exchange rate volatility, macro announcements and the choice of intraday seasonality filtering method
Laakkonen, H. (2007)
Exchange Rate Volatility and Reserves Transparency
Cady, J. & J. Gonzalez-Garcia (2007)
Investor Overconfidence and the Forward Discount Puzzle
Han, B., D. Hirshleifer & T. Wang (2008)
An Economic Evaluation of Empirical Exchange Rate Models
Della Corte, P., L. Sarno & I. Tsiakas (2008)
Note on The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk
Lustig, H. & A. Verdelhan (2008)
Rare Disasters and Exchange Rates
Farhi, E. & X. Gabaix (2008)
Abstract: We propose a new model of exchange rates, which yields a theory of the forward premium puzzle. Our explanation combines two ingredients: the possibility of rare economic disasters, and an asset view of the exchange rate. Our model is frictionless, has complete markets, and works for an arbitrary number of countries. In the model, rare worldwide disasters can occur and affect each country's productivity. Each country's exposure to disaster risk varies over time according to a mean-reverting process. Risky countries command high risk premia: they feature a depreciated exchange rate and a high interest rate. As their risk premium mean reverts, their exchange rate appreciates. Therefore, currencies of high interest rate countries appreciate on average. To make the notion of disaster risk more implementable, we show how options prices might in principle uncover latent disaster risk, and help forecast exchange rate movements. We then extend the framework to incorporate two factors: a disaster risk factor, and a business cycle factor. We calibrate the model and obtain quantitatively realistic values for the volatility of the exchange rate, the forward premium puzzle regression coefficients, and near-random walk exchange rate dynamics. Finally, we solve a model of stock markets across countries, which yields a series of predictions about the joint behavior of exchange rates, bonds, options and stocks across countries. The evidence from the options market appears to be supportive of the model.
Dispersion of Beliefs in the Foreign Exchange Market
Jongen, R., W.F.C. Verschoor, C.C. Wolff & R.C.J. Zwinkels (2008)
Microstructure Noise, Realized Variance, and Optimal Sampling
Bandi, F.M. & J.R. Russell (2008)
Does FOMC News Increase Global FX Trading?
Fischer, A.M. & A. Ranaldo (2008)
The Monetary Model Strikes Back: Evidence from the World
Cerra, V. & S.C. Saxena (2008)
Expectations and chaotic dynamics: Empirical evidence on exchange rates
Resende, M. & R.M. Zeidan (2008)
Can Exchange Rates Forecast Commodity Prices?
Chen, Y-C., K. Rogoff & B. Rossi (2008)
Circular Aspects of Exchange Rates and Market Structure
Aksoy, Y. & H. Lustig (2008)
A new look at pass-through
Shambaugh, J. (2008)
The long swings in the spot exchange rates and the complex unit roots hypothesis
Al-Zoubi, H.A. (2008)
Unraveling the complex interrelationships between exchange rates and fundamentals
Murphy, A. & Y. Zhu (2008)
Order flow and exchange rate dynamics in electronic brokerage system data
Berger, D.W., A.P. Chaboud, S.V. Chernenko, E. Howorka & J.H. Wright (2008)
Forecasting foreign exchange rates using idiosyncratic volatility
Guo, H. & R. Savickas (2008)
Market structure and dealers’ quoting behavior in the foreign exchange market
Ding, L. (2008)
Do Peso Problems Explain the Returns to the Carry Trade?
Burnside, A.C., M.S. Eichenbaum, I. Kleshchelski & S. Rebelo (2008)
The Long or Short of it: Determinants of Foreign Currency Exposure in External Balance Sheets
Lane, P.R. & J.C. Shambaugh (2008)
Short-run Exchange-Rate Dynamics: Theory and Evidence
Carlson, J.A., C.M. Dahl & C.L. Osler (2008)
Real Exchange Rate Dynamics under Staggered Loan Contracts
Fujiwara, I. & Y. Teranishi (2008)
Market Microstructure Approach to the Exchange Rate Determination Puzzle
SURVEY PAPER
Mokoena, T., R. Gupta & R. Van Eyden (2008)
The Continuing Puzzle of Short Horizon Exchange Rate Forecasting
Rogoff, K.S. & V. Stavrakeva (2008)
Common Risk Factors in Currency Markets
Lustig, H., N. Roussanov & A. Verdelhan (2008)
Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability
Hashimoto, Y., T. Ito, T. Ohnishi, M. Takayasu, H. Takayasu & T. Watanabe (2008)
Pitfalls in Measuring Exchange Rate Misalignment: The Yuan and Other Currencies
Cheung, Y-W., M.D. Chinn & E. Fujii (2008)
Private Information and a Macro Model of Exchange Rates: Evidence from a Novel Data Set
Chinn, M.D. & M.J. Moore (2008)
Exchange Rate Puzzles: A Review of the Recent Theoretical and Empirical Developments
SURVEY PAPER
Mokoena, T., R. Gupta & R. van Eyden (2008)
Exchange rates and fundamentals: a generalization
Nason, J.M. & J.H. Rogers (2008)
Exchange rate determination under interest rate rules
Benigno, G. & P. Benigno (2008)
Order flows, news, and exchange rate volatility
Frömmel, M., A. Mende & L. Menkhoff (2008)
Emerging market hedge funds and the yen carry trade
Peltomäki, J. (2008)
New Keynesian Exchange Rate Pass-Through
Choi, W.G. & D. Cook (2008)
Nonlinearity as an Explanation of the Forward Exchange Rate Anomaly
Bond, D., N. Hession, M.J. Harrison & E.J. O’Brien (2008)
Risk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets
Wagner, C. (2008)
Panel Cointegration and the Monetary Exchange Rate Model
Basher, S.A. & J. Westerlund (2008)
Freely Floating Exchange Rates Do Not Systematically Overshoot
Pippenger, J. (2008)
A structural time series test of the monetary model of exchange rates under four big inflations
Tawadros, G.B. (2008)
Bayesian Model Averaging and exchange rate forecasts
Wright, J.H. (2008)
News and Expectations in Financial Markets: An Experimental Study
Menzies, G. & D. Zizzo (2008)
Informational linkages across trading regions: Evidence from foreign exchange markets
Cai, F., E. Howorka & J. Wongswan (2008)
Is the forward bias economically small? Evidence from European rates
Sercu, M.V. & X. Wu (2008)
Local information in foreign exchange markets
Menkhoff, L. & M. Schmeling (2008)
McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates
de los Rios, A.D. (2008)
Foreign exchange market bid-ask spread and market power in an underdeveloped economy
Khemraj, T. & S. Pasha (2008)
Price discovery from cross-currency and FX swaps: a structural analysis
Baba, N. & S.Y. Amatatsu (2008)
Leveraged Carry Trade Portfolios
Darvas, Z. (2008)
Emerging Market Currency Excess Returns
Gilmore, S. & F. Hayashi (2008)
Predictability and 'Good Deals' in Currency Markets
Levich, R.M. & V. Poti (2008)
Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?
Neely, C.J. (2008)
The Taylor rule and forecast intervals for exchange rates
Wang, J. & J.J. Wu (2008)
Nonlinear Exchange Rate Predictability
Suarez, C.F.L. & J.A.R. Lopez (2008)
Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08
Baba, N. & S.F. Packer (2008)
Asymmetric information in the interbank foreign exchange market
Bjønnes, G.H., C.L. Osler & D. Rime (2009)
Does a “correct” parameter estimate tell a better story about foreign exchange market efficiency?
Wang, P. & P. Wang (2009)
Out-of-sample exchange rate predictability with Taylor rule fundamentals
Molodtsova, T. & D.H. Papell (2009)
Heterogeneous Expectations and Exchange Rate Dynamics
Chiarella, C., X-Z. He & M. Zheng (2009)
Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation
Kozhan, R. & M. Salmon (2009)
Heterogeneity in exchange rate expectations: Evidence on the chartist–fundamentalist approach
Menkhoff, L., R.R. Rebitzky & M. Schröder (2009)
The economic value of fundamental and technical information in emerging currency markets
de Zwart, G., T. Markwat, L. Swinkels & D. van Dijk (2009)
Expectations and exchange rate dynamics: A state-dependent pricing approach
Landry, A. (2009)
Liquidity Shocks and Order Book Dynamics
Biais, B. & P-O. Weill (2009)
State-Uncertainty preferences and the Risk Premium in the Exchange rate market
Jimenez-Martin, J-A. & A.N. Cinca (2009)
Can a Habit Formation Model really explain the forward premium anomaly?
da Costa, C.E. & J.X. Vasconcelos (2009)
Model Misspecification, Learning and the Exchange Rate Disconnect Puzzle
Lewis, V. & A. Markiewicz (2009)
On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals
Bacchetta, P. & E. van Wincoop (2009)
Asymmetric volatility in the foreign exchange markets
Wang, J. & M. Yang (2009)
Two currencies, one model? Evidence from the Wall Street Journal forecast poll
Frenkel, M., J-C. Rülke & G. Stadtmann (2009)
Monetary policy and exchange rate overshooting: Dornbusch was right after all | Published
Bjørnland, H.J. (2009)
Volatility Models : from GARCH to Multi-Horizon Cascades
Subbotin, A., T. Chauveau & K. Shapovalova (2009)
Exchange Rate Volatility and Output Volatility: A Theoretical Approach
Grydaki, M. & S. Fountas (2009)
Exchange rates dependence: what drives it?
Benediktsdottir, S. & C. Scotti (2009)
The impact of macroeconomic announcements on real time foreign exchange rates in emerging markets
Cai, F., H. Joo & Z. Zhang (2009)
Informed trading in an electronic foreign exchange market
Gencay, R. & N. Gradojevic (2009)
Can Parameter Instability Explain the Meese-Rogoff Puzzle?
Bacchetta, P., E. van Wincoop & T. Beutler (2009)
Resolving the unbiasedness puzzle in the foreign exchange market
Thornton, D.L. (2009)
On causal Relationships Between Exchange Rates and Fundamentals: Better Than You Think
Christopoulos, D. & M.A. León-Ledesma (2009)
Identifying the effects of an exchange rate depreciation on country risk: Evidence from a natural experiment
Bordo, M.D., C.M. Meissner & M.D. Weidenmier (2009)
New evidence on nominal exchange rate predictability
Wu, J-L. & Y-H. Hu (2009)
Accounting for Incomplete Pass-Through
Nakamura, E. & D. Zerom (2009)
A Model of Market Clearing Exchange Rates
Parchure, R. (2009)
Evidence on the contrarian trading in foreign exchange markets
Wan, J-Y. & C-W. Kao (2009)
International Portfolio Balance – Modeling the External Adjustment Process
Nils, H., K. Clemens & M. Joan (2009)
Segmentation and time-of-day patterns in foreign exchange markets
Ranaldo, A. (2009)
Dynamical Clustering of Exchange Rates
Fenn, D.J., M.A. Porter, P.J. Mucha, M. McDonald, S. Williams, N.F. Johnson & N.S. Jones (2009)
Commodity prices, commodity currencies, and global economic developments
Groen, J.J.J. & P.A. Pesenti (2009)
The Intertemporal Relation between Expected Return and Risk on Currency
Bali, T. & K. Yilmaz (2009)
Can long-horizon forecasts beat the random walk under the Engel-West explanation?
Engel, C., J. Wang & J. Wu (2009)
Wavelet Based Volatility Clustering Estimation of Foreign Exchange Rates
Iyengar, A.N.K. (2009)
Exchange rate expectations: The role of person specific forward looking variables
Koske, I. & G. Stadtmann (2009)
The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself
Jorda, O. & A.M. Taylor (2009)
Time-Varying Currency Betas: Evidence from Developed and Emerging Markets
Jayasinghe, P. & A.K. Tsui (2009)
Currency Carry Trade Regimes: Beyond the Fama Regression | Published
Clarida, R., J. Davis & N. Pedersen (2009)
Announcement effect and intraday volatility patterns of euro-dollar exchange rate : monetary policy news arrivals and short-run dynamic response
Darmoul, M. & K. Mokhtar (2009)
Segmentation across International Equity, Bond, and Foreign Exchange Markets
Ning, C. & S. Sapp (2009)
The Multi-Scale Interaction between Interest Rate, Exchange Rate and Stock Price
Hamrita, M.E., N. Ben Abdallah & S. Ben Ammou (2009)
Rise of the machines: algorithmic trading in the foreign exchange market
Chaboud, A., B. Chiquoine, E. Hjalmarsson & C. Vega (2009)
Resolving the exposure puzzle: The many facets of exchange rate exposure
Bartram, S.M., G.W. Brown & B.A. Minton (2009)
Order flows and the exchange rate disconnect puzzle
Evans, M.D.D. (2009)
A Macro-Finance Approach to Exchange Rate Determination
Chen, Y-C. & K.P. Tsang (2009)
A Disutility-Based Drift Control for Exchange Rates
Castellano, R., R. Cerqueti & R.L. D'Ecclesia (2009)
Modeling Exchange Rate Volatility
Balg, B.A. & H. Metcalf (2010)
Detecting Crowded Trades in Currency Funds
Pojarliev, M. & R.M. Levich (2010)
Exchange Rate Pass-Through and Inflation: A Nonlinear Time Series Analysis
Shintani, M., A. Terada-Hagiwara & T. Yabu (2010)
International order flows: Explaining equity and exchange rate returns
Dunne, P., H. Hau & M. Moore (2010)
Foreign exchange, fractional cointegration and the implied–realized volatility relation
Kellard, N., C. Dunis & N. Sarantis (2010)
Commodity prices, commodity currencies, and global economic developments
Groen, J.J.J. & P. Pesenti (2010)
What Drives Exchange Rates? New Evidence from a Panel of U.S. Dollar Bilateral Exchange Rates
Cayen, J-P., D. Coletti, R. Lalonde & P. Maier (2010)
Do Currency Fundamentals Matter for Currency Speculators?
Nozaki, M. (2010)
Does the uncovered interest parity hold in short horizons?
Levent, K. (2010)
Was it Real? The Exchange Rate-Interest Differential Relation Over the Modern Floating-Rate Period
Meese, R. & K. Rogoff (1988)
Abstract: In this paper, we explore the relationship between real exchange rates and real interest rate differentials in the United States, Germany, Japan, and the United Kingdom. Contrary to theories based on the joint hypothesis that domestic prices are sticky and monetary disturbances are predominant, we find little evidence of a stable relationship between real interest rates and real exchange rates. We consider both in-sample and out-of-sample tests. One hypothesis that is consistent with our findings is that real disturbances (such as productivity shocks) may be a major source of exchange rate volatility.
A Century of Purchasing Power Parity
Taylor, A.M. (2000)
PPP and the Balassa Samuelson Effect - The Role of the Distribution Sector
MacDonald, R. & L.A. Ricci (2001)
Border Effects within the NAFTA Countries
Rogers, J.H. & H.P. Smith (2001)
Interpreting Real Exchange Rate Movements in Transition Countries | Published
De Broeck, M. & T. Slok (2001/06)
Market Integration and Convergence to the Law of One Price: Evidence from the European Car Market | Published
Goldberg, P.K. & F. Verboven (2001)
Abstract: In this paper, we explore the relationship between real exchange rates and real interest rate differentials in the United States, Germany, Japan, and the United Kingdom. Contrary to theories based on the joint hypothesis that domestic prices are sticky and monetrary disturbances are predominant, we find little evidence of a stable relationship between real interest rates and real exchange rates. We consider both in-sample and out-of-sample tests. One hypothesis that is consistent with our findings is that real disturbances (such as productivity shocks) may be a major source of exchange rate volatility.
