Research Papers:

International Finance


Capital Flows & Liberalization

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   Acrobat Required
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   Acrobat Required
Corden, W.M. (1999)

Capital Flows To Developing Countries And The Reform Of The International Financial System   Acrobat Required
Akyuz, Y. & A. Cornford (1999)

Academic Views of Capital Flows: An Expanding Universe   Acrobat Required
Dooley, M.P. & C.E. Walsh (1999)

Problems and Challenges of International Capital Flows   Acrobat Required
Volcker, P.A. (1999)

How does openness to capital flows affect growth?   Acrobat Required
Rappaport, J. (2000)

A simple model of international capital flows, exchange rate risk, and portfolio choice   Acrobat Required!
Pecchenino, R.A. & P.S. Pollard (2000)

Capital Mobility for Developing Countries May Not Be So High   Acrobat Required
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   Acrobat Required
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   Acrobat Required
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   Acrobat Required
Kohli, R. (2001)

Capital Account Liberalisation: Empirical Evidence and Policy Issues II   Acrobat Required
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   ScienceDirect Required
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   Acrobat Required!
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   Recommended!
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   Ingenta Select Required
Forbes, K. & M.D. Chinn (2003)

Capital Flows to developing countries: does the emperor have clothes?   Acrobat Required!
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   Adobe Acrobat Required
Jansen, W.J. (2003)

What Drives Long-term Capital Flows? A Theoretical and Empirical Investigation | Published   Acrobat Required   ScienceDirect Required
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   Acrobat Required
Cai, J. & B. Gangnes (2003)

Serial Default and the "Paradox" of Rich to Poor Capital Flows | Published   Ingenta Select Required
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   Acrobat Required
Albuquerque, A. (2004)

How can the IMF catalyse private capital flows? A model   Acrobat Required
Penalver, A. (2004)

On the Two Way Feedback Between Financial And Trade Openness | Published   ScienceDirect Required
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   Acrobat Required
Petroulas, P. (2004)

Sources for Financing Domestic Capital - Is Foreign Saving a Viable Option for Developing Countries? | Published   ScienceDirect Required
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   Acrobat Required
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   Recommended!
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   Adobe Acrobat Required
Santana, J.R. & F. Garcia (2004)

Technology Differences and Capital Flows   Adobe Acrobat Required
Claro, S. (2004)

Population Aging and International Capital Flows | Published   Wiley Interscience Required
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?   Adobe Acrobat Required
Broner, F. & R. Rigobon (2004)

The Flow of Capital to Latin America, 1973–2000   ScienceDirect Required
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   ScienceDirect Required
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   ScienceDirect Required
Butkiewicz, J.L. & H. Yanikkaya (2005)

International Financial Adjustment | Published   Recommended!
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   ScienceDirect Required
Portes, P. & H. Rey (2005)

The IMF in a World of Private Capital Markets | Published   ScienceDirect Required
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   Ingenta Select Required
Cai, H. & D. Treisman (2005)

A Meta-Analysis of the Effect of Common Currencies on International Trade   Wiley Interscience Required
Rose, A.K. & T.D. Stanley (2005)

Curbing the Boom-Bust Cycle: Stabilizing Capital Flows to Emerging Markets   Recommended!
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   ScienceDirect Required   Acrobat Required
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   Recommended!
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   ScienceDirect Required
Goldstein, I. & A. Razin (2005/06)

Capital mobility among advanced countries   ScienceDirect Required
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   ScienceDirect Required
Lane, P.R. & G.M. Milesi-Ferretti (2006/07)

Determinants of Capital Flows: A Cross-Country Analysis   Acrobat Required
Ralhan, M. (2006)

The Accumulation of Foreign Reserves   Acrobat Required
Pineau, G., E. Dorrucci, F. Comelli & A. Lagerblom (2006)

Private capital flows, capital controls, and default risk   ScienceDirect Required
Wight, M.L.J. (2006)

A Portfolio Theory of International Capital Flows   Acrobat Required
Devereux, M.B. & M. Saito (2006)

The Case for an International Reserve Diversification Standard   Acrobat Required
Truman, E.M. & A. Wong (2006)

Institutions, capital flows and financial integration   ScienceDirect Required
Lothian, J.R. (2006)

Foreign reserves management subject to a policy objective   Acrobat Required
Coche, J., M. Koivu, K. Nyholm & V. Poikonen (2006)

Capital Flows and Monetary Policy   Acrobat Required
Pineda, J.G. (2006)

The IMF and the Liberalization of Capital Flows   Acrobat Required
Joyce, J.P. & I. Noy (2006)

Catalysing Private Capital Flows: Do IMF Programmes Work as Commitment Devices?   Wiley Interscience Required
Mody, A. & D. Saravia (2006)

U.S. Dollar Risk Premiums and Capital Flows
Balakrishnan, R. & V. Tulin (2006)