Purchasing Power Parity and Interest Parity in the Laboratory
Fisher, E. (2001)
Supply Shocks and Real Exchange Rates | Published
Alexius, A. (2001)
New multi-country evidence on purchasing power parity
J.J.J. Groen (2001)
The Law of One Price Over 700 Years
Rogoff, K., K.A. Froot & M. Kim (2001)
An Unbiased Appraisal of Purchasing Power Parity | Published
Cashin, P.A. & C.J. McDermott (2001)
Determinants of the euro real effective exchange rate: a BEER/PEER approach
Maeso-Fernandez, F., C. Osbat & B. Schnatz (2001)
Sources of Euro Real Exchange Rate Fluctuations: What Is Behind the Euro Weakness in 1999-2000?
Döpke, J., J. Gottschalk & C. Kamps (2001)
World-Wide Purchasing Power Parity
Jacobson, T. & M. Nessen (2001)
PPP May not Hold After all: A Further Investigation
Ng, S. & P. Perron (2001)
A New Look at Panel Testing of Stationarity and the PPP Hypothesis
Bai, J. & S. Ng (2001)
PPP and the real exchange rate-real interest rate differential puzzle revisited: evidence from non-stationary panel data
Chortareas, G.E. & R.L. Driver (2001)
A Bayesian analysis of the PPP puzzle using an unobserved components model
Kleijn, R.H. & H.K. Van Dijk (2001)
Purchasing Power Parity and New Trade Theory
Macdonald, R. & L.A. Ricci (2002)
A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model
Kleijn, R. & H. K. van Dijk (2002)
A simple test for PPP among traded goods
Franses, P.H. & D.J. van Dijk (2002)
Real Exchange Rates in the Long and Short Run: A Panel Co-Integration Approach
Calderón, C. (2002)
Testing for PPP: Should We Use Panel Methods?
Banerjee, A. & M. Marcellino & C. Osbat (2002)
How does the world interest rate affect the real exchange rate?
Gente, K. (2002)
Beyond Burgernomics and MacParity: Exchange Rate Forecasts Based on the Law of One Price
Lutz, M. (2002)
Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model
Jacobson, T., J. Lyhagen, R. Larsson & M. Nessén (2002)
External Wealth, the Trade Balance, and the Real Exchange Rate
Lane, P. & G.M. Milesi-Ferretti (2002)
Current Account and Real Exchange Rate Dynamics in the G-7 Countries | Published
Chinn, Menzie & J. Lee (2002/06)
Price setting, price dispersion, and the value of money - or - The law of two prices
Curtis, E. & R. Wright (2002)
The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests | Published
Apte, P., P. Sercu & R. Uppal (2002)
The Real Exchange Rate Always Floats
Gylfason, T. (2002)
Does the Balassa-Samuelson Hypothesis Hold for Asian Countries? An Empirical Analysis using Panel Data Cointegration Tests
Drine, I. & C. Rault (2002)
Real Exchange Rates in Transition Economies
Jazbec, B. (2002)
Does the Purchasing Power Parity Hold Within the US?
Pedersen, M. (2002)
PPP Strikes Back: Aggregation and the Real Exchange Rate | Alternative | Published
Imbs, J, H. Mumtaz, M. Ravn & H. Rey (2003)
Abstract: We show the importance of a dynamic aggregation bias in accounting for the PPP puzzle. We prove that established time series and panel methods substantially exaggerate the persistence of real exchange rates because of heterogeneity in the dynamics of disaggregated relative prices. When heterogeneity is properly taken into account, estimates of the real exchange rate half-life fall dramatically, to little more than one year, or significantly below Rogoff's consensus view' of three to five years. We show corrected estimates are consistent with plausible nominal rigidities, thus, arguably, solving the puzzle. We also explain why traded goods prices account for the bulk of the persistence and volatility of the real exchange rate. The reason is that traded goods prices display dynamics that are more heterogeneous than non-traded ones.
Stock Markets and Real Exchange Rate: An Intertemporal Approach
Mercereau, B. (2003)
Forecasting the Dollar/Euro Exchange Rate: Can International Parities Help?
Sosvilla-Rivero, S. and Garcia, E. (2003)
Does Productivity Growth Lead to Appreciation of the Real Exchange Rate?
Lee, J. & M.K. Tang (2003)
The Real Exchange Rate in Small Open Developed Economies: Evidence from Cointegration Analysis
Bagchi, D., G.E. Chortareas & S.M. Miller (2003)
Short Memory and the PPP-puzzle | Published
Ryu, D. & M.A. El-Gamal (2003/06)
Countercyclical Trade Balance and Persistent Real Exchange Rates in a Neomonetarist Model
Zamulin, O. (2003)
Convergence to Purchasing Power Parity at the Commencement of the Euro
Lopez, C. & D.H. Papell (2003)
A Prism into the PPP Puzzles: The Micro-foundations of Big Mac Real Exchange Rates | Published
Parsley, D.C. & S-J. Wei (2003/07)
Commodity Currencies and the Real Exchange Rate
Cashin, P., L.F. Céspedes & R. Sahay (2003)
A re-examination of the Purchasing Power Parity using non-stationary dynamic panel methods : a comparative approach for developing and developed countries
Drine, I. & C. Rault (2003)
On the long-run determinants of real exchange rates for developing countries : Evidence from Africa, Latin America and Asia
Drine, I. & C. Rault (2003)
Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjustment | Published
Cheung, Y-W., K.S. Lai & M. Bergman (2003)
A Re-examination of the Link between Real Exchange Rates and Real Interest Rate Differentials
Hoffmann, M. & R. MacDonald (2003)
Does "Aggregation Bias" Explain the PPP Puzzle?
Chen, S-S. & C. Engel (2004)
Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era
Ahking, F.W. (2004)
The Modern Theory of the LOP and PPP: Some Implications
Pippenger, J. (2004)
Getting PPP Right: Identifying Mean Reverting Real Exchange Rates in Panels | Published
Chortareas. G. & G. Kapetanios (2004/08)
State of the Art Unit Root Tests and Purchasing Power Parity
Lopez, C., C.J. Murray & D.H. Papell (2004)
The Purchasing Power Parity Debate
Taylor, A.M. & M.P. Taylor (2004)
Abstract: Originally propounded by the sixteenth-century scholars of the University of Salamanca, the concept of purchasing power parity (PPP) was revived in the interwar period in the context of the debate concerning the appropriate level at which to re-establish international exchange rate parities. Broadly accepted as a long-run equilibrium condition in the post-war period, it was first advocated as a short-run equilibrium by many international economists in the first few years following the breakdown of the Bretton Woods system in the early 1970s and then increasingly came under attack on both theoretical and empirical grounds from the late 1970s to the mid 1990s. Accordingly, over the last three decades, a large literature has built up that examines how much the data deviated from theory, and the fruits of this research have provided a deeper understanding of how well PPP applies in both the short run and the long run. Since the mid 1990s, larger datasets and nonlinear econometric methods, in particular, have improved estimation. As deviations narrowed between real exchange rates and PPP, so did the gap narrow between theory and data, and some degree of confidence in long-run PPP began to emerge again. In this respect, the idea of long-run PPP now enjoys perhaps its strongest support in more than thirty years, a distinct reversion in economic thought.
Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data
Choi, C-Y., N. Mark & D. Sul (2004)
Parity Reversion in Real Exchange Rates: Fast, Slow or Not at All? | Published
Cashin, P.A. & C.J. McDermott (2004/06)
The Long-Run Volatility Puzzle of the Real Exchange Rate
Hausmann, R., U. Panizza & R. Rigobon (2004)
Testing for Long Run Relative PPP in Europe
Coakley, J. & S. Snaith (2004)
Real Exchange Rates in Developing Countries: Are Balassa-Samuelson Effects Present? | Published
Choudhri, E.U. & M.S. Khan (2004/05)
International Deviations from the Law of One Price: The Role of Search Frictions and Market Share
Alessandria, G. (2004)
Panel Data Tests Of Ppp: A Critical Overview
Caporale, G.M. & M. Cerrato (2004)
PPP rules, macroeconomic (In)stability and learning | Published
Zanna, L-F. (2004/09)
The determination of the equilibrium exchange rate in a simple general equilibrium model
Van, C.L., C. Couharde & T.B. Luong (2004)
Estimating an equilibrium exchange rate for the dollar and other key currencies
Hughes Hallett, A. & C. Richter (2004)
The European Union currencies and the US dollar: from post-Bretton-Woods to the Euro
Gadea, M-D., A. Montañés & M. Reyes (2004)
The Purchasing Power Parity Debate
Taylor, A.M. & M.P. Taylor (2004)
Taylor Rules and the Deutschmark-Dollar Real Exchange Rate
Engel, C. & K.D. West (2004)
Real exchange rates and the relative prices of non-traded and traded goods: an empirical analysis
Groen, J.J.J. & C. Lombardelli (2004)
How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of Convergence to PPP
Chortareas, G. & G. Kapetanios (2004)
The purchasing power parity puzzle, temporal aggregation, and half-life estimation
Chambers, M.J. (2005)
Real Exchange Rate and Consumption Fluctuations following Trade Liberalization
Jonsson, K. (2004)
Trade Costs and Real Exchange Rate Volatility: The Role of Ricardian Comparative Advantage
Bravo-Ortega, C. & J. di Giovanni (2005)
Higher Power Tests for Bilateral Failure of PPP after 1973
Elliott, G. & E. Pesavento (2004)
Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics
Mark, N.C. (2005)
Real exchange rates and switching regimes
Bergman, U.M. & J. Hansson (2005)
A Nonparametric Measure of Convergence Toward Purchasing Power Parity
Shintani, M. (2005)
Purchasing power parity and the theory of general relativity: The first tests
Coakley, J., R.P. Flood, A.M. Fuertes & M.P. Taylor
Abstract: We implement novel tests of general relative purchasing power parity (PPP), defined as a long-run unit elasticity of the nominal exchange rate with respect to relative national prices, allowing for potentially permanent real exchange rate shocks. The finite-sample properties of the estimators used are analyzed through Monte Carlo analysis, allowing for country heterogeneity, cross-sectional dependence and non-stationary disturbances. Application to panel data sets of industrialized and developing economies reveals that inflation differentials are on average reflected one-for-one in long-run nominal exchange rate depreciation—i.e. that general relative PPP holds.
The Transfer Problem Revisited: Net Foreign Assets and Real Exchange Rates
Lane, P.R. & G.M. Milesi-Ferretti (2005)
An oversimplified inquiry into the sources of exchange rate variability
Kempa, B. (2005)
Nominal rigidity, desired markup variations, and real exchange rate persistence
Bouakez, H. (2005)
New Rates from New Weights | Published
Bayoumi, T.A., J. Lee & S. Jayanthi (2005/06)
The PPP debate: Price matters!
Jerry Coakley, Neil Kellard and Stuart Snaith (2005)
Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity
Smallwood, A.D. (2005)
Monetary Shocks and Real Exchange Rate Dynamics: a Reappraisal
Hairault, J-O. & T. Sopraseuth (2005)
A Primer on Real Effective Exchange Rates: Determinants, Overvaluation, Trade Flows and Competitive Devaluation
Chinn, M.D. (2005)
Productivity Bias Hypothesis and The Purchasing Power Parity: a review article
SURVEY PAPER
Bahmani-Oskooee, M. & A.B.M. Nasir (2005)
Demand and Distance: Evidence on Cross-Border Shopping
Asplund, M., R. Friberg & F. Wilander (2005)
Real Exchange Rate Misalignment: A Panel Co-Integration and Common Factor Analysis
Dufrenot, G.J. & E.B. Yehoue (2005)
Testing long-run purchasing power parity under exchange rate targeting
Brissimis, S.N., D.A. Sideris & F.K. Voumvaki (2005)
"Aggregation Bias" DOES Explain the PPP Puzzle
Imbs, J., H. Mumtaz, M.O. Ravn & H. Rey (2005)
Real Exchange Rate Overshooting RBC Style
Sofat, P., P. Minford, E. Nowell & D. Meenagh (2005)
Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment: Evidence from Dual Exchange Rates in Developing Countries
Cheung, Y-W. & K.S. Lai (2005)
Investigating the threshold effects of inflation on PPP
Ho, T-W. (2005)
Just how Undervalued is the Chinese Renminbi
Funke, M. & J. Rahn (2005)
Do Dollar Forecasters Believe too Much in PPP?
Menkhoff, L., R. Rafael & M. Schröder (2005)
Real Exchange Rate Volatility and the Price of Nontradables in Sudden-Stop-Prone Economies
Mendoza, E.G. (2005)
The Importance of Nontradable Goods' Prices in Cyclical Real Exchange Rate Fluctuations
Burstein, A., M. Eichenbaum & S. Rebelo (2005)
Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test
Basci, E. & M. Caner (2005)
The Triple-Parity Law
Lambelet, J-C. & A. Mihailov (2005)
Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity
Hong, S.H. & P.C.B. Phillips (2005)
Purchasing Power Parity and Heterogeneous Mean Reversion | Alternative
Koedijk, C.G., B. Tims & M.A. van Dijk (2005/06)
Nonlinear PPP Under the Gold Standard
Paya, I. & D.A. Peel (2006)
The Purchasing Power Parity Persistence Paradigm: Evidence from Black Currency Markets
Cerrato, M., N. Kellard & N. Sarantis (2005)
Testing for Purchasing Power Parity Under a Target Zone Exchange Rate Regime
Reconsidering Real Interest Parity for Traded and Nontraded Goods
Fundamentals and exchange rate volatility
Co-integrating currencies and yield differentials
International financial integration through the law of one price
Pairwise Tests of Purchasing Power Parity Using Aggregate and Disaggregate Price Measures
The Contribution of Growth and Interest Rate Differentials to the Persistence of Real Exchange Rates
Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues
Structural Breaks in the Real Exchange Rate Adjustment Mechanism
Real Exchange Rate Volatility and Asset Market Structure
Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model: What Is Important and What Is Not
An alternative test of purchasing power parity
Can Firms’ Location Decisions Counteract the Balassa-Samuelson Effect?
On the Equality of Real Interest Rates across Borders in Integrated Capital Markets
Persistence in Law-Of-One-Price Deviations: Evidence from Micro-Data | Published
The behaviour of the real exchange rate: evidence from regression quantiles | Published
A reappraisal of the evidence on PPP: a systematic investigation into MA roots in panel unit root tests and their implications
Real Exchange Rate Dynamics With Endogenous Distribution Costs
Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?
Testing Real Interest Parity in Emerging Markets
Can the Law of One Price be tested?
International asset markets and real exchange rate volatility | Published
Real equilibrium exchange rates: A panel data approach for advanced and emerging economies
Is Reversion to PPP in Euro Exchange Rates Non-Linear?
Does Productivity Growth Appreciate the Real Exchange Rate?