When is FDI a Capital Flow?   Acrobat Required
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   Wiley Interscience Required
Aizenman, J. & M.M. Spiegel (2006)

What matters for financial development? Capital controls, institutions, and interactions   ScienceDirect Required
Chinn, M.D. & H. Ito (2006)

Economic Policy, Institutions, and Capital Flows: Portfolio and Direct Investment Flows in Developing Countries   Wiley Interscience Required
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   ScienceDirect Required
Azariadis, C. & C.A. Pissarides (2006)

International reserves management and capital mobility in a volatile world: Policy considerations and a case study of Korea   ScienceDirect Required
Aizenman, J., Y. Lee & Y. Rhee (2007)

Central bank intervention and exchange rate dynamics: A rationale for the regime-switching process of exchange rates   ScienceDirect Required
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?   ScienceDirect Required
Hooper, V. & S-J. Kim (2007)

Longitude matters: Time zones and the location of foreign direct investment   ScienceDirect Required
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   ScienceDirect Required
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   Acrobat Required
Tille, C. & E. van Wincoop (2007)

Capital flows and capital goods   ScienceDirect Required
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   ScienceDirect Required
Gruber, J.W. & S.B. Kamin (2007)

Current account balances, financial development and institutions: Assaying the world “saving glut”   ScienceDirect Required
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   Acrobat Required
Faia, E. (2007)

The Harberger–Laursen–Metzler effect under capital market imperfections   ScienceDirect Required
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   ScienceDirect Required
Bar-Ilan, A., N.P. Marion & D. Perry (2007)

Revisiting Price-based Controls on Capital Inflows in a “Sophisticated” Emerging Market   ScienceDirect Required
David, A.C. (2007)

Measurement and Inference in International Reserve Diversification   Acrobat Required
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   ScienceDirect Required
Petroulas, P. (2007)

International investment positions and exchange rate dynamics: a dynamic panel analysis   Acrobat Required
Binder, M. & C.J. Offermanns (2007)

International reserves and monetary policy   ScienceDirect Required
Bar-Ilan, A. & D. Lederman (2007)

Reserve accumulation: objective or by-product?   Acrobat Required
de Beaufort Wijnholds, J.O. & L. Søndergaard (2007)

Current Account Adjustment and Capital Flows   Wiley Interscience Required
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   ScienceDirect Required
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   ScienceDirect Required
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?   ScienceDirect Required
Pelgrin, F. and S. Schich (2008)

International capital mobility: Evidence from panel cointegration tests   ScienceDirect Required
Adedeji, O. & J. Thornton (2008)

A Welfare Analysis of Capital Account Liberalization   Wiley Interscience Required
von Hagen, J. & H. Zhang (2008)

The cost of reserves   ScienceDirect Required
Yeyati, E.L. (2008)

A Pragmatic Approach to Capital Account Liberalization | Published   Ingenta Select Required
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   ScienceDirect Required
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   ScienceDirect Required
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   ScienceDirect Required
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?   ScienceDirect Required
Taub, B. & R. Zhao (2008)

Addressing causality in the effect of capital account liberalization on growth   ScienceDirect Required
Honig, A. (2008)

Capital Inflows, Resource Reallocation and the Real Exchange Rate   Wiley Interscience Required
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   Recommended!
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   Acrobat Required   ScienceDirect Required
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   ScienceDirect Required
Lane, P.R. & J.C. Shambaugh (2009)

The composition of capital inflows when emerging market firms face financing constraints   ScienceDirect Required
Smith, K.A. & D. Valderrama (2009)

On the determinants of net international portfolio flows: A global perspective   ScienceDirect Required
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?   Acrobat Required
Coulibaly, D. (2009)

Remittances: An Automatic Output Stabilizer?   Acrobat Required
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   Wiley Interscience Required
Bar-Ilan, A. & N.P. Marion (2009)

Hoarding of International Reserves: Mrs Machlup's Wardrobe and the Joneses   Wiley Interscience Required
Cheung, Y-W. & X. Qian (2009)

What is Driving Reserve Accumulation? A Dynamic Panel Data Approach   Wiley Interscience Required
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   Acrobat Required
Eichengreen, B., R. Gullapalli & U. Panizza (2009)

International capital flows and U.S. interest rates   ScienceDirect Required
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?   Wiley Interscience Required
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   Acrobat Required
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   Acrobat Required
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   Acrobat Required
Li, M. & J. Qiu (2009)

A new perspective on “the new rule”of the current account   ScienceDirect Required
Tille, C. & E. van Wincoop (2009)

Why do foreigners invest in the United States?   ScienceDirect Required
Forbes, K.J. (2009)

Composition of International Capital Flows: A Survey   SURVEY PAPER
Kirabaeva, K. & A. Razin (2009)

Intra-Industry Foreign Direct Investment   Ingenta Select Required
Alfaro, L. & A. Charlton (2009)