Pricing to Habits and the Law of One Price
Purchasing power parity and country characteristics: Evidence from panel data tests
Does the real interest parity hypothesis hold? Evidence for developed and emerging markets
Foreign Exchange Intervention and Equilibrium Real Exchange Rates | Published
Household Heterogeneity and Real Exchange Rates
The Law of One Price: Nonlinearities in Sectoral Real Exchange Rate Dynamics
The behaviour of the real exchange rate: Evidence from regression quantiles
Capturing asymmetry in real exchange rate with quantile autoregression
A Framework for Identifying the Sources of Local-Currency Price Stability with an Empirical Application
Fertility and the Real Exchange Rate
Purchasing Power Parity for Developing and Developed Countries: What Can We Learn from Non-Stationary Panel Data Models? | Published
Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from five OECD countries
Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates
International investment positions and exchange rate dynamics: a dynamic panel analysis
International asset pricing under segmentation and PPP deviations
Do Internet Converge Prices to the "Law of One Price"? Evidence from Transaction Data for Airline Tickets
Real exchange rates, imperfect substitutability, and imperfect competition
Financial Market Integration and World Economic Stabilization toward Purchasing Power Parity
The Relative Price of Non-traded Goods in an Imperfectly Competitive Economy: Empirical Evidence for G7 Countries
Does the Nominal Exchange Rate Regime Affect the Long Run Properties of Real Exchange Rates?
Testing for Purchasing Power Parity in Cointegrated Panels
Equilibrium Exchange Rates: Assessment Methodologies
Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the largest root and the half-life
Real Exchange Rates and Fundamentals: A Cross-Country Perspective
The PPP Puzzle: What the Data Tell when Allowed to Speak Freely
Volatile and persistent real exchange rates with or without sticky prices
The black market exchange rate vs. the official rate in testing PPP: Which rate fosters the adjustment process?
The Real Exchange Rate, Mercantilism and the Learning by Doing Externality
U.S. dollar real exchange rates: Nonlinearity revisited
A revisit on dissecting the PPP puzzle: Evidence from a nonlinear approach
Nonlinearities or outliers in real exchange rates?
How Robust are Estimated Equilibrium Exchange Rates? A Panel BEER Approach
Non-linearity versus non-normality in real exchange rate dynamics
Bivariate Assessments of Real Exchange Rates Using PPP Data
Persistent Real Exchange Rates
The Composition of Government Spending and the Real Exchange Rate
Skill Upgrading and the Real Exchange Rate
Some pitfalls in testing the law of one price in commodity markets
The real exchange rate in sticky price models: does investment matter?
Long-run PPP in a system context: No favorable evidence after all for the U.S., Germany, and Japan
Cointegration Tests of Purchasing Power Parity
Threshold adjustment in deviations from the law of one price
Local Costs of Distribution, International Trade Costs and Micro Evidence on the Law of One Price
Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle
Foreign Exchange Market Volatility Information: an investigation of real-dollar exchange rate
Regional Mc Parity: Do Common Pricing Points Reduce Deviations From the Law of One Price?
Nontraded Goods, Market Segmentation, and Exchange Rates | Published
Real Exchange Rate Movements and the Relative Price of Non-traded Goods
Estimating exchange rate responsiveness to shocks
Aggregation and the PPP puzzle in a sticky-price model
A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings
Net Foreign Assets, Productivity and Real Exchange Rates in Constrained Economies
Does the law of one price hold in international financial markets? Evidence from tick data | Published
Nonlinear Adjustment of the Real Exchange Rate Towards its Equilibrium Value: a Panel Smooth Transition Error Correction Modelling
3-Regime symmetric STAR modeling and exchange rate reversion
Real rigidities and real exchange rate volatility
Nonlinear PPP Deviations: A Monte Carlo Investigation of Their Unconditional Half-Life
Consumption and Real Exchange Rates in Professional Forecasts
Nonlinear Adjustment in Law of One Price Deviations and Physical Characteristics of Goods
Estimating Exchange Rate Equations Using Estimated Expectations
Fiscal Shocks and The Real Exchange Rate
The Law of One Price Without the Border: The Role of Distance Versus Sticky Prices
Currency Misalignments and Optimal Monetary Policy: A Reexamination
Does higher openness cause more real exchange rate volatility?
The real exchange rate in sticky-price models: does investment matter?
Productivity shocks and real exchange rates - a reappraisal
Purchasing Power Parity and the Taylor Rule
A New Test of the Real Interest Rate Parity Hypothesis: Bounds Approach and Structural Breaks
Real Exchange Rate Misalignments
Household Heterogeneity and the Real Exchange Rate: Still a Puzzle
Empowering the IMF: Should Reform be a Requirement for Increasing the Fund's Resources?
The confusing time-series behaviour of real exchange rates: Are asymmetries important?
Purchasing Power Parity and Breaking Trend Functions in the Real Exchange Rate
Real Exchange Rates and Time-Varying Trade Costs
Nonlinearity and Persistence in PPP: Does Controlling for Nonlinearity Solve the PPP Puzzle?
Purchasing Power Parity in Less-Developed and Transition Economies: A Review Paper
The Real Exchange Rate as an Instrument of Development Policy
Can Non-Linear Real Shocks Explain The Persistence of PPP Exchange Rate Disequilibria?
The pass-through effect: a twofold analysis
Government Purchases and the Real Exchange Rate
Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear
Understanding forecast failure of ESTAR models of real exchange rates
Productivity, the Terms of Trade, and the Real Exchange Rate: The Balassa-Samuelson Hypothesis Revisited
Sources of exchange rate fluctuations: are they real or nominal?
A Century of Purchasing Power Parity Confirmed: The Role of Nonlinearity
What Makes Currencies Volatile? An Empirical Investigation
One TV, One Price?
Analyzing aggregate real exchange rate persistence through the lens of sectoral data
Real exchange rates and real interest rate differentials: A present value interpretation
The dollar in the turmoil
Reverse Shooting of Exchange Rates
A model of international cities: implications for real exchange rates
Do uncertainty and technology drive exchange rates?
What do we know about real exchange rate non-linearities?
International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries: Some Panel Evidence
The Micro-Macro Disconnect of Purchasing Power Parity
Productive Government Purchases and the Real Exchange Rate
Real exchange rate dynamics in the presence of non-traded goods and transaction costs
Methodological advances in the assessment of equilibrium exchange rates
A Model of the Exchange Rate with Informational Frictions
Local persistence and the PPP hypothesis
Can International Policy Coordination Be Counterproductive?
Abstract: This paper demonstrates that increased international monetary cooperation may actually be counterproductive. The potential problem is that cooperation between central banks may exacerbate the credibility problem of central banks vis-a-vis the private sector. Coordinated monetary expansion yields a better output/inflation tradeoff than unilateral expansion because it does not induce exchange rate depreciation. Wage setters realize that the incentives to inflate are greater in a cooperative regime, and thus time-inconsistent nominal wage rates are higher. Cooperation does improve responses to disturbances. Thus, a cooperative regime which contains institutional constraints on systematic inflation is definitely superior.
Can International Policy Coordination Really Be Counterproductive?
Abstract: This paper shows that international policy coordination is not counterproductive in a world where the incentive to run beggar-thy-neighbor policies internationally arises from the inefficiency that characterizes, within each country, the interaction between policymakers and private agents. The domestic inefficiency arises from the presence of nominal contracts that give central banks the power to affect real variables. In this setting we show that international cooperation belongs to the central banks' dominant strategy. The paper is motivated by a common and misleading interpretation of a paper by Rogolf `1985(, namely that international cooperation may be counterproductive in the presence of a domestic inefficiency.
Credibility of Policies Versus Credibility of Policymakers
Abstract: Standard models of policy credibility, defined as the expectation that an announced policy will be carried out, emphasize the preferences of the policymaker and the role of tough policies in signaling toughness and raising credibility. Whether a policy is carried out, however, will also reflect the state of the economy. We present a model in which a policymaker maintains a fixed parity in good times, but devalues if the unemployment rate gets too high. Our main conclusion is that if there is persistence in unemployment, observing a tough policy in a given period may lower rather than raise the credibility of a no-devaluation pledge in subsequent periods. We test this implication on EMS interest rates and find support for our hypothesis.
Does Foreign Exchange Market Intervention Signal Future Monetary Policy
Abstract: A frequently cited explanation for why foreign exchange interventions affect the exchange rate is that these interventions signal future monetary policy intentions. This explanation says that central banks signal a more contractionary monetary policy in the future by buying domestic currency today. Therefore, the expectations of future tighter monetary policy make the domestic currency appreciate, even though the current monetary effects of the intervention are typically offset by central banks. Of course, this explanation presumes that central banks in fact back up interventions with subsequent changes in monetary policy. In this paper, we empirically examine this presumption.
Fear of Floating | Published
Abstract: Many emerging market countries have suffered financial crises. One view blames soft pegs for these crises. Adherents of this view suggest that countries move to corner solutions - hard pegs or floating exchange rates. We analyze the behavior of exchange rates, reserves, and interest rates to assess whether there is evidence that country practice is moving toward corner solutions. We focus on whether countries that claim they are floating are indeed doing so. We find that countries that say they allow their exchange rate to float mostly do not - there seems to be an epidemic case of "fear of floating."
The Role of the Exhange Rate in Monetary Policy - the Experience of Other Countries
Recent Thinking About Exchange Rate Determination and Policy
The Foreign Exchange Orgins of Japan's Economic Slump and Low Interest Liquidity Trap
An Interest Rate Defense of a Fixed Exchange Rate?
Equilibrium Exchange Rate Policies: Complicit Renegotiation-Proof Outcomes
Abstract: Countries can repeatedly and opportunistically renegotiate the terms of agreements to which they can only complicitly assent. Therefore, when attempting to coordinate exchange rate policies, they continuously play partnership games. We develop a reduced form model of exchange rate management where, as a starting point, (a) sequences of discrete realignments and (b) shared intervention are desirable. We show that the implementation of the ex-ante optimal policy suffers from severe time-inconsistencies. We analyse the Stackelberg equilibria of the stochastic game played by partner countries. We find that equilibrium complicit renegotiation-proof policies are supported by net cross-country wealth transfers from the weaker to the stronger bargaining power country. Our theoretical results provide a game-theoretic interpretation of the evolution of monetary arrangements in Europe and the emergence of EMU.
Measures to Limit the Offshore Use of Currencies-Pros and Cons
Optimal Exchange Rate Policy: The Influence of Price-Setting and Asset Markets
On the Use of Local Currency When Less Inflationary Currencies are Available: An Overlapping Generations Model
Official Intervention in the Foreign Exchange Market or, Bet Against the Central Bank
Monetary Implications of Cross-Border Derivatives for Emerging Economies
Exchange Rate Risk Management: Evidence from East Asia
On Commodity-Sensitive Currencies and Inflation Targeting
Living with Fear of Floating: An Optimal Policy Perspective
Financial Repression and Exchange Rate Management in Developing Countries: Theory and Empirical Evidence for India
Exchange Rate Exposure | Published
Exchange Rate Pass-through and Partial Dollarization: Is There a Link?
International Transmission under Floating Exchange Rates
Exchange rate volatility and EURO area imports
The Effects of Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach
Policy Options for Joining the Euro
Dollarization of Liabilities in Non-tradable Goods Sector
What Hurts Most? G-3 Exchange Rate or Interest Rate Volatility
Abstract: With many emerging market currencies tied to the U.S. dollar either implicitly or explicitly, movements in the exchange values of the currencies of major countries have the potential to influence the competitive position of many developing countries. According to some analysts, establishing target bands to reduce the variability of the G-3 currencies would limit those destabilizing shocks emanating from abroad. This paper examines the argument for such a target zone strictly from an emerging market perspective. Given that sterilized intervention by industrial economies tends to be ineffective and that policy makers show no appetite to return to the controls on international capital flows that helped keep exchange rates stable over the Bretton Woods era, a commitment to damping G-3 exchange rate fluctuations requires a willingness on the part of G-3 authorities to use domestic monetary policy to that end. Under a system of target zones, then, relative prices for emerging market economies may become more stable, but debt-servicing costs may become less predictable. We use a simple trade model to show that the resulting consequences for welfare are ambiguous. Our empirical work supplements the traditional literature on North-South links by examining the importance of the volatilities of G-3 exchange-rates, and U.S. interest rate and consumption on capital flows and economic growth in developing countries over the past thirty years.
Banking and the political support for dollarization
Dollarization: An Irreversible Decision
Is adopting Full Dollarization the solution? Looking at the evidence
Dollarization and Economic Performance: An Empirical Investigation
Dollarization: A Primer
Abstract: The purpose of this piece is not to settle the complex dollarization debate that hinges on country specific characteristics and, as such, can only be resolved, if ever, once sufficient dollarization experiences are in place to conduct a thorough comparison. Rather, here we intend to provide an impartial survey of the main issues associated with dollarization, and their most relevant empirical and analytical underpinnings, to contribute a framework that feeds into the more specific and detailed discussions undertaken in the following chapters. In doing so, we will try to distill a cohesive view whenever possible, emphasizing the historical determinants of the debate and the importance of the initial macroeconomic conditions in each particular country when judging the benefits and disadvantages of a full dollarization strategy.
Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?
SURVEY PAPER
Deposit Dollarization and the financial sector in emerging economies
Dollarization: A Dead End
Dollarization: Analytical Issues
A Fiscal Theory of the Currency Risk Premium and of Sterilized Intervention
Nominal Exchange Rate Anchoring Under Inflation Inertia
How Valuable Is Exchange Rate Flexibility? Optimal Monetary Policy under Sectoral Shocks
On the Distributional Effects of Exchange Rate Fluctuations | Published
Dread of Depreciation: Measuring Real Exchange Rate Interventions
Expenditure Switching and Exchange Rate Policy
Foreign Currency Pricing
Unofficial Dollarization in Latin America: Currency Substitution, Network Externalities and Irreversibility
Why Should Emerging Economies Give up National Currencies: A Case for 'Institutions Substitution'
Dollarization and Economic Performance: What Do We Really Know?
Optimal Exchange Rate Policy, Optimal Incomplete Taxation and Business Cycles
Global Implications of Self-Oriented National Monetary Rules | Published
Real Exchange Rate Targeting and Macroeconomic Instability
Should government smooth exchange rate risk?
Dollarization, Monetary Policy, and the Pass-Through
Exchange Rate Monitoring Bands: Theory and Policy | Alternative
The Great Exchange Rate Debate After Argentina
A Currency of One's Own? An Empirical Investigation on Dollarization and Independent Currency Unions
Endogenous Deposit Dollarization
Dollarization of Liabilities: Beyond the Usual Suspects
The Dynamics of Currency Substitution, Asset Substitution and De facto Dollarization and Euroization in Transition Countries
Revisiting the Interest Rate-Exchange Rate Nexus: A Markov Switching Approach
Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data
Twin Fallacies About Exchange Rate Policy in Emerging Markets
Foreign Exchange Intervention in Developing and Transition Economies: Results of a Survey
Intervention and Exchange Rate Stabilization Policy in Developing Countries
Strict Dollarization and Economic Performance: An Empirical Investigation
Overshooting and Dollarization in the Democratic in the Democratic Republic of the Congo
The East Asian Dollar Standard, Fear of Floating, and Original Sin
Large Devaluations and the Real Exchange Rate | Alternative
Monetary policy, foreign exchange intervention, and the exchange rate in a unifying framework
When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements? | Published
Dollarization, Inflation Volatility and Underdeveloped Financial Markets in Transition Economies
Sticky Inflation and the Real Effects of Exchange Rate Based Stabilization | Published
Official Intervention in the Foreign Exchange Market: Elements of Best Practice
Exploring the Implications of Official Dollarization on Macroeconomic Volatility
Dollarization of the Banking System: Good or Bad?
Financial Dollarization and Central Bank Credibility
Economic Policy in the International Economy
Abstract: This book contains fifteen major essays on international economics. The authors investigate five principal themes: theory, and empirics, of financial issues in open economies; economic growth; public economies; and political economy. Written to honor Professor Assaf Razin of Tel Aviv and Cornell Universities on the occasion of his sixtieth birthday, the essays pay close attention to policy issues as well as formal analysis. The contributors include renowned specialists in international economics based in North America, Europe, Israel, and China. This volume of cutting edge research will be of interest to scholars, policy makers, and advanced students alike.
Why Do Emerging Economies Borrow in Foreign Currency? | Alternative
Addicted to Dollars
The Trilemma in History: Tradeoffs among Exchange Rates, Monetary Policies,and Capital Mobility | Alternative | Published
The Travails of Current Macroeconomic and Exchange Rate Management in China: The Complications of Switching to a New Growth Engine
Monetary policy's role in exchange rate behavior
Reuters News Reports versus Official Interventions: A Cautionary Warning
Optimal fear of floating: the role of currency mismatches and fiscal constraints | Alternative
Financial Globalisation, Exchange Rates and Capital Controls in Developing Countries
Government intervention in the foreign exchange market
Is a transactions tax an effective means to stabilize the foreign exchange market?
Limited Arbitrage, Segmentation, and Investor Heterogeneity: Why the Law of One Price So Often Fails
The Gains from International Monetary Cooperation Revisited
Euro at Five: Ready for a Global Role?
Abstract: The euro so far has born the brunt of the dollar's recent decline, thus its value and its management will be key to the successful adjustment of international imbalances. And as a long-run competitor and collaborator with the dollar, the birth of the euro creates the potential for a bipolar international monetary system, offering policymakers unprecedented challenges and opportunities. At a recent Institute conference, senior staff and expert discussants explored the role of the euro.
Coping with Risk Through Mismatches: Domestic and International Financial Contracts for Emerging Economies
Fear of Floating in East Asia
Computing currency invariant indices with an application to minimum variance currency baskets
Monetary Sovereignty, Exchange Rates, and Capital Controls: The Trilemma in the Interwar period
Productivity Shocks and Delayed Exchange-Rate Overshooting
Economic Integration, Sectoral Diversification, and Exchange Rate Policy in a Developing Economy
Dollarization and currency exchange
Balance Sheets, Exchange Rate Policy, and Welfare | Published
What Prompts Japan to Intervene in the Forex Market? A New Approach to a Reaction Function
The liquidity effects of foreign exchange intervention
On the determinants of "small" and "large" foreign exchange market interventions: The case of the Japanese interventions in the 1990s
Prudential Responses to De Facto Dollarization
Optimal Currency Hedging | Published
Assessing Financial Vulnerability in Partially Dollarized Economies
Exchange-Rate Policy and the Zero Bound on Nominal Interest Rates | Published
Adjusting China’s Exchange Rate Policies
The Return to Soft Dollar Pegging in East Asia. Mitigating Conflicted Virtue
An Assessment of the Case for Monetary Union or Official Dollarization in Argentina, Brazil, Chile, Uruguay and Venezuela
Target Zone Interventions and Coordination of Expectations
Credible Commitment to Optimal Escape from a Liquidity Trap: The Role of the Balance Sheet of an Independent Central Bank
Sterilization costs and exchange rate targeting
Monetary policy in emerging markets: Can liability dollarization explain contractionary devaluations?
Foreign exchange market intervention: implications of publicly announced and secret intervention for the euro exchange rate and its volatility
Balance Sheets and Exchange Rate Policy
Dollars, Debt and the IFIs: Dedollarizing Multilateral Lending
Exchange Rate and Inflation Dynamics in Dollarized Economies | Published
Models of foreign exchange intervention: Estimation and testing
A simple theoretical framework for the analysis of liability dollarization
Financial Dollarization: Evaluating the consequences
Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries
Communication and Exchange Rate Policy | Published
Living with flexible exchange rates
A Risk Allocation Approach to Optimal Exchange Rate Policy
Monitoring and Endogenous Financial Dollarization
Currency Boards and Productivity Growth
Labour market reform and the sustainability of exchange rate pegs
A Risk Allocation Approach to Optimal Exchange Rate Policy
Official dollarization: a last resort solution to financial instability in Latin America?
Fear of floating and domestic liability dollarization
Exits from Heavily Managed Exchange Rate Regimes
Other People's Money
Abstract: Episodes in countries as far-flung as Indonesia and Argentina have shown that exchange rate adjustments that would normally help to restore balance can be destabilizing, even catastrophic, for countries whose debts are denominated in foreign currencies. The contributors suggest that the problem is linked to the operation of international financial markets, which prevent countries from borrowing in their own currencies.
Rational Fear of Floating: A Simple Model of Exchange Rates and Income Distribution
Dollarization of bank deposits: Causes and consequences
On the Renminbi: The Choice between Adjustment under a Fixed Exchange Rate and Adjustment under a Flexible Rate
Friedman redux: Restricting monetary policy rules to support flexible exchange rates
Exchange Rates under the East Asian Dollar Standard: Living with Conflicted Virtue
The need for international policy coordination: what's old, what's new, what's yet to come?
Dollarization in Latin America: seigniorage costs and policy implications
Regime-switching in exchange rate policy and balance sheet effects
Dollarization and trade
Strategies of exchange rate policy in G3 economies
Explicit and Implicit Targets in Open Economies
Can a Rapidly-Growing Export-Oriented Economy Smoothly Exit an Exchange Rate Peg? Lessons for China from Japan's High-Growth Era
Managing Systemic Liquidity Risk in Financially Dollarized Economies
Financial Dollarization Equilibria: A Framework for Policy Analysis
Financial De-Dollarization: Is It for Real?
The Impact of FX Central Bank Intervention in a Noise Trading Framework | Published
Fear of Floating: An optimal discretionary monetary policy analysis
Financial Dollarization and the Size of the Fear
Currency Manipulation versus Current Account Manipulation
How to Exit from Fixed Exchange Rate Regimes
Regime-Switching in Exchange Rate Policy and Balance Sheet Effects
Exchange Rate Cointegration Across Central Bank Regime Shifts
Monetary Policy News and Exchange Rate Responses: Do Only Surprises Matter? | Published
Exchange Rate Targeting in a Small Open Economy
Financial Dollarization in Latin America
Toward an Effective Supervision of Partially Dollarized Banking Systems
How tight should one's hands be tied? Fear of floating and credibility of exchange regimes
Fear of Floating and Fear of Pegging: An Empirical Analysis of De Facto Exchange Rate Regimes in Developing Countries
Stabilization of Effective Exchange Rates Under Common Currency Basket Systems
Expectations and Exchange Rate Policy
Expenditure Switching vs. Real Exchange Rate Stabilization: Competing Objectives for Exchange Rate Policy | Published
The Foreign Exchange Rate Exposure of Nations
Central bank intervention and exchange rate volatility, its continuous and jump components
Evaluating Foreign Exchange Market Intervention: Self-Selection, Counterfactuals and Average Treatment Effects | Published
Why Do Countries Peg the Way They Peg? The Determinants of Anchor Currency Choice | Published
Optimal monetary policy in a regime-switching economy: the response to abrupt shifts in exchange rate dynamics
Inflation Targeting in Dollarized Economies
The Coordination Channel of Foreign Exchange Intervention | Published
Authorities' beliefs about foreign exchange intervention: getting back under the hood | Published
Passthrough Estimates and the Choice of an Exchange Rate Index
Should central banks react to exchange rate movements? An analysis of the robustness of simple policy rules under exchange rate uncertainty
Why do Central Bankers Intervene in the Foreign Exchange Market? Some New Evidence and Theory
The Effect of a Transaction Tax on Exchange Rate Volatility
Foreign exchange market interventions as monetary policy
A Critical Appraisal of Recent Developments in the Analysis of Foreign Exchange Intervention
On the Credibility of Currency Boards
The Historical Origins of U.S. Exchange Market Intervention Policy
Devaluation without common knowledge
Dollarization and financial integration
Exchange Rate Policy and Liability Dollarization: An Empirical Study
Currency Crises and Monetary Policy in Economies with Partial Dollarisation of Liabilities
Talks, financial operations or both? Generalizing central banks’ FX reaction functions | Published
Fed intervention, dollar appreciation, and systematic risk
What prompts Japan to intervene in the Forex market? A new approach to a reaction function
"Optimal" inflation under dollarization
Solving Endogeneity in Assessing the Efficacy of Foreign Exchange Market Interventions
The Influence of Actual and Unrequited Interventions
Dollarization and exchange rate fluctuations
Monetary Policy in an Equilibrium Portfolio Balance Model
Why China Should Keep Its Dollar Peg
Why China Should Abandon Its Dollar Peg
Solving Endogeneity in Assessing the Efficacy of Foreign Exchange Market Interventions
Informative trading or just costly noise? An analysis of Central Bank interventions
Persistent Appreciations and Overshooting: A Normative Analysis
Optimal exchange rate policy in a low interest rate environment | Published
Optimal Monetary Policy with Vertical Production and Trade
Fear of Floating and Social Welfare
The Renminbifs Dollar Peg at the Crossroads
Fear of appreciation
A Heterogenous Agents Model Usable for the Analysis of Currency Transaction Taxes
Liquidity shocks and the dollarization of a banking system
Sterilized Intervention in Emerging-Market Economies: Trends, Costs, and Risks
Sterilization, Monetary Policy, and Global Financial Integration
Accumulating Foreign Reserves Under Floating Exchange Rates
Oral Interventions Versus Actual Interventions in Fx Markets - An Event-Study Approach
Conditional Efficacy of Sterilized Intervention
Fear of Declaring: Do Markets Care What Countries Say About Their Exchange Rate Policies?
Exchange Rate Dynamics and the Relationship between the Random Walk Hypothesis and Official Interventions
A class of quadratic options for exchange rate stabilization
The welfare implications of foreign exchange intervention
Currency interdependence and dollarization
Dollarization, exchange rate regimes and government quality
A new solution to the Purchasing Power Parity puzzles: Risk-aversion, exchange rate uncertainty and the Law of One Price
Evaluating Historical CGER Assessments:How Well Have They Predicted Subsequent Exchange Rate Movements?
Learning under Fear of Floating
The Effects of Real Exchange Rate Shocks in an Economy with Extreme Liability Dollarization
Optimal devaluations
Should central bankers talk to the foreign exchange markets?
A brief empirical history of U.S. foreign-exchange intervention: 1973-1995
The Future of China's Exchange Rate Policy
Policy Responses to Exchange-Rate Movements
Financial dollarization: Short-run determinants in transition economies
Speculative hyperinflations and currency substitution
Exchange rate management in emerging markets: Intervention via an electronic limit order book
How successful is the G7 in managing exchange rates?
Do China and oil exporters influence major currency configurations?
The Mechanics of Central Bank Intervention in Foreign Exchange Markets
Optimal intervention in the foreign exchange market when interventions affect market dynamics
On-Going versus Completed Interventions and Yen/Dollar Expectations - Evidence from Disaggregated Survey Data
Does inflation targeting lead to excessive exchange rate volatility?
Currency Misalignments and Growth: a New Look Using Nonlinear Panel Data Methods
Capturing the time dynamics of central bank intervention
The Interest Rate — Exchange Rate Nexus: Exchange Rate Regimes and Policy Equilibria
Macro-Hedging for Commodity Exporters
High-Frequency Analysis of Foreign Exchange Interventions: What Do We Learn?
Revisiting the Tobin Tax, in the Context of Development and the Financial Crisis
Noise traders, exchange rate disconnect puzzle, and the Tobin tax
Official Central Bank Interventions in the Foreign Exchange Markets: A DCC Approach with Exogenous Variables
FX Swaps: Implications for Financial and Economic Stability
Target Zones and Exchange Rate Dynamics
Abstract: This paper develops a simple model of exchange rate behavior under a target zone regime. It shows that the expectation that monetary policy will be adjusted to limit exchange rate variation affects exchange rate behavior even when the exchange rate lies inside the zone and is thus not being defended actively. Somewhat surprisingly, the analysis of target zones turns out to have a strong formal similarity to problems in option pricing and investment under uncertainty.
An Interpretation of Recent Research on Exchange Rate Target Zones
Abstract: A review of the theory, including extensions, and the empirics on research in exchange rate target zones.
No Single Currency Regime Is Right for All Countries or at All Times
Abstract: This essay considers some currently popular prescriptions for exchange-rate regimes: a general movement toward floating, toward fixing, or toward either extreme and away from the middle. The whole spectrum from fixed to floating is covered (including basket pegs, crawling pegs, and bands), with special attention to currency boards and dollarization. One overall theme is that the appropriate exchange-rate regime varies depending on the specific circumstances of the country in question (which includes the classic optimum-currency-area (OCA) criteria, as well as some newer criteria related to credibility) and depending on the circumstances of the period in question (which includes the problem of successful exit strategies). Latin American interest rates are seen to be more sensitive to U.S. interest rates when the country in question has a loose dollar peg than when it has a tight peg. It is also argued that such relevant country characteristics as income correlations and openness can vary over time, and that the OCA criterion is accordingly endogenous.
A regional export-weighted dollar: a different way of looking at exchange rate changes
Optimal Choice of Exchange Rate Regime: The Case of Australia
Fixed or Flexible? Getting the Exchange Rate Right in the 1990s
Exchange Rate Regimes and the Stability of Trade Policy in Transition Economies
Implications of the Currency Crisis for Exchange Rate Arrangements in Emerging East Asia
Proposed Strategy for a Regional Exchange Rate Arrangement in Post-Crisis East Asia
Examining the Case for Currency Basket Regimes for Southeast Asia
Mundell, the Euro, and Optimum Currency Areas
Monetary Independence in Emerging Markets - Does the Exchange Rate Regime Make a Difference?
Currency Unions
Abstract: This book brings together a diverse group of experts on international monetary policy to examine the basic conceptual issues of currency unions and other monetary regimes, including flexible and fixed exchange rates, and assess the available empirical evidence on the performance of these alternative monetary systems. They also draw some policy conclusions on the desirability of currency unions for countries in various circumstances. Currency Unions reviews the traditional case for flexible exchange rates and countercyclical—that is, expansionary during recessions and contractionary in booms—monetary policy and shows how flexible exchange rate regimes can better insulate the economy from such real disturbances as terms-of-trade shocks. The book also looks at the pitfalls of flexible exchange rates—and why fixed rates, particularly full dollarization—might be a more sensible choice for some emerging-market countries. The contributors also detail the factors that determine the optimal sizes of currency unions, explain how a currency union greatly expands the volume of international trade among its members, and examine the recent implementation of dollarization in Ecuador.
Exchange-Rate Regimes and International Trade: Evidence from the Classical Gold Standard Era
Exchange Rate Regimes: Some Lessons from Postwar Europe
Sustaining Fixed Exchange Rates - A Model with Debt and Institutions
How Do Countries Choose Their Exchange Rate Regime?
Real and Monetary Shocks to the Canadian Dollar: Do Canada and the U.S Form an Optimal Currency Area?