Gravity for FDI   Wiley Interscience Required
Kleinert, J. & F. Toubal (2010)

Fixed Costs, Foreign Direct Investment, and Gravity with Zeros   Wiley Interscience Required
Davies, R.B. & H. Kristjánsdóttir (2010)

Imperfect Capital Mobility: A General Approach to the Two-Sector Harris Todaro Model   Wiley Interscience Required
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)

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Currency Competition

Toward a Theory of International Currency   Recommended!   JSTOR Required
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   Recommended!   JSTOR Required
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   Recommended!   ScienceDirect Required
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   Recommended!   JSTOR Required
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   ScienceDirect Required
Lyons, R.K. & M.J. Moore (2005/09)

Vehicle Currency Use in International Trade | Alternative | Published   ScienceDirect Required
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   Ingenta Select Required
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   Acrobat Required   ScienceDirect Required
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 nbsp; Acrobat Required   Wiley Interscience Required
Flandreau, M. & C. Jobst (2006/09)

The Euro's Challenge to the Dollar: Different Views from Economists and Evidence from COFER (Currency Composition of Foreign Exchange Reserves) and Other Data
Lim, E-G. (2006)

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   Acrobat Required
Lagos, R. & G. Rocheteau (2006)

Inflation and dollarization in a dual-currency search-theoretic model   ScienceDirect Required
Chang, S.S. (2006)

On the Welfare Benefits of an International Currency | Published   ScienceDirect Required
Kannan, P. (2007/09)

Float on a note   ScienceDirect Required
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   Acrobat Required
Melecky, M. (2007)

Asymmetric government transaction policies and currencies substitutability   ScienceDirect Required
Marchesiani, A. & P. Senesi (2007)

The growing role of the euro in emerging market finance
Masson, P.R. (2007)

International Money and Finance   Acrobat Required
Hallwood, P. & R. MacDonald (2008)

Macroeconomic Interdependence and the International Role of the Dollar | Published   ScienceDirect Required
Goldberg, L.S. & C. Tille (2008/09)

Vehicle Currency   Acrobat Required   Recommended!
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   ScienceDirect Required
Kocenda, E., J. Hanousek & D. Engelmann (2008)

Foreign-currency bonds - currency choice and the role of uncovered and covered interest parity   Acrobat Required
Habib, M.M. & M. Joy (2008)

Liquidity Premium and International DSeigniorage Payments   Acrobat Required
Eden, B. (2009)

Why the Euro Will Rival the Dollar   Acrobat Required   Recommended!
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   ScienceDirect Required
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?   Recommended!
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   Acrobat Required
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   Acrobat Required
Pope, R., R. Selten, S. Kube & J. von Hagen (2009)

The hysteresis of currency substitution: Currency risk vs. network externalities   ScienceDirect Required
Valev, N.T. (2010)

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Exchange Rate Determination (Nominal)

Expectations and Exchange Rate Dynamics   Recommended!   JSTOR Required
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   Recommended!   JSTOR Required
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?   Recommended!
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   Recommended!   JSTOR Required
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   Recommended!   Acrobat Required
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   Recommended!   Acrobat Required
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   Acrobat Required
Koren, M. (2001)

Chaos and the Exchange Rate   Acrobat Required
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   Acrobat Required
Bibow, J. (2001)

The Adjustment of Prices and the Adjustment of the Exchange Rate   Acrobat Required
Engel, C. & J. Morley (2001)

Currency Substitution and the Demand for Money: Some Evidence for Canada   Acrobat Required
Bordo, M.D. & E.U. Choudhri (2001)

Technical Analysis in Foreign Exchange Markets: Linear Versus Nonlinear Trading Rules   Acrobat Required
Fernández-Rodríguez, F., S. Sosvilla-Rivero and J. Andrada-Félix (2001)

On the Variation of Hedging Decisions in Daily Currency Risk Management   Acrobat Required
Bos, C.S., R.J. Mahieu & H.K. van Dijk (2001)

Daily Exchange Rate Behaviour and Hedging of Currency Risk   Acrobat Required
Bos, C.S., R.J. Mahieu & H.K. van Dijk (2001)

Learning Dynamics in an Artificial Currency Market   Acrobat Required
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   Acrobat Required
Lux, T. (2001)

Modelling exchange rates: smooth transitions, neural networks, and linear models   Acrobat Required
Medeiros, M.C., A. Veiga & C.E. Pedreira (2001)

Rational Speculation and Exchange Rates | Published | Comment   ScienceDirect Required
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   Recommended!
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   Acrobat Required
Rzepkowski, B. (2001)

Currency orders and exchange-rate dynamics: explaining the success of technical analysis   Acrobat Required
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   Acrobat Required   Wiley Interscience Required
Patton, A.J. (2001/06)

FX trading and Exchange Rate Dynamics   Acrobat Required
Evans, M. (2001)