The Mechanics of a successful Exchange-Rate Peg: Lessons from Emerging Markets
Fewer Monies, Better Monies
Does the Exchange Rate Regime Affect Macroeconomic Performance? Evidence from Transition Economies
Real Exchange Rate Behavior Under Floating and Fixed Regimes
Baltic Monetary Regimes in the XX1st Century
Pricing Currency Risk: Facts and Puzzles from Currency Boards
Terms of Trade and Exchange Rate Regimes in Developing Countries | Published
Exchange-Rate Regimes and International Trade: Evidence from the Classical Gold Standard Era
To Float or to Trail: Evidence on the Impact of Exchange Rate Regimes
Exchange Rate Regimes and Economic Performance
Fixed versus Flexible: Lessons from EMS Order Flow | Published
A Model of Exchange Rate Regime Choice in the Transitional Economies of Central and Eastern Europe
Fixed or floating: is it still possible to manage in the middle?
Pegging and macroeconomic performance in East Asia
Estimation and Arbitrage Opportunities for Exchange Rate Baskets
Characterizing Exchange Rate Regimes in Post-Crisis East Asia
Core, Periphery, Exchange Rate Regimes, and Globalization
Assessing the impact of macroeconomic news announcements on securities prices under different monetary policy regimes
Maastricht and the Choice of Exchange Rate Regime in Transition Countries during the Run-Up to EMU
Beyond Bipolar: A Three-Dimensional Assessment of Monetary Frameworks
Abstract: A great deal of attention has been focused recently on the impact of exchange rate regimes, just as previous empirical research examined central bank autonomy and announced targets for domestic monetary policy. To date, however, these three elements of monetary frameworks have been assessed in isolation from one another, and all have been viewed in terms of a unidimensional spectrum of fixity versus flexibility. Using a newly-constructed dataset, this paper jointly analyzes and compares all three elements’ effects on inflation and exchange rate behavior. The results show that each of the three elements has independent and distinct effects on nominal outcomes. Key findings include: (1) although hard pegs do tend to reduce inflation and attenuate exchange rate fluctuations within some range, they are clearly characterized by large devaluations; (2) central bank autonomy is associated with a more stable exchange rate and lower inflation; and (3) explicit inflation targeting reduces both inflation and its persistence, consistent with the view that inflation targeting increases flexibility through transparency. These results raise the possibility that a combination of central bank autonomy, inflation targeting, and a free float might offer the same benefits as any intermediate exchange rate regime on its own, without the proclivity to occasional large depreciations.
Anchor, Float or Abandon Ship: Exchange Rate Regimes for Accession Countries
Exchange Rate Regimes and Capital Flows
SURVEY PAPER
Abstract: From the series Annals of the American Academy of Political and Social Science, Vol 579.
Exchange rate regimes and financial dollarization: does flexibility reduce bank currency mismatches? | Published
Global Transmission of Interest Rates: Monetary Independence and Currency Regime | Published
Terms of Trade and Exchange Rate Regimes in Developing Countries
Pricing Currency Risk: Facts and Puzzles from Currency Boards
Optimal exchange rate regime in a two-sector economy
Currency Substitution in Russia
Terms of trade and exchange rate regimes in developing countries
Do "Flexible" Exchange Rates of Developing Countries Behave Like the Floating Exchange Rates of Industrialized Countries?
Exchange rate overshooting and the costs of floating
"New" views on the optimum currency area theory : what is EMU telling us?
Policy pre-commitment and institutional design: A synthetic indicator applied to Currency Boards
Abstract: Currency boards have been portrayed as an extreme way of creating currency quality and improving monetary policy credibility in emerging market economies. Yet the link between currency board operations and credibility is far from obvious. Indeed, under the heading of currency boards, there is in fact a number of significantly diverse institutional arrangements. Furthermore, currency boards can only be viewed as part of a wider policy framework encompassing fiscal sustainability and flexibility in the real economy. Along these lines, this paper describes as precisely as possible what constitutes, in theory, a currency board. It highlights the specificities of money multiplier and balance sheet issues in currency board frameworks. The paper offers an in-depth review of the actual institutional arrangements underlying existing currency boards in Eastern Europe and Asia (as well as that of Argentina until 2001) and derives a synthetic indicator of institutional pre-commitment. The paper concludes with a discussion of flexibility and credibility tradeoffs and exit issues.
The Modern History of Exchange Rate Arrangements: A Reinterpretation | Published
Abstract: We develop a novel system of reclassifying historical exchange rate regimes. One key difference between our study and previous classifications is that we employ monthly data on market-determined parallel exchange rates going back to 1946 for 153 countries. Our approach differs from the IMF official classification (which we show to be only a little better than random); it also differs radically from all previous attempts at historical reclassification. Our classification points to a rethinking of economic performance under alternative exchange rate regimes. Indeed, the breakup of Bretton Woods had less impact on exchange rate regimes than is popularly believed.
Uncertainty, Exchange Rate Regimes, and National Price Levels | Published
Optimal Currency Areas
Currency Fluctuations, Liability Dollarization, and the Choice of Exchange Rate Regimes in Emerging Markets
Self-Validating Optimum Currency Areas
Long-Run Determinants of Exchange Rate Regimes: A Simple Sensitivity Analysis
Does It Really Matter Whether the Exchange Rate Floats or Not?
Classifying Exchange Rate Regimes
Exchange Rate Regimes: Choices and Consequences
Exchange Rate Regime Considerations in an Oil Economy: the Case of the Islamic Republic of Iran
On the Choice of an Exchange Regime: Target Zones Revisited
Segmented Asset Markets and Optimal Exchange Rate Regimes | Published
Exchange Rate Regime Choice in Historical Perspective
Do Fixed Exchange Rates Induce More Fiscal Discipline?
Pick Your Poison: The Exchange Rate Regime and Capital Account Volatility in Emerging Markets
The Mirage of Exchange Rate Regimes for Emerging Market Countries | Published
Abstract: This paper argues that much of the debate on choosing an exchange rate regime misses the boat. It begins by discussing the standard theory of choice between exchange rate regimes, and then explores the weaknesses in this theory, especially when it is applied to emerging market economies. It then discusses a range of institutional traits that might predispose a country to favor either fixed or floating rates, and then turns to the converse question of whether the choice of exchange rate regime may favor the development of certain desirable institutional traits. The conclusion from the analysis is that the choice of exchange rate regime is likely to be of second order importance to the development of good fiscal, financial, and monetary institutions in producing macroeconomic success in emerging market countries. This suggests that less attention should be focused on the general question whether a floating or a fixed exchange rate is preferable, and more on these deeper institutional arrangements. A focus on institutional reforms rather than on the exchange rate regime may encourage emerging market countries to be healthier and less prone to the crises that we have seen in recent years.
Choosing (and reneging on) exchange rate regimes
A Proposed Monetary Regime for Small Commodity Exporters: Peg the Export Price
Living and Dying with Hard Pegs: The Rise and Fall of Argentina's Currency Board
Regional currency areas and the use of foreign currencies
CONFERENCE VOLUME
Flexible Exchange Rates as Shock Absorbers | Published
Exits From Pegged Regimes: An Empirical Analysis
Noise trading and exchange rate regimes: Some empirical evidence
Exchange Rate Regime Choice in Historical Perspective
SURVEY PAPER
Abstract: In this paper, I survey the issue of exchange rate regime choice from the perspective of both the industrial and emerging economies taking an historical perspective. I first survey the theoretical issues beginning with a taxonomy of regimes. I then examine the empirical evidence on the delineation of regimes and their macroeconomic performance. The penultimate section provides a brief history of monetary regimes in industrial and emerging economies. The conclusion considers the case for a managed float regime for today's emerging economies.
Technical trading and exchange rate regimes: Some empirical evidence | Published
A time series model for an exchange rate in a target zone with applications | Published
How Tight Should Central Bank's Hands be Tied? Credibility, Volatility and the Optimal Band Width of a Target Zone
Exchange Rate Regimes and Monetary Discipline - Only Hard Pegs Make a Difference
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes
Experience of and Lessons from Exchange Rate Regime in Emerging Economies
SURVEY PAPER
The Choice of Monetary/Exchange Rate Regimes: Concepts and Arguments
Exchange Rate Regimes for the 21st Century: Asia, Europe and the Americas
Explaining the Transition Between Exchange Rate Regimes
Exchange Rate Regimes and Volatility: Comparison of the Snake and Visegrad | Published
Evolution and Performance of Exchange Rate Regimes
Optimum currency area theory: A selective review
Good Housekeeping? Reputation, Fixed Exchange Rates, and the 'Original Sin' Problem
A Time Series Model for an Exchange Rate in a Target Zone with Applications
Financial Dollarization and Debt Deflation under a Currency Board
The Effect of Fixed Exchange Rates on Monetary Policy
Exchange Rate Regimes, Globalisation And The Cost Of Capital In Emerging Markets
The basket-peg, dollar-peg, and floating: A comparative analysis
The Expenditure Switching Effect and the Choice Between Fixed and Floating Exchange Rates
From Fixed to Float: Operational Aspects of Moving Towards Exchange Rate Flexibility
Exchange Rate Regime Durability and Performance in Developing Countries Versus Advanced Economies | Published | Comment
Fixed Exchange Rates and Trade | Published
Structural Factors Affecting Exchange Rate Volatility: A Cross-Section Study
Exchange-Rate Regimes: "Does What Countries Say Matter?" | Published
Endogenous Price Flexibility, the Expenditure Switching Effect and Exchange Rate Regime Choice
An Institutional Framework for Comparing Emerging Market Currency Boards
Monetary Policy and the Currency Denomination of Debt: A Tale of Two Equilibria | Published
Exchange Rate Regimes and Economic Linkages
Could the Exchange Rate Regime Reduce Macroeconomic Volatility?
Fixed, Float or Intermediate? A Cross-COuntry Time Series Analysis Of Exchange Rate Regimes
Exchange Rate Regimes And Fiscal Performance. Do Fixed Exchange Rate Regimes Generate More Discipline Than Flexible Ones?
Exchange Rate Regimes Past, Present and Future
Putting the Cart Before the Horse? Capital Account Liberalization and Exchange Rate Flexibility in China
Can Endogenous Changes in Price Flexibility Alter the Relative Welfare Performance of Exchange Rate Regimes?
Classifying exchange rate regimes: Deeds vs. words
The global implications of regional exchange rate regimes
Macroeconomic effects of nominal exchange rate regimes: new insights into the role of price dynamics
Effective Exchange Rate Classifications and Growth
Cataclysms and Currencies: Does The Exchange Rate Regime Matter for Real Shocks? | Published
Are Emerging Market Countries Learning to Float?
Peg the export price index: A proposed monetary regime for small countries
The original sin and the blessing trinity: An investigation
Pitfalls in estimating equilibrium exchange rates for transition economies
A modified currency board system: Theory and evidence
Pegged Exchange Rate Regimes -- A Trap?
Productivity Growth and the Exchange Rate Regime: The Role of Financial Development
Welfare implications of joining a common currency
Exchange Rate Regimes and Trade
Structural Reforms and the Exchange Rate Regime: A Panel Analysis for the World versus OECD Countries
The duration of fixed exchange rate regimes
Evaluation of Currency Regimes: The Unique Role of Sudden Stops
Output Costs, Currency Crises, and Interest Rate Defense of a Peg
Target Zones in Theory and History: Credibility, Efficiency, and Policy Autonomy | Published
Does the Time Inconsistency Problem Make Flexible Exchange Rates Look Worse Than You Think?
Bi-Polar Disorder: Exchange Rate Regimes, Economic Crises and the IMF
The Impact of Foreign Interest Rates on the Economy: The Role of the Exchange Rate Regime | Published
On the identification of de facto currency pegs
Openness and the case for flexible exchange rates
De facto and official exchange rate regimes in transition economies
To Peg or Not to Peg: A Template for Assessing the Nobler
The choice between fixed and flexible exchange rates: Which is best for a small open economy?
Exchange Rate Regimes, Location, and Specialization
The Impact of Foreign Interest Rates on the Economy: The Role of the Exchange Rate Regime
Fiscal Policy and Welfare under Different Exchange Rate Regimes
Choice of exchange rate regime in transition economies: An empirical analysis
International Exchange Rate Systems - Where do we Stand?
The exchange rate – A shock-absorber or source of shocks? A study of four open economies
Target zones for exchange rates and policy changes
Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how?
Capital inflows, fiscal discretion, and exchange rate policy
Implications of the Modigliani-Miller Theorem for the Study of Exchange Rate Regimes
Exchange Rate Regimes, Specialization and Trade Volume
Optimal exchange rate regimes: Turning Mundell-Fleming's dictum on its head
Abstract: A famous dictum in open economy macroeconomics -- which obtains in the Mundell-Fleming world of sticky prices and perfect capital mobility -- holds that the choice of the optimal exchange rate regime should depend on the type of shock hitting the economy. If shocks are predominantly real, a flexible exchange rate is optimal, whereas if shocks are mainly monetary, a fixed exchange rate is optimal. There is no obvious reason, however, why this paradigm should be the most appropriate one to think about this important issue. Arguably, asset market frictions may be as pervasive as goods market frictions (particularly in developing countries). In this light, we show that in a model with flexible prices and asset market frictions, the Mundell-Fleming dictum is turned on its head: flexible rates are optimal in the presence of monetary shocks, whereas fixed rates are optimal in response to real shocks. We thus conclude that the choice of an optimal exchange rate regime should depend not only on the type of shock (real versus monetary) but also on the type of friction (goods versus asset market).
On the Relevance of Exchange Rate Regimes for Stabilization Policy | Published
Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets
Assessing China's Exchange Rate Regime
Parametric and Non-parametric Approaches to Exits from Fixed Exchange Rate Regimes
Segmented Asset Markets and Optimal Exchange Rate Regimes
Exchange Rate Regimes, Inflation and Growth in Developing Countries -- An Assessment
The choice of exchange rate regimes in developing countries: A multinomial panel analysis
Exchange rate dynamics in a target zone: a heterogeneous expectations approach
IMF Support and Inter-regime Exchange rate Volatility
Expenditure-Switching Effect and the Choice of Exchange Rate Regime
Pass-through of Exchange Rates and Competition Between Floaters and Fixers
Real exchange rate fluctuations, endogenous tradability and exchange rate regimes
The dynamics of exchange rate regimes: Fixes, floats, and flips
Why Do Countries Peg the Way They Peg?The Determinants of Anchor Currency Choice
Estimation of De Facto Exchange Rate Regimes: Synthesis of the Techniques for Inferring Flexibility and Basket Weights | Published
When is it Optimal to Abandon a Fixed Exchange Rate?
Abstract: The influential Krugman–Flood–Garber (KFG) model of balance of payment crises assumes that a fixed exchange rate is abandoned if and only if international reserves reach a critical threshold value. From a positive standpoint, the KFG rule is at odds with many episodes in which the central bank has plenty of international reserves at the time of abandonment. We study the optimal exit policy and show that from a normative standpoint, the KFG rule is generally suboptimal. We consider a model in which the fixed exchange rate regime has become unsustainable due to an unexpected increase in government spending. We show that when there are no exit costs, it is optimal to abandon immediately. When there are exit costs, the optimal abandonment time is a decreasing function of the size of the fiscal shock. For large fiscal shocks, immediate abandonment is optimal. Our model is consistent with evidence suggesting that many countries exit fixed exchange rate regimes with still plenty of international reserves in the central bank’s vault.