To What Extent Does Productivity Drive the Dollar?   Recommended!
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   Acrobat Required
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?   Acrobat Required!
Dueker, M. & C.J. Neely (2001)

UIP for Short Investments in Long-Term Bonds   Acrobat Required
Alexius, A. (2001)

Daily exchange rate behaviour and hedging of currency risk   Acrobat Required
Bos, C.S., R.J. Mahieu & H.K. Van Dijk (2001)

Neural networks as econometric tool   Acrobat Required
Kaashoek, J.F. & H.K. Van Dijk (2001)

Exchange Rate Forecasting: The Errors We've Really Made | Published   ScienceDirect Required
Faust, J., J.H. Rogers & J. Wright (2001/2003)

Why is it so difficult to beat the random walk forecast of exchange rates?   Acrobat Required!
Kilian, L. & M.P. Taylor (2001)

Heterogeneous Beliefs and Instability   Recommended!   Acrobat Required!
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   Acrobat Required!
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   Recommended!
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   Recommended!
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   Acrobat Required!
Bajo-Rubio, O., S. Sosvilla-Rivero & F. Fernández-Rodríguez (2002)

Foreign exchange: macro puzzles, micro tools   Acrobat Required!   SURVEY PAPER
Lyons, R.K. (2002)

Exchange Rate Modelling: Where Do We Stand? | Published   Recommended!   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   Adobe Acrobat Required!
Cerrato, M. (2002)

The Euro-Dollar exchange rate: Is it fundamental?   Adobe Acrobat Required
Camarero, M., J. Ordóñez & C. Tamarit (2002)

Return-volatility linkages in the international equity and currency markets   Acrobat Required
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   Recommended!   ScienceDirect Required
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   Acrobat Required
Da Silva, S. (2002)

The Dornbusch Model with Chaos and Foreign Exchange Intervention   Acrobat Required
Da Silva, S. (2002)

Understanding Bilateral Exchange Rate Volatility   Adobe Acrobat Required
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   ScienceDirect Required
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   ScienceDirect Required   Adobe Acrobat Required
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   Ingenta Select Required
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   ScienceDirect Required
Chaboud, A.P. & J.H. Wright (2003/2005)

Exchange rate determination in a model of pricing-to-market and nontradeables   Adobe Acrobat Required
Hairault, J.O. & T. Sopraseuth (2003)

Is Grassman's Law Still There? The Empirical Range of Pass-Through in US, German and Japanese Macrodata   Acrobat Required
Mihailov, A. (2003)

Overshooting and the exchange rate disconnect puzzle: a reappraisal | Published   ScienceDirect Required   Adobe Acrobat Required
Hairault, J.O., L. Patureau, Lise & T. Sopraseuth (2003/04)

Chartists and Fundamentalists in the Currency Market and the Volatility of Exchange Rates   Acrobat Required
Bask, M. (2003)

Technical Analysis in Foreign Exchange - The Workhorse Gains Further Ground   Acrobat Required
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?   ScienceDirect Required
Kilian, L. & M.P. Taylor (2003)

Commodity currencies   ScienceDirect Required
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   Adobe Acrobat Required
Cerrato, M. & N. Sarantis (2003)

Noise Traders and the Volatility of Exchange Rates   Adobe Acrobat Required
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   Adobe Acrobat Required   ScienceDirect Required
Westerhoff, F. & C. Wieland (2003)

Investment Prices and Exchange Rates: Some Basic Facts | Alternative   Recommended!   Acrobat Required
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   Acrobat Required   ScienceDirect Required
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   Acrobat Required
Karame, F., L. Patureau & T. Sopraseuth (2003)

The Big Mac Standard: A Statistical Illustration   Acrobat Required
Fujiki, H. & Y. Kitamura (2003)

The high-frequency response of exchange rates and interest rates to macroeconomic announcements | Published   ScienceDirect Required
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   Adobe Acrobat Required
Frydman, R. & M.D. Goldberg (2003)

Do Fundamentals Matter for the D-Mark/Euro-Dollar? A Regime Switching Approach   Adobe Acrobat Required
Frömmel, M., R. MacDonald & L. Menkhoff (2003)

A Theory of Exchange Rates and the Term Structure of Interest Rates   Adobe Acrobat Required
Lim, H-S. & M. Ogaki (2003)

Net Foreign Assets and Imperfect Pass-through: The Consumption-Real Exchange Rate Anomaly   Adobe Acrobat Required
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   ScienceDirect Required
Pippenger, J. (2003)

Bandwagon effects and run patterns in exchange rates once more   ScienceDirect Required
Rotheli, T.F. (2003)

High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market   Adobe Acrobat Required
Tyurin, K. (2003)

Real Exchange Rate Misalignments   Adobe Acrobat Required
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   Acrobat Required
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   Adobe Acrobat Required
Engel, C. & K.D. West (2003, 2004)

Are Different-Currency Assets Imperfect Substitutes?   Adobe Acrobat Required
Evans, M.D.D. & R.K. Lyons (2003)

Unit Root Tests in Three-Regime SETAR Models   Acrobat Required
Kapetanios, G. & Y. Shin (2003)

What Do We Know about Recent Exchange Rate Models? In-Sample Fit and Out-of-Sample Performance Evaluated   Adobe Acrobat Required
Cheung, Y-W., M.D. Chinn & A. Garcia-Pascual (2003)

A Scapegoat Model of Exchange Rate Fluctuations | Published   Recommended!   Ingenta Select Required
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   Recommended!   Ingenta Select Required
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   ScienceDirect Required
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?   ScienceDirect Required
Inci, A.C. & B. Lu (2004)

Can Fluctuations in the Consumption-Wealth Ratio Help to Predict Exchange Rates?   Adobe Acrobat Required
Selaive, J. & V. Tuesta (2004)

Exchange Rate Dynamics: Where is the Saddle Path?   Adobe Acrobat Required
Cheung, Y-W., J. Gardeazabal & J. Vazquez (2004)

The Forward Premium Puzzle in a Model of Imperfect Information: Theory and Evidence   Acrobat Required
Albuquerque, R. (2004)

Measuring Tail Thickness under GARCH and an Application to Extremal Exchange Rate Changes   Acrobat Required
Wagner, N. & T. Marsh (2004)

International Capital Markets and Foreign Exchange Risk   Acrobat Required
Brennan, M. & Y. Xia (2004)

Identification and estimation of exchange rate models with unobservable fundamentals | Published   Wiley Interscience Required   Acrobat Required
Chambers, M.J. & J.R. McCrorie (2004/06)

Does the World Real Interest Rate Affect the Real Exchange Rate? The South East Asian Experience   Acrobat Required
Gente, K. & M. Leon-Ledesma (2004)

Foreign exchange exposure of exporting and importing firms   ScienceDirect Required
Pritamani, M.D., D.K. Shome & V. Singal (2004)

Exchange Rate Puzzles: A Tale of Switching Attractors | Published   Acrobat Required   ScienceDirect Required
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   Acrobat Required
Neuberg, L., P. Protin & C. Louargant (2004)

Testing the monetary model of exchange rate determination: a closer look at panels   ScienceDirect Required
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   ScienceDirect Required
Caporale, G.M. & L.A. Gil-Alana (2004)

Markov Switching Regimes In A Monetary Exchange Rate Model | Published   Acrobat Required   ScienceDirect Required
Froemmel, M., R. Macdonald & L. Menkhoff (2004/2005)

Exchange Rate Behavior and Exchange Rate Puzzles: Why the XVIII Century Might Help   Acrobat Required
Sanchez, R.T., J.G. Biscarri & F.P. de Gracia (2004)

Currency risk in emerging equity markets   ScienceDirect Required
Phylaktis, K. & F. Ravazzolo (2004)

Modelling Exchange Rate Volatility in the Run-up to EMU using a Markov Switching GARCH Model   Adobe Acrobat Required
Frommel, M. (2004)

Monetary Policy and Long-Horizon Uncovered Interest Parity
Chinn, M.D. & G. Meredith (2004)

Exchange Rates and Markov Switching Dynamics   Acrobat Required
Cheung, Y-W. & U.G. Erlandsson (2004)

Trade Openness And Real Exchange Rate Volatility: Panel Data Evidence   Acrobat Required
Calderon, C. (2004)

A Guided Tour of the Market Microstructure Approach to Exchange Rate Determination | Published   Wiley Interscience Required   SURVEY PAPER
Vitale, P. (2004/07)

Should the Exchange Rate be in the Monetary Policy Objective Function?   Acrobat Required
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   Acrobat Required
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   Acrobat Required
Menoncin, F. (2004)

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets | Published   ScienceDirect Required   Acrobat Required
Andersen, T.G., T. Bollerslev, F.X. Diebold & C. Vega (2004/07)

Limited participation and exchange rate dynamics : does theory meet the data? | Published   Acrobat Required   ScienceDirect Required
Karame, F., L. Patureau & T. Sopraseuth (2004/08)

Do Currency Markets Absorb News Quickly? | Published   ScienceDirect Required
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   Wiley Interscience Required
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   ScienceDirect Required
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   ScienceDirect Required
Bjønnes, G.H., D. Rime & H.O.Aa. Solheim (2005)

Exchange rates and fundamentals: new evidence from real-time data   ScienceDirect Required
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   Recommended!   ScienceDirect Required
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   ScienceDirect Required   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   ScienceDirect Required
Abhyankar, A., L. Sarno & G. Valente (2005)

The impact of macroeconomic surprises on spot and forward foreign exchange markets   ScienceDirect Required
Simpson, M.W., S. Ramchander & M. Chaudhry (2005)

The Exchange Rate and its Fundamentals in a Complex World   Wiley Interscience Required
De Grauwe, P. & M. Grimaldi (2005)