Exchange Rate Regimes and Capital Mobility: How Much of the Swoboda Thesis Survives? | Alternative
The Rise and Fall of the Dollar, or When did the Dollar Replace Sterling as the Leading Reserve Currency?
Forward-rate target zones and exchange rate dynamics
Currency Misalignments and Exchange Rate Regimes in Emerging and Developing Countries | Published
Foreign Debt and Fear of Floating: A Theoretical Exploration
Exchange Rate Regimes and the Extensive Margin of Trade
Exploring different views of exchange rate regime choice
Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?
A Faith-based Initiative: Does a Flexible Exchange Rate Regime Really Facilitate Current Account Adjustment?
The Classification and Perfomance of Alternative Exchange-Rate Systems
Not Complements, But Substitutes: Fixed Exchange Rate Commitments, Central Bank Independence, and External Currency Stability
Automatic stabilizer feature of fixed exchange rate regimes
Does the currency regime shape unhedged currency exposure?
The Benefit of Exchange Rate Flexibility, Trade Openness and Extensive Margin
Determinants of exchange rate regime switching
Openness, exchange rate regimes and the Phillips curve
Institutional development and the choice of exchange rate regime: A cross-country analysis
The Name of the Rose: Classifying 1930s Exchange-Rate Regimes
Choosing and assessing exchange rate regimes: A survey of the literature
SURVEY PAPER
The Case for an Intermediate Exchange Rate Regime with Endogenizing Market Structures and Capital Mobility
The Importance of the Exchange Rate Regime in Limiting Misalignment
Revised System for the Classification of Exchange Rate Arrangements
Are Hard Pegs Ever Credible in Emerging Markets? Evidence from the Classical Gold Standard
Structure and evolution of the foreign exchange networks
Analysis of a network structure of the foreign currency exchange market
Exchange rate regimes, globalisation, and the cost of capital in emerging markets
Exchange Rate Regimes in Developing and Emerging Economies and the Incidence of IMF Programs
Advantages of Fixed Exchange Rate Regime from a General Equilibrium Perspective
Estimation of De Facto Flexibility Parameter and Basket Weights in Evolving Exchange Rate Regimes
Deciding to Peg the Exchange Rate in Developing Countries:The Role of Private-Sector Debt
Analysis of exchange-rate regime effect on growth: theoretical channels and empirical evidence with panel data
Modeling Sample Selection for Durations with Time-Varying Covariates, with an Application to the Duration of Exchange Rate Regimes
On the endogeneity of exchange rate regimes
Exchange Rate Choices of Microstates
The Empirics of Exchange Rate Regimes and Trade: Words vs. Deeds
Due to the vast amount of literature in this field, a separate page on financial crises has been set up. You can access it here.
International Business Cycles
Abstract: The authors estimate a dynamic two-country model in which economic fluctuations are driven by a worldwide supply shock; country-specific supply shocks; and relative fiscal, money, and preference shocks. Identification is achieved using only long-run restrictions based on a theoretical model. The main results are: (1) supply shocks, particularly country-specific ones, are very important in generating international business cycles and (2) although the post-1973 flexible-exchange-rate period has been inherently more volatile, there are no differences in transmission properties of economic disturbances across exchange-rate regimes for the endogenous variables they focus on.
What Can Explain the Apparent Lack of International Consumption Risk Sharing?
International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)
Spurious Welfare Reversals in International Business Cycle Models
Capital Imports and the Jacksonian Economy: The Business Cycle and the Balance of Payments
Variable Factor Utilization and International Business Cycles
Why Is the Business-Cycle Behavior of Fundamentals Alike Across Exchange-Rate Regimes?
The Rise in Comovement Across National Stock Markets: Market Integration or Global Bubble?
Synchronized Business Cycles in East Asia: Fluctuations in the Yen/Dollar Exchange Rate and China’s Stabilizing Role
The Trade Comovement Problem in International Macroeconomics
Substitution elasticities and investment dynamics in international business cycle models
The trade comovement problem in international macroeconomics
How Does Globalization Affect the Synchronization of Business Cycles?
International Business Cycles: The Quantitative Role of Transportation Costs
How much does international trade affect business cycle synchronization?
Are They All in the Same Boat? The 2000-01 Growth Slowdown and the G-7 Business Cycle Linkages
Trade, Finance, Specialization, and Synchronization | Published
International Transmission of Business Cycles in an Increasingly Integrated Trade Structure, Industrial Structure, and International Business Cycles
How Does Globalization Affect the Synchronization of Business Cycles?
Understanding Changes in International Business Cycle Dynamics
Abstract: The volatility of economic activity in most G7 economies has moderated over the past forty years. Also, despite large increases in trade and openness, G7 business cycles have not become more synchronized. After documenting these twin facts, we interpret G7 output data using a structural VAR that separately identifies common international shocks, the domestic effects of spillovers from foreign idiosyncratic shocks, and the effects of domestic idiosyncratic shocks. This analysis suggests that, with the exception of Japan, the widespread reduction in volatility is in large part associated with a reduction in the magnitude of the common international shocks. Had the common international shocks in the 1980s and 1990s been as large as they were in the 1960s and 1970s, G7 business cycles would have been substantially more volatile and more highly synchronized than they actually were.
Home Bias and the Structure of International and Regional Business Cycles
International Business Cycles: World, Region, and Country-Specific Factors
Tariffs and the Great Depression Revisited
Country Spreads and Emerging Countries: Who Drives Whom? | Published
A spectral analysis of the cross-country consumption correlation puzzle
The transmission mechanism in a changing world
Have National Business Cycles Become More Synchronized?
Volatility and Comovement in a Globalized World Economy: An Empirical Exploration
International business cycles under fixed and flexible exchange rate regimes
Determinants of Business Cycle Comovement: A Robust Analysis | Published | Comment
Financial globalization and real regionalization
The International Business Cycle in a Changing World: Volatility and the Propagation of Shocks in the G7
Comparing shocks and frictions in US and euro area business cycles: a Bayesian DSGE approach
Financial Globalization, International Business Cycles and Consumption Risk Sharing
Consumption and Real Exchange Rates with Incomplete Markets and Non-traded Goods | Published
Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission
Deflation and the International Great Depression: A Productivity Puzzle
Fiscal Divergence and Business Cycle Synchronization: Irresponsibility is Idiosyncratic
Home Bias and International Risk Sharing: Twin Puzzles Separated at Birth
Can the Standard International Business Cycle Model Explain the Relation Between Trade and Comovement? | Published
Has Financial Development Made the World Riskier?
Global Inflation
Intra- and international risk-sharing in the short run and the long run
International business cycles with domestic and foreign lenders
Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US
Trade intensity and business cycle synchronization: Are developing countries any different?
Heterogeneous preferences and equilibrium trading volume
Similarities and convergence in G-7 cycles
Business Cycle Accounting
Abstract: We propose a simple method to help researchers develop quantitative models of economic fluctuations. The method rests on the insight that many models are equivalent to a prototype growth model with time-varying wedges that resemble productivity, labor and investment taxes, and government consumption. Wedges that correspond to these variables—efficiency, labor, investment, and government consumption wedges—are measured and then fed back into the model so as to assess the fraction of various fluctuations they account for. Applying this method to U.S. data for the Great Depression and the 1982 recession reveals that the efficiency and labor wedges together account for essentially all of the fluctuations; the investment wedge plays a decidedly tertiary role, and the government consumption wedge plays none. Analyses of the entire postwar period and alternative model specifications support these results. Models with frictions manifested primarily as investment wedges are thus not promising for the study of U.S. business cycles.
Finance and international business cycles
Business cycles with staggered prices and international trade in intermediate inputs
The Role of Nonseparable Utility and Nontradeables in International Business Cycle and Portfolio Choice
Monetary regime change and business cycles
Twin Deficits, Openness and the Business Cycle
High level of international risk sharing when the productivity growth contains long run risk
How Does Financial Globalization Affect Risk Sharing? Patterns and Channels | Published
International Diversification Gains and Home Bias in Banking
Changing Nature of North-South Linkages: Stylized Facts and Explanations
Comovements in international stock markets
Trade, Production Sharing, and the International Transmission of Business Cycles
On the empirics of international smoothing
Stochastic Discount Factor Approach to International Risk-Sharing: Evidence from Fixed Exchange Rate Episodes
Net exports, consumption volatility and international business cycle models
Understanding the evolution of world business cycles
Closing international real business cycle models with restricted financial markets
Global Business Cycles: Convergence or Decoupling?
Trade elasticity of substitution and equilibrium dynamics
International Financial Remoteness and Macroeconomic Volatility | Published
What Are the Driving Forces of International Business Cycles?
Vertical specialization and international business cycle synchronization
Financial Integration and Business Cycle Synchronization
On the international transmission of technology shocks
Transmission of the U.S. Subprime Crisis to Emerging Markets: Evidence on the Decoupling-Recoupling Hypothesis | Published
International business cycles and the relative price of investment goods
Putting the Parts Together: Trade, Vertical Linkages, and Business Cycle Comovement
Commodity Terms of Trade: The History of Booms and Busts
International Risk Sharing During the Globalization Era
Cointegrated TFP Processes and International Business Cycles
Regime Switches in GDP Growth and Volatility: Some International Evidence and Implications for Modeling Business Cycles
Cointegrated TFP processes and international business cycles
International portfolio reallocation: Diversification benefits and European monetary union
International Business Cycle Accounting
Medium-term business cycles in developing countries
Limited asset market participation and the consumption-real exchange rate anomaly
Global versus country-specific shocks and international business cycles
Terms of Trade Shocks and Fiscal Cycles
Whither the World Bank and the IMF?
International Institutions for Reducing Global Financial Instability
Basel Committee Compendium
Reforming the International Financial Architecture: Limiting Moral Hazard and Containing Real Hazard
From the Washington Consensus to the New International Financial Architecture
Toward A New International Financial Architecture: A Practical Post-Asia Agenda
Abstract: The Asian financial crisis and the global economic turmoil that followed it have highlighted the need to avert financial crises and resolve them quickly if they do occur. This book addresses current concerns that existing institutional arrangements, including the Bretton Woods institutions, can no longer adequately cope with today's world of high capital mobility. It provides a critical assessment of competing proposals to better predict, forestall, and resolve international financial crises and outlines a practical and pragmatic agenda for reform. The recommendations are based on the belief that financial markets can malfunction, creating a compelling case for a financial safety net (and therefore a role for the IMF), but also creating problems of moral hazard that must be addressed.
The International Monetary Fund - Financial Medic to the World? A Primer on Mission, Operations, and Public Policy Issues
SURVEY PAPER
The Debate On The International Financial Architecture: Reforming The Reformers
Examining the Case for an Asian Monetary Fund
The Global Economy in Crises: How the Gold Standard Absorbed Shocks, 1880-1914
Time Present and Time Past: A Duration Analysis of IMF Program Spells | Published
Carrots and Sticks: a quick fix for IMF conditionality?
IMF Structural Conditionality: How Much is Too Much?
The International Lender of Last Resort: How Large is Large Enough?
Should the IMF cease long term lending?
Abstract: As a long-term lender to low-income countries, the International Monetary Fund (IMF) also tackles problems of poverty and growth. Should the IMF withdraw from development finance leaving it up to donors and the World Bank, as critics suggest? Is it appropriate for the Fund to return to its traditional role? And could the World Bank provide more effective support for necessary structural adjustment?
Financial System Standards and Financial Stability - The Case of Basel Core Principles
An Academic Response to Basel II
Abstract: In our opinion the new Basel II proposals have failed to address many of the key failings of the global financial system, and may even present a destabilizing influence.
Comments On The New Basel Capital Accord: The Crucial Importance of a Conceptual Framework
Basel Committee Working Papers: Risk Sensitive Approaches for Equity Exposures in the Banking Book for IRB Banks
The Origins of the Modern Financial Revolution: Responses to Impediments from Church and State in Western Europe, 1200-1600
The Need for Competition in International Securities Regulation
Working Paper on Pillar 3 - Market Discipline
Will the proposed new Basel Capital Accord have a net negative effect on developing countries?
IMF Conditionality and Country Ownership of Programs
The New Basel Capital Accord: The Devil Is in the (Calibration) Details
The New International Financial Architecture and Africa
The Development and Reform of the Modern International Financial System
The Adam Klug Memorial Lecture: Haberler versus Nurkse: The Case for Floating Exchange Rates as an Alternative to Bretton Woods?
Does the IMF know best? Jamaica's response to financial crisis
The International Dollar Standard and Sustainability of the U.S. Current Account Deficit
The World Monetary System and External Relations of the EMU: Fasten your safety belts!
Twentieth Century Monetary Regimes in Canadian Perspective
Globalization, Crisis Contagion and the Reform of the International Financial Architecture
Why White, Not Keynes? Inventing the Post-War International Monetary System
A Capital Accord for Emerging Economies?
Financial Crises and Reform of the International Financial System
Abstract: Between December 1994 and March 1999, Mexico, Thailand, Indonesia, Korea, Malaysia, Russia and Brazil experienced major financial crises which were associated with massive recessions and extreme movements of exchange rates. Similar crises have threatened Turkey and Argentina (2000 and 2001) and most recently Brazil (again). This article discusses the reform of the international financial system with a focus on the role of the IMF - reforms directed at crisis prevention, and those intended to improve the responses to crises. The article concludes with an appraisal of what has been achieved, and what remains to be done to make the international financial system safer.
The Extended Panda's Thumb and a New Global Financial Architecture
What Determines the Implementation of IMF-Supported Programs?
Do IMF-Supported Programs Help Make Fiscal Adjustment More Durable?
On the International Financial Architecture: Insuring Emerging Markets
Exchange Rates in the Periphery and International Adjustment Under the Gold Standard | Published
Adoption of an IMF programme and debt rescheduling: An empirical analysis
The Future of the IMF
The World Bank of the Future
International institutional lending arrangements to sovereign borrowers
What strategies are viable for developing countries today? The World Trade Organization and the shrinking of ‘development space’
Currency competition: a partial vindication of Hayek | Published
Survival of fittest
Paper or Gold
An Essay on the Revived Bretton Woods System
The Past as Future? The Contribution of Financial Globalization to the Current Crisis of Neo-Liberalism as a Development Strategy
Reforming the global financial system
International Lending of Last Resort and Moral Hazard: A Model of IMF's Catalytic Finance | Published
The Revived Bretton Woods System: The Effects of Periphery Intervention and Reserve Management on Interest Rates & Exchange Rates in Center Countries
Global Economic Governance at a Crossroads: Replacing the G-7 with the G-20
Global Imbalances and the Lessons of Bretton Woods | Published
The IMF and the Force of History: Ten Events and Ten Ideas that Have Shaped the Institution
Instability in Exchange Rates of the World Leading Currencies: Implications of a Spatial Competition Model among Central Banks
Global Monetary Policy Under a Dollar Standard | Published
A key currency and a local currency ? A simple theoretical model and its welfare implications
The US Current Account Deficit and Economic Development: Collateral for a Total Return Swap
Basel II and Developing Countries: Sailing through the Sea of Standards
An analysis of IMF-induced moral hazard
Bank Capital and Loan Loss Reserves under Basel II: Implications for Emerging Countries
Does Compliance with Basel Core Principles Bring Any Measurable Benefits? | Published
A Model of the IMF as a Coinsurance Arrangement
Who Runs the IFIs?