The euro at five: Short-run pain, long-run gain?   ScienceDirect Required
Rogoff, K. (2005)

The euro and the dollar 6 years after creation   ScienceDirect Required
Mussa, M. (2005)

The euro–dollar exchange rate defies prediction   ScienceDirect Required
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   ScienceDirect Required
McMillan D.G. (2005)

Feedback trading and autocorrelation interactions in the foreign exchange market: Further evidence   ScienceDirect Required
Laopodis, N.T. (2005)

Noise trading and delayed exchange rate overshooting   ScienceDirect Required
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   ScienceDirect Required
Burstein, A., M. & S. Rebelo (2005/07)

The Exchange Rate Forecasting Puzzle   Adobe Acrobat Required
Vitek, F. (2005)

Revisiting the Martingale hypothesis for exchange rates   Acrobat Required
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   ScienceDirect Required
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   Acrobat Required
Cappiello, L., E. Krylova & R.A. De Santis (2005)

Monetary policy and the illusionary exchange rate puzzle   Acrobat Required
Bjørnland, H.C. (2005)

Foreign Exchange Market Microstructure   Acrobat Required
Evans, M.D.D. (2005)

Arbitrage in the foreign exchange market: Turning on the microscope | Published   Acrobat Required   ScienceDirect Required
Akram, Q.F., D. Rime & L. Sarno (2005/08)

Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution   Acrobat Required
Lustig, H. & A. Verdelhan (2005)

New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market   Acrobat Required
Nikolaou, K. & L. Sarno (2005)

Non-Linearities in the Relation between the Exchange Rate and its Fundamentals   Adobe Acrobat Required
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   Ingenta Select Required
Campa, J.M. & L.S. Goldberg (2005)

A Note on the Foreign Exchange Market Efficiency Hypothesis: Does Small Sample Bias affect Inference?   Acrobat Required
Al-Zoubi, H.A. & E. Daal (2005)

A semiparametric GARCH model for foreign exchange volatility   ScienceDirect Required
Yang, L. (2006)

Time-varying risk, interest rates, and exchange rates in general equilibrium | Published   Acrobat Required   Wiley Interscience Required
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   Acrobat Required
Vitale, P. (2006)

The Forward Exchange Rate Bias Puzzle: Evidence from New Cointegration Tests   Acrobat Required
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   Acrobat Required
Darvas, Z., G. Rappai & Z. Schepp (2006)

Another look at long-horizon uncovered interest parity   Acrobat Required
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   Acrobat Required
Juttner, D.J. & W. Leung (2006)

Fundamental volatility is regime specific   Acrobat Required
Arnold, I.J.M., R. MacDonald & C.G. de Vries (2006)

Learning to Forecast the Exchange Rate: Two Competing Approaches   Acrobat Required
De Grauwe, P. & A. Markiewicz (2006)

Profits and Speculation in Intra-Day Foreign Exchange Trading | Published   Acrobat Required   ScienceDirect Required
Mende, A. & L. Menkhoff (2006)

A Habit-Based Explanation of the Exchange Rate Risk Premium   Acrobat Required
Verdelhan, A. (2006)

Exchange Rates and Order Flow in the Long Run   Acrobat Required
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   Acrobat Required
Lo, I. & S.G. Sapp (2006)

Regional heterogeneity in the relationship between fiscal imbalances and foreign exchange market pressure   ScienceDirect Required
Bird, G. & A. Mandilaras (2006)

On the short-term predictability of exchange rates: A BVAR time-varying parameters approach   ScienceDirect Required
Sarantis, N. (2006)

Why use Markov-switching models in exchange rate prediction?   ScienceDirect Required
Lee, H-Y. & S-L. Chen (2006)

Can Affine Term Structure Models Help Us Predict Exchange Rates?   Acrobat Required
Diez, A. (2006)

Forecasting and Combining Competing Models of Exchange Rate Determination   Acrobat Required
Altavilla, P. & P. De Grauwe (2006)

What drives volatility persistence in the foreign exchange market? | Published   ScienceDirect Required
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   ScienceDirect Required
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   ScienceDirect Required
Frankel, J. & J. Poonawala (2006/10)

Volatility impulse responses for multivariate GARCH models: An exchange rate illustration   ScienceDirect Required
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   ScienceDirect Required
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   Adobe Acrobat Required
Farrant, K. & G. Peersman (2006)

What Drives Heterogeneity in Foreign Exchange Rate Expectations: Deep Insights from a New Survey   Adobe Acrobat Required
Dreger, C. & G. Stadtmann (2006)

Affine term structure models for the foreign exchange risk premium   Adobe Acrobat Required
Benati, L. (2006)

Exchange rate volatility without the contrivance of fundamentals and the failure of PPP   Acrobat Required
Bask, M. (2006)

Announcement effects on exchange rate movements: continuity as a selection criterion among the REE   Acrobat Required
Bask, M. (2006)

Testing the uncovered interest parity using traded volatility, a time-varying risk premium and heterogeneous expectations   ScienceDirect Required
Sarantis, N. (2006)

Testing for multiple regimes in the tail behavior of emerging currency returns   ScienceDirect Required
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   Acrobat Required
De Grauwe, P. & P.R. Kaltwasser (2006)

The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis   Acrobat Required
Menkhoff, L. & M.P. Taylor (2006)

On the trade impact of nominal exchange rate volatility   ScienceDirect Required
Tenreyro, S. (2006)

Production, trade, prices, exchange rates and equilibration in large experimental economies   ScienceDirect Required
Noussair, C., C. Plott & R. Riezman (2006)   ScienceDirect Required

On the inadequacy of newswire reports for empirical research on foreign exchange interventions   ScienceDirect Required
Fischer, A.M. (2006)

Exchange Rate Markets and Conservative Inferential Expectations   Acrobat Required
Menzies, G. & D. Zizzo (2006)

Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics | Published   Acrobat Required   Wiley Interscience Required
Caporale, G.M. & M. Cerrato (2006/07)

Exchange rate pass-through to domestic prices: Does the inflationary environment matter?   ScienceDirect Required
Choudhri, E.U. & D.S. Hakura (2006)

Sentiment in foreign exchange markets: Hidden fundamentals by the back door or just noise?   Acrobat Required
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   Acrobat Required
An, L. (2006)

Testing the Equilibrium Exchange Rate Model - Updated   Acrobat Required
Guilherme, M. & D.S. Sergio (2006)

Can Markov switching models predict excess foreign exchange returns?   ScienceDirect Required
Dueker, M. & C.J. Neely (2007)

The Overvaluation of Renminbi Undervaluation | Published   ScienceDirect Required
Cheung, Y-W., M.D. Chinn & E. Fujii (2007)

Random Walk Expectations and the Forward Discount Puzzle   Acrobat Required
Bacchetta, P. & E. van Wincoop (2007)

Evaluating An Estimated New Keynesian Small Open Economy Model | Published   ScienceDirect Required
Adolfson, M., S. Laséen, J. Lindé & M. Villani (2007/08)

Macroeconomic imbalances and exchange rate regime shifts   Acrobat Required
Post, E. (2007)

Testing PPP in the non-linear STAR framework   ScienceDirect Required
Bahmani-Oskooee, M., A.M. Kutan & S. Zhou (2007)

Industry Restructuring, Mark-ups, and Exchange Rate Pass-Through   Acrobat Required
Lapham, B. & D. Leung (2007)

A Yield Curve Perspective on Uncovered Interest Parity   Acrobat Required
Krippner, L. (2007)

Modeling foreign exchange rates with jumps   Acrobat Required
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   Acrobat Required   ScienceDirect Required
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   Acrobat Required
Bernoth, K., J. von Hagen & C. de Vries (2007)

The exchange rate in a behavioral finance framework   ScienceDirect Required
Osler, C. (2007)

Forecasting exchange rate better with artificial neural network   ScienceDirect Required
Panda, C. & V. Narasimhan (2007)

Resolving the unbiasedness and forward premium puzzles   Recommended!   Acrobat Required
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   Acrobat Required
Nolte, I. & S. Lechner (2007)

Modeling Optimism and Pessimism in the Foreign Exchange Market   Acrobat Required
De Grauwe, P. & P.R. Kaltwasser (2007)

Exchange rate forecasting, order flow and macroeconomic information | Published   Acrobat Required   ScienceDirect Required
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   Acrobat Required
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   Acrobat Required
Olmo, J. & K. Pilbeam (2007)

The Importance of Interest Rate Volatility in Empirical Tests of Uncovered Interest Parity   Acrobat Required
Hadzi-Vaskov, M. & C. Kool (2007)

End-user order flow and exchange rate dynamics   Acrobat Required
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   Acrobat Required
Chen, Q. & D.E. Giles (2007)

Pricing to Firm: an Analysis of Firm- and Product-level Import Prices   Wiley Interscience Required
Halpern, L. & M. Koren (2007)

Random Walk Expectations and the Forward Discount Puzzle
Bacchetta, P. & E. van Wincoop (2007)

Macroeconomic news and exchange rates   ScienceDirect Required
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   Acrobat Required
Weber, E. (2007)

On the returns generating process and the profitability of trading rules in emerging capital markets   ScienceDirect Required
Hatgioannides, J. & S. Mesomeris (2007)

Linear and nonlinear exchange rate exposure   ScienceDirect Required
Priestley, R. & B.A. Ødegaard (2007)

Uncovered interest rate parity and the term structure   ScienceDirect Required
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   Acrobat Required!
Soderlind, P. & A. Ranaldo (2007)