Some Fundamental Inadequacies of the Washington Consensus: Misunderstanding the Poor by the Brightest
Implicit Transfers in IMF Lending, 1973-2003
Will the Bretton Woods 2 Regime Unravel Soon? The Risk of Hard Landing in 2005-2006
Measuring Market Integration: Foreign Exchange Arbitrage and The Gold Standard, 1879-1913
Interest rate interactions in the classical gold standard, 1880–1914: was there any monetary independence?
Efficiency and Legitimacy: Trade-Offs in IMF Governance
Does the World Need a Universal Financial Institution?
The case for a world currency
Trapped by the international dollar standard
Stabilizing the international monetary system
Credit Risk Measurement Under Basel II: An Overview and Implementation Issues for Developing Countries
The Need for Institutional Changes in the Global Financial System: An Analytical Framework
Developing country representation and governance of the International Monetary Fund
Interest Rates, Exchange Rates and International Adjustment
Stuck on Gold: Real Exchange Rate Volatility and the Rise and Fall of the Gold Standard
Living with Global Imbalances: A Contrarian View | Published
Pillar 1 vs. Pillar 2 Under Risk Management
International Financial Instability in a World of Currencies Hierarchy
American in the Shadows: Harry Dexter White and the Design of the International Monetary Fund
A Bank-Fund projection framework with CGE features
Reforming the IMF for the 21st Century
CONFERENCE VOLUME
Abstract: The experts on the International Monetary Fund (IMF) who have written the papers in this volume all acknowledge the need for reform, and some argue forcefully that the IMF has become weak and ineffective and needs to refocus on its core mission. The papers cover the Fund’s role in making and enforcing the rules of the international monetary system; its governance, including voting rights, representation on the Executive Board, and choice of management; its lending; and its financial resources.
Two British Initiatives for IMF Lending to its Members, 1960–1962
Proposal for a Common Currency among Rich Democracies (Paper 1); One World Money, Then and Now (Paper 2)
Harmonization without representation: Small states, the Basel Committee, and the WTO
The Fallacy of the Revised Bretton Woods Hypothesis: Why Today's International Financial System Is Unsustainable
Banking on the principles: compliance with Basel Core Principles and bank soundness
The resolution of global imbalances: Soft landing in the North, sudden stop in emerging markets?
Evaluating the impact of IMF programs: A comparison of matching and instrumental-variable estimators
Principal-agent problems in international organizations
IMF quotas: Constructing an international organization using inferior building blocks
Reviving the Bank and Fund
Beyond the IMF
Global Imbalances and Low Interest Rates: An Equilibrium Model vs. A Disequilibrium Reality
The Incidence and Effectiveness of Prior Actions in IMF-Supported Programs
Promises Made, Promises Broken: A Model of IMF Program Implementation
Macroeconomic policies and participation in IMF programs
How Does the Global Economic Environment Influence the Demand for IMF Resources
Do External Interventions Work? The Case of Trade Reform Conditions in IMF Supported Programs | Published
A Stable International Monetary System Emerges: Inflation Targeting is Bretton Woods, Reversed | Published
How can IMF policy eliminate country moral hazard and account for externalities?
What kind of capital flows does the IMF catalyze and when?
On Current Account Surpluses and the Correction of Global Imbalances
Financial Integration, Financial Deepness and Global Imbalances | Published
Pricing Fund Liquidity Provision
Does the IMF cause moral hazard and political business cycles? Evidence from panel data
Unconditional IMF Financial Support and Investor Moral Hazard
IMF programs and reforms — inhibition or encouragement?
Intra-Day Seasonality in Foreign Exchange Market Transactions
IMF Drawing Programs: Participation Determinants and Forecasting
Miller, J.I. (2006)
Kim, J. (2006)
Bleaney, M. (2006)
Inci, A.C. (2006)
Schmukler, S.L., E. Levy Yeyati & N. Van Horen (2006)
Pesaran, M.H., R.P. Smith, T. Yamagata & L. Hvozdyk (2006)
Malliaropulos, D., E. Panopoulou, N. Pittis & T. Pantelidis (2006)
Égert, B., L. Halpern & R. MacDonald (2006)
Copeland, L. & S. Heravi (2006)
Thoenissen, C. (2006)
Rabanal, P & V. Tuesta (2006)
Wallace, F.H. & G.L. Shelley (2006)
Mejean, I. (2006)
Minford, P. & D.A. Peel (2006)
Crucini, M.J. & M. Shintani (2006/08)
Nikolaou, K. (2006/08)
Fischer, C. & D. Porath (2006)
Mulraine, M.L.B. (2006)
Caporale, G.M. & C. Hanck (2006)
Singh, M. & A. Banerjee (2006)
Philip, K. (2006)
Bodenstein, M. (2006/08)
Villavicencio, A.L. (2006)
Schnatz, B. (2006)
Lee, J. & Tang M-K. (2007)
Ravn, M.O., S. Schmitt-Grohé & M. Uribe (2007)
Alba, J.D. & D.H. Papell (2007)
Ferreira, A.L. & M.A. León-Ledesma (2007)
Sideris, D.S. (2007/08)
Kocherlakota, N.R. & L. Pistaferri (2007)
Juvenal, L. & M.P. Taylor (2007)
Nikolaou, K. (2007)
Ferreira, M.S. (2007)
Goldberg, P.K. & R. Hellerstein (2007)
Rose, A.K. & S. Supaat (2007)
SURVEY PAPER
Drine, I. & C. Rault (2007/08)
Qin, D. (2007)
Lee, H-T. & G.
Yoon (2007)
Binder, M. & C.J. Offermanns (2007)
Chaieb, I. & V. Errunza (2007)
Sengupta, A. (2007)
MacDonald, R. & L.A. Ricci (2007)
Okimoto, T. & K. Shimotsu (2007)
Coto-Martinez, J. & J. Reboredo (2007)
Dreger, C. & E. Girardin (2007)
Carlsson, M., J. Lyhagen & P. Österholm (2007)
Isard, P. (2007)
Sekioua, S.H. (2008)
Ricci, L.A., G.M. Milesi-Ferretti & J. Lee (2008)
Juselius, K. (2008)
Moore, M.J. & M.J. Roche (2008)
Bahmani-Oskooee, M. & A. Tankui (2008)
Aizenman, J. & J. Lee (2008)
Sollis, R. (2008)
Wu, J-L. & P-F. Chen (2008)
Villavicencio, A.L. (2008)
Benassy-Quere, A., S. Bereau & V. Mignon (2008)
Arghyrou, M.G. & A. Gregoriou (2008)
Zalduendo, J. (2008)
Johri, A. & A. Lahiri (2008)
Galstyan, V.A. & P.R. Lane (2008)
Alvarez, R. & R. Lopez (2008)
Pippenger, J. & L. Phillips (2008)
Martinez-Garcia, E. & J. Søndergaard (2008)
Cushman, D.O. (2008)
Wallace, F., R. Lozano Cortés & L.F. Cabrera-Castellanos (2008)
Juvenal, L. & M.P. Taylor (2008)
Giri, R. (2008)
Lopez, C., C.J. Murray & D.H. Papell (2008)
Gomes, F.P., M.Y. Takami & V.R. Brandi (2008)
Mathä, T.Y. (2008)
Dotsey, M. & M. Duarte (2008)
Betts, C.M. & T.J. Kehoe (2008)
Narayan, P.K. (2008)
Carvalho, C. & F. Nechio (2008)
Frydman, R., M.D. Goldberg, S. Johansen & K. Juselius (2008)
Christopoulos, D.K., K. Gente & M.A. Leon-Ledesma (2008)
Akram, Q.F., D. Rime & L. Sarno (2008/09)
Bereau, S., A.L. Villavicencio & V. Mignon (2008)
Cerrato, M., H. Kim & R. MacDonald (2008)
Craighead, W.D. (2009)
Lo, M.C. (2009)
Devereux, M.B., G.W. Smith & J. Yetman (2009)
Berka, M. (2009)
Fair, Ray C. (2009)
Bénétrix, A.S. & P.R. Lane (2009)
Crucini, M.J., M. Shintani & T. Tsuruga (2009)
Engel, C. (2009)
Calderon, C. & M. Kubota (2009)
Martinez-Garcia, E. & J. Sondergaard (2009)
Peltonen, T.A. & M. Sager (2009)
Ogaki, M. & H. Kim (2009)
Bagdatoglou. G. & A. Kontonikas (2009)
Terra, C. & F. Valladares (2009)
Kollmann, R. (2009)
Weisbrot, M., J. Cordero & L. Sandoval (2009)
McMillan, D.G. (2009)
Joya, J.O. (2009)
Peel, D., I. Paya & E. Pavlidis (2009)
Kiliç, R. (2009)
SURVEY PAPER
Bahmani-Oskooee, M. & S.W. Hegerty (2009)
Razmi, R., M. Rapetti & P. Skott (2009)
Peltonen, T.A., A. Popescu & M. Sager (2009)
Forte, A. (2009)
Kollmann, R. (2009)
Peel, D., I. Paya & E. Pavlidis (2009)
Buncic, D. (2009)
Choudhri, E.U. & L.L. Schembri (2009)
Juvenal, L. (2009)
Kim, H. & Y-K. Moh (2009)
Bleaney, M. & M. Francisco (2009)
Imbs, J., H. Mumtaz, M.O. Ravn & H. Rey (2009)
Mayoral. L. & M.D. Gadea (2009)
Hoffmann, M. & R. MacDonald (2009)
Bénassy-Quéré, A., S. Béreau & V. Mignon (2009)
Wang, P. (2009)
Crucini, M.J. & H. Yilmazkuday (2009)
Guerron-Quintana, P.A. (2009)
Kruse, R., M. Frömmel, L. Menkhoff & P. Sibbertsen (2009)
Caporale, G.M., T.H. Amor & C. Rault (2009)
Bergin, P.R., R. Glick & J-L. Wu (2009)
Basu, P. & R. Kollmann (2010)
Lee, I. & J. Shin (2010)
Bussière, M., M. Ca’ Zorzi, A. Chudík & A. Dieppe (2010)
Martínez-García, E. (2010)
Kim, S. & L.R. Lima (2010)
Exchange Rate Policy
Rogoff, K. (1985)
Carraro, C. & F. Giavazzi (1988)
Drazen, A. & P.R. Masson (1994)
Kaminsky, G.L. K.K. Lewis (1999)
Svensson, L.E.O. (2000)
Artis, M. (1999)
Krugman, P. (1999)
McKinnon, R. & K. Ohno (2000)
Flood, R. & O. Jeanne (2000)
Mella-Barral, P. & P. Vitale (2001)
Ishii, S., I. Otker-Robe & L. Cui (2001)
Engel, C. (2001)
Eden, B. (2001)
Taylor, D. (2001)
Morales, A. (2001)
Allayannis, G., G.W. Brown & L.F. Klapper (2001)
Clinton, K. (2001)
Lahiri, A. & C.A. Vegh (2001)
Kletzer, K. & R. Kohli (2001)
Dominguez, K.M.E. & L.L. Tesar (2001/05)
González, J.A. (2001)
Lothian, J.R. & C.H. McCarthy (2001)
Anderton, R., F. Skudelny (2001)
Jang, K. & M. Ogaki (2001)
de Crombrugghe, A. (2001)
Chabellard, F. (2001)
Reinhart, C.M. & V.R. Reinhart (2001)
Ennis, H.M. (2001)
Craine, R. (2001)
Goldfajn, I. & G. Olivares (2001)
Edwards, S. (2001)
Levy-Yeyati, E. & F. Sturzenegger (2001)
Taylor, M.P. & L. Sarno (2001)
Shi, A. (2002)
Izurieta, A. (2002)
Chang, R. & A. Velasco (2002)
Kumhof, M. & S. Van Nieuwerburgh (2002)
Calvo, G.A., O. Celasun & M. Kumhof (2002)
Tille, C. (2002)
Tille, C. (2002/06)
Dutta, J. (2002)
Engel, C. (2002)
Levina, I. & O. Zamulin (2002)
Feige, E.L., V. Šošiæ, M. Faulend & V. Šonje (2002)
Mendoza, E.G. (2002)
Edwards, S. & I.I. Magendzo (2002)
Cunha, A.B. (2002)
Obstfeld, M. & K. Rogoff (2001/2002)
Uribe, M. (2002)
Goldfajn, I. & A. Silveira (2002)
Ize, A. & E. Parrado (2002)
Corrado, L., M. Miller & L. Zhang (2002)
Edwards, S. (2002)
Edwards, S. & I. Magendzo (2003)
Broda, C. & E.L. Yeyati (2003)
Barajas Estrada, A. & A. Morales (2003)
Feige, E.L. (2003)
Chen, S.S. (2003)
Faust, J., J.H. Rogers, E. Swanson & J.H. Wright (2003)
Reinhart, C.M. & V.R. Reinhart (2003)
Canales Kriljenko, J.I. (2003)
Hutchison, M.M. (2003)
Edwards, S. & I. Magendzo (2003)
Beaugrand, P. (2003)
McKinnon, R. & G. Schnabl (2003)
Burstein, A., M. Eichenbaum & S. Rebelo (2003)
Kim, S. (2003)
Dominguez, K.M.E. (2003/06)
Piontkovsky, R. (2003)
Celasun, O. (2003/06)
Canales Kriljenko, J.I., R. Guimaraes & C. Karacadag (2003)
Duncan, R. (2003)
Honohan, P., A. Ize & G. De Nicolo (2003)
Cowan, K. & Do Q-T (2003)
Helpman, E. & E. Sadka (2003)
Jeanne, O. (2003)
Reinhart, C.M., K.S. Rogoff & M.A. Savastano (2003)
Obstfeld, M.,J.C. Shambaugh & A.M. Taylor (2003/04/05)
Woo, W.T. (2003)
Faust, J. & J.H. Rogers (2003)
Fischer, A. (2003)
Ganapolsky, E.J.J. (2003)
Joshi, V. (2003)
SURVEY PAPER
Humpage, O.F. (2003)
Terzi, A. (2003)
Flynn, S.M. (2003)
Tchakarov, I. (2004)
CONFERENCE VOLUME
Various authors (2004)
de la Torre, A. & S. Schmukler (2004)
Kim, S., S.H. Kim & Y. Wang (2004)
Hovanov, N.V., J.W. Kolari & M.V. Sokolov (2004)
Obstfeld, M., J.C. Shambaugh & A.M. Taylor (2004)
Pierdzioch, P. (2004)
Srour, G. (2004)
Craig, B. & C.J. Waller (2004)
Elekdag, S. & I. Tchakarov (2004/07)
Ito, T. & T. Yabu (2004)
Ho, W-M. (2004)
Frenkel, M., C. Pierdzioch & G. Stadtmann (2004)
Ize, A. & A. Powell (2004)
Albuquerque, R. (2004/07)
Moron, E., J.F. Castro & D. Winkelried (2004)
Coenen, G. & V.W. Wieland (2004)
Goldstein, M. (2004)
McKinnon, R. & G. Schnabl (2004)
Hallwood, P., I.W. Marsh & J. Scheibe (2004)
Reitz, S., F. Westerhoff & C. Wieland (2004)
Jeanne, O. & L.E.O. Svensson (2004)
Kletzer, K. & M.M. Spiegel (2004)
Cook, D. (2004)
Brissimisa, S.N. & D.P. Chionis (2004)
Cespedes, L.F., R. Chang & A. Velasco (2004)
Levy Yeyati, E. (2004)
Carranza. L., J.E. Galdon-Sanchez & J.G. Biscarri (2004/09)
Brown, B.W. & D.J. Hodgson (2004)
Heymann, D. & E. Kawamura (2004)
Levy-Yeyati, E. (2004)
Jahjah, S. & V.Z. Yue (2004)
Fratzscher, M. (2004/08)
Ho, C. & R.N. McCauley (2004)
Mundaca, G.B. & J. Strand (2004)
Corrado, G. (2005)
Canavese, A. (2004)
Castrén, O., T. Takalo & G. Wood (2004)
Strand, J. & G. Mundaca (2004)
Minda, A. (2005)
Honig, A. (2005)
Detragiache, E., A. Mody & E. Okada (2005)
Eichengreen, B. (2005)
Keiding, H. & M.J. Knudsen (2005)
De Nicoló, G., P. Honohan & A. Ize (2005)
Frankel, J. (2005)
Devereux, M.B., K. Shi & J. Xu (2005)
McKinnon, R.I. (2005)
Canzoneri, M.B., R.E. Cumby & B.T. Diba (2005)
Lange, C. & C. Sauer (2005)
Fiess, N. & R. Shankar (2005)
Klein, M.W. (2005)
Fratzscher, M. (2005)
Sgherri, S. (2005)
Eichengreen, B. & M. Hatase (2005)
Ize, A., M.A. Kiguel & E. Levy Yeyati (2005)
Ize, A. (2005)
Ize, A. & E. Levy Yeyati (2005)
De Grauwe, P., M. Grimaldi & M.A.R. Beine (2005/09)
Bokil, M. (2005)
Castro, J.F. & E. Morón (2005)
Cai, J. (2005)
Asici, A.A. & N. Ivanova & C. Wyplosz (2005)
Fiess, N. & R. Shankar (2005)
Lopez, J.A. (2005)
Fatum, R. & B. Scholnick (2005/08)
Nielsen, M.E.B. (2005)
Rennhack, R. & M. Nozaki (2006)
Cayazzo, J., A.G. Pascual, E. Gutierrez & S. Heysen (2006)
López, J.R. & H.R. Mendizábal (2006)
von Hagen, J. & J. Zhou (2006)
Ogawa, E. & J. Shimizu (2006)
Devereux, M.D. & C. Engel (2006)
Devereux, M.D. & C. Engel (2006/07)
Entorf,H., J. Moebert & K. Sonderhof (2006)
Beine, M., J. Lahaye, S. Laurent, C.J. Neely & F.C. Palm (2006)
Fatum, R. & M.M. Hutchison (2006/10)
Meissner, C.M. & N. Oomes (2006/09)
Zampolli, F. (2006)
Leiderman, L., R. Maino & E. Parrado (2006)
Reitz, S. & M.P. Taylor (2006/08)
Neely, C.J. (2006/08)
Pollard, P.S. & C.C. Coughlin (2006)
Wollmershäuser, T. (2006)
Guerron, P.A. (2006)
Lanne. M. & T. Vesalay (2006)
Post, E. (2006)
Vitale, P. (2006)
Feuerstein, S. & O. Grimm (2006)
Bordo, M.D., O. Humpage & A.J. Schwartz (2006)
Rochon, C. (2006)
Arellano, C. & J. Heathcote (2007)
Berkmen, P & E.E. Cavallo (2007)
Flaschel, P., C. Proano & W. Semmler (2007)
Bernal, O. & J-Y. Gnabo (2007/09)
Sweeney, R.J. (2007)
Ito, T. & T. Yabu (2007)
Kurasawa, K. & A.L. Marty (2007)
Park, S.G. (2006)
Dominguez, K.M.E. & F. Panthaki (2007)
Honohan, P. (2007)
Kumhof, M. & S. van Nieuwerburgh (2007)
McKinnon, R. (2007)
Roubini, N. (2007)
Park, S.G. (2007)
Pasquariello, P. (2007)
Caballero, R.J. & G. Lorenzoni (2007)
Pavasuthipaisit, R. (2007/09)
Shi, K. & J. Xu (2007)
Tambakis, D.N. (2007)
Obstfeld, M. (2007)
Levy-Yeyati, E. & F. Sturzenegger (2007)
Demary, M. (2008)
Machicado, C.G. (2008)
Lavigne, R. (2008)
Aizenman, J. & R. Glick (2008)
Gonçalves, F.M. (2008)
Fratzscher
, M.