The Economics of Uncovered Interest Parity Condition for Emerging Markets: A Survey   Acrobat Required
Alper, C.E., O.P. Ardic & S. Fendoglu (2007)

Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options   Acrobat Required
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   Acrobat Required
Mehl, A. & L. Cappiello (2007)

Currency and credit markets   ScienceDirect Required
Bilsona, J.F.O. & D. Cernauskas (2007)

Specifying the Forecast Generating Process for Exchange Rate Survey Forecasts   Acrobat Required
Cohen, R.H. & C. Bonham (2007)

Is Sterilized Intervention Effective? New International Evidence   Acrobat Required
Siklos, P.L. & D.N. Weymark (2007)

International Investment Positions and Exchange Rate Dynamics: A Dynamic Panel Analysis   Acrobat Required
Binder, M. & C. Offermanns (2007)

Aggregate Trading Behavior of Technical Models and the Yen/Dollar Exchange Rate   Acrobat Required
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   Acrobat Required
Cappiello, L. & R.A. De Santis (2007)

Exchange rate pass-through to export prices: assessing some cross-country evidence | Published   Wiley Interscience Required
Vigfusson, R.J., N. Sheets & J. Gagnon (2007/09)

Testing Uncovered Interest Parity: A Continuous-Time Approach   Acrobat Required
Diez de los Rios, A. & E. Sentana (2007)

Solving Exchange Rate Puzzles with neither Sticky Prices nor Trade Costs   Acrobat Required
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   ScienceDirect Required
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?   Acrobat Required
D'Souza, C. (2007)

Using a New Open Economy Macroeconomics model to make real nominal exchange rate forecasts   Acrobat Required
Sellin, P. (2007)

The timing and magnitude of exchange rate overshooting   Acrobat Required
Hoffmann, M., J. Sondergaard & N.J. Westelius (2007)

A monetary model of the exchange rate with informational frictions   Acrobat Required
Martinez-Garcia, E. (2007)

Exchange rate volatility, macro announcements and the choice of intraday seasonality filtering method   Acrobat Required
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   Recommended!
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   Wiley Interscience Required
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   ScienceDirect Required
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   Acrobat Required
Aksoy, Y. & H. Lustig (2008)

A new look at pass-through   ScienceDirect Required
Shambaugh, J. (2008)

The long swings in the spot exchange rates and the complex unit roots hypothesis   ScienceDirect Required
Al-Zoubi, H.A. (2008)

Unraveling the complex interrelationships between exchange rates and fundamentals   ScienceDirect Required
Murphy, A. & Y. Zhu (2008)

Order flow and exchange rate dynamics in electronic brokerage system data   ScienceDirect Required
Berger, D.W., A.P. Chaboud, S.V. Chernenko, E. Howorka & J.H. Wright (2008)

Forecasting foreign exchange rates using idiosyncratic volatility   ScienceDirect Required
Guo, H. & R. Savickas (2008)

Market structure and dealers’ quoting behavior in the foreign exchange market   ScienceDirect Required
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   Acrobat Required
Carlson, J.A., C.M. Dahl & C.L. Osler (2008)

Real Exchange Rate Dynamics under Staggered Loan Contracts   Acrobat Required
Fujiwara, I. & Y. Teranishi (2008)

Market Microstructure Approach to the Exchange Rate Determination Puzzle   Acrobat Required   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   Acrobat Required   SURVEY PAPER
Mokoena, T., R. Gupta & R. van Eyden (2008)

Exchange rates and fundamentals: a generalization   Acrobat Required
Nason, J.M. & J.H. Rogers (2008)

Exchange rate determination under interest rate rules   ScienceDirect Required
Benigno, G. & P. Benigno (2008)

Order flows, news, and exchange rate volatility   ScienceDirect Required
Frömmel, M., A. Mende & L. Menkhoff (2008)

Emerging market hedge funds and the yen carry trade   ScienceDirect Required
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   Acrobat Required
Bond, D., N. Hession, M.J. Harrison & E.J. O’Brien (2008)

Risk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets   Acrobat Required
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   Acrobat Required
Pippenger, J. (2008)

A structural time series test of the monetary model of exchange rates under four big inflations   ScienceDirect Required
Tawadros, G.B. (2008)

Bayesian Model Averaging and exchange rate forecasts   ScienceDirect Required
Wright, J.H. (2008)

News and Expectations in Financial Markets: An Experimental Study   Acrobat Required
Menzies, G. & D. Zizzo (2008)

Informational linkages across trading regions: Evidence from foreign exchange markets   ScienceDirect Required
Cai, F., E. Howorka & J. Wongswan (2008)

Is the forward bias economically small? Evidence from European rates   ScienceDirect Required
Sercu, M.V. & X. Wu (2008)

Local information in foreign exchange markets   ScienceDirect Required
Menkhoff, L. & M. Schmeling (2008)

McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates   Acrobat Required
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   Acrobat Required
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?   ScienceDirect Required