(2008)
Jun, J. (2008)
Barajas, A., L. Erickson & R. Steiner (2008)
Lima, E.J.A. & B.M. Tabak (2008)
Suh, S. & F. Zapatero (2008)
Ho, W-M. (2008)
Dutu, R. (2008)
Honig, A. (2009)
Arghyrou, M.G., A. Gregoriou & P.M. Pourpourides (2009)
Abiad, A., P. Kannan & J. Lee (2009)
Bigio, S. (2009)
Melander, O. (2009)
Hevia, C. & J.P. Nicolini (2009)
Beine, M., G. Janssen & C. Lecourt (2009)
Bordo, M.D., O.F. Humpage & A.J. Schwartz (2009)
Goldstein, M. & N.R. Lardy (2009)
Ball, L.M. (2009)
Neanidis, K.C. & C.S. Savva (2009)
Arce, O.J. (2009)
Melvin, M., L. Menkhoff & M. Schmeling (2009)
Fratzscher, M. (2009)
Fratzscher, M. & A. Mehl (2009)
Basu, K. (2009)
Kercheval, A.N. & J.F. Moreno (2009)
Yoshida, Y. & J.C. Rülke (2009)
Pétursson, T.G. (2009)
Bereau, S., A.L. Villavicencio & V. Mignon (2009)
Douglas, C.C. & M. Kolar (2009)
Himmels, C. & T. Kirsanova (2009)
Borensztein, E., O. Jeanne & D. Sandri (2009)
SURVEY PAPER
Menkhoff, L. (2010)
Yates, N.A. (2010)
Xu, J. (2010)
Antonakakis, N. (2010)
Barkbu, B. & L.L. Ong (2010)
Exchange Rate Regimes
Krugman, P.R. (1991)
Svensson, L.E.O. (1992)
Frankel, J.A. (1999)
Hervey, J.L. & W.A. Strauss (1996)
Lim, J.J. (1998)
Caramazza, F. & J. Aziz (1998)
Drabek, Z. & J.C. Brada (1998)
Kawai, M. & S. Akiyama (2000)
Kawai, M. & S. Takagi (2000)
Rajan, R.S. (2000)
McKinnon, R. (2000)
Borensztein, E.R., J. Zettelmeyer & T. Philippon (2001)
Alesina, A. & R.J. Barro (2001)
Lopez-Cordova, J.E. & C. Meissner (2001)
Wyplosz, C. (2001)
Pitt, A. (2001)
Poirson, H. (2001)
Carr, J.L. & J.E. Floyd (2001)
Dueker, M. & A. Fischer (2001)
Dornbusch, R. (2001)
Domac, I., K. Peters & Y. Yuzefovich (2001)
Lothian, J.R. & C.H. McCarthy (2001)
Viksnins, G. (2001)
Schmukler, S. & L. Serven (2001)
Broda, C. (2001/2004)
Córdova, J.E.L. & C. Meissner (2001)
Levy-Yeyati, E. & F. Sturzenegger (2001)
Levy-Yeyati, E. & F. Sturzenegger (2001)
Killeen, W.P., R.K. Lyons & M.J. Moore (2001/06)
Sahay, R. (2001)
Glick, R. (2001)
Moreno, R. (2001)
Mercurio, D. & C. Torricelli (2001)
Baig, T. (2001)
Bordo, M.D. & M. Flandreau (2001)
Clare, A. & R. Courtenay (2001)
Szapary, G. (2001)
Kuttner, K.N. & A.S. Posen (2001)
Buiter, W.H. & C. Grafe (2002)
Tavlas, G.S. & M.K. Ulan (2002)
Arteta, C. (2002/2005)
Frankel, J.A., S.L. Schmukler & L. Serven (2002)
Broda, C. (2002)
Schmukler, S.L. & L. Servén (2002)
Wibaut, Q. (2002)
Fridman, A. & A. Verbetsky (2002)
Broda, C. (2002)
Wickham, P. (2002)
Cavallo, M., K. Kisselev, F. Perri & N. Roubini (2002)
Mongelli, F.P. (2002)
Gilson, M.T.C. (2002)
Reinhart, C.M. & K.S. Rogoff (2002/2004)
Broda, C. (2002/06)
Alesina, A., R.J. Barro & S. Tenreyro (2002)
Osakwe, P.N. (2002)
Corsetti, G. & P. Pesenti (2002)
Juhn, G.S. & P. Mauro (2002)
Cunha, A.B. (2002)
Nitithanprapas, I. & T.D. Willett (2002)
Ghosh, A.R., A.M. Gulde & H.C. Wolf (2003)
Celasun, O. (2003)
López, J.R. & H.R. Mendizábal (2003)
Lahiri, A., R. Singh & C. Vegh (2003/07)
Bordo, M.D. (2003)
Sun, Y. (2003)
Iwata, S. & E. Tanner (2003)
Calvo, G. & F.S. Mishkin (2003/2004)
Alesina, A. & A. Wagner (2003)
Frankel, J. (2003)
Levy-Yeyati, E., A. de la Torre & S. Schmukler (2003)
Various authors (2003)
Edwards, S. & E.L. Yeyati (2003/05)
Duttagupta, R. & I. Otker-Robe (2003)
Herz, B. & C. Bauer (2003)
Bordo, M.D. (2003)
Bauer, C. & B. Herz (2003/2005)
Lundbergh, S. & T. Terasvirta (2003/06)
Lopez, J.R. & H.R. Mendizabal (2003)
Francisco, M. & M. Bleaney (2003)
Sarno, L., G. Valente & M.E. Wohar (2003)
Frankel, J.A. (2003)
Dehejia, V.H. (2003)
Dean, J. (2003)
Masson, P. & F.J. Ruge-Murcia (2003)
Valachy, J. & E. Kocenda (2003/06)
Rogoff, K., A.M. Husain, A. Mody, R.J. Brooks & N. Oomes (2003)
SURVEY PAPER
Horvath, J. (2003)
Tan, K.Y. & P. Gai (2003)
Lundbergh, S. & T. Terasvirta (2003)
Levy-Yeyati, E., E. Schargrodsky & S. Galiani (2004)
Shambaugh, J.C. (2004)
de los Rios, A.D. (2004)
Yoshino, N., S. Kaji & A. Suzuki (2004)
Senay, O. & A. Sutherland (2004)
Karacadag, C., R. Duttagupta & G. Fernandez (2004)
Husain, A.M., A. Mody & K.S. Rogoff (2004)
Klein, M.W. & J.C. Shambaugh (2004)
Canales Kriljenko, J.I. & K.F. Habermeier (2004)
Genberg, H. & A.K. Swoboda (2004)
Senay, O. & A. Sutherland (2004)
Camilleri Gilson, M-T. (2004)
Velasco, A. & R. Chang (2004/06)
Lee, J-W. & K. Shin (2004)
Carrera, J. & D. Bastourre (2004)
Uctum, M. & I. Kato (2004)
Vuletin, G.J. (2004)
Bordo, M.D., J. Christl, C. Just & H. James (2004)
Prasad, E., T. Rumbaugh & Q. Wang (2005)
Senay, O. & A. Sutherland (2005)
Levy-Yeyati, E. & F. Sturzenegger (2005)
Dellas, H. & G. Tavlas (2005)
Kollmann, R. (2005)
Dubas, J.M., B-J. Lee & N.C. Mark (2005)
Ramcharan, R. (2005/07)
Hakura, D. (2005)
Frankel, J.A. (2005)
Özmen, E. & D. Arinsoy (2005)
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de los Rios, A.D. (2007)
Frankel, J.A. & S-J. Wei (2007)
Asici, A.A. (2007)
Lahiri, A., R. Singh & C.A. Vegh (2007)
Bleaney, M. & M. Francisco (2007)
von Hagen, J. & J. Zhou (2007)
Bauer, C., P. De Grauwe & S. Reitz (2007)
Arnold, I.J.M., R. MacDonald & C.G. de Vries (2007)
Dong, W. (2007)
Bergin, P.R. & R.C. Feenstra (2007)
Naknoi, K. (2008)
Klein, M.W. & J.C. Shambaugh (2008)
Meissner, C.M. & N. Oomes (2008)
Frankel, J.A. & S-J. Wei (2008)
Rebelo, S. & C.A. Vegh (2008)
Eichengreen, B. (2008)
Eichengreen, B. & M. Flandreau (2008)
Lin, H.C. (2008)
Coudert, V. & C. Couharde (2008/09)
Bleaney, M. & F.G. Ozkan (2008)
Bergin, P.R. & C-Y. Lin (2008)
Carmignani, F., E. Colombo & P. Tirelli (2008)
Dreger, C. (2008)
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Tavlas, G., H. Dellas & A. Stockman (2008)
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SURVEY PAPER
SURVEY PAPER
Harms, P. & M. Kretschmann (2009)
Patnaik, I. & A. Shah (2008)
Naknoi, K. (2008)
Fiess, N. & R. Shankar (2009)
Bowdler, C. (2009)
Hossain, M. (2009)
Urban, S.A. (2009)
Cruz Rodriguez, A. (2009)
Kaltenbrunner, A. & M. Nissanke (2009)
Dubas, J.M. (2009)
Habermeier, K.R., A. Kokenyne, R. Veyrune & H. Anderson (2009)
Mitchener, J.M. & M.D. Weidenmier (2009)
Kwapien, J., S. Gworek & S. Drozdz (2009)
Kwapien, J., S. Gworek, S. Drozdz & A. Gorski (2009)
de los Rios, A.D. (2009)
Bird, G. & D. Rowlands (2009)
Ajevskis, V. & K. Vitola (2009)
Frankel, J.A. & D. Xie (2009)
Harms, P. & M. Hoffmann (2009)
Petreski, M. (2009)
Boehmke, F.J. & C.M. Meissner (2009)
Levy-Yeyati, E., F. Sturzenegger & I. Reggio (2009)
Imam, P.A. (2010)
Qureshi, M.S. & C.G. Tsangarides (2010)
Financial Crises
International Business Cycles
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McKinnon, R. & G. Schnabl (2002)
Kose, M.A. & K.M. Yi (2002)
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Kose, M.A. & K.M. Yi (2003)
Kose, A., E.S. Prasad & M.E. Terrones Silva (2003)
Mazzenga, E. & M. Ravn (2003)
Gruben, W.C., J. Koo & E. Millis (2003)
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Kose, M.A. & K-M. Yi (2005/06)
Rajan, R.G. (2005)
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Huang, K.X.D. & Z. Liu (2007)
Matsumoto, A. (2007)
Cúrdia, V. & D. Finocchiaro (2007)
Corsetti, G. & G.J. Mueller (2007)
Chang, Y. (2007)
Kose, M.A., E. Prasad & M. Terrones (2007/09)
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Kaminsky, G.L. (2010)
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Dowd (2007)
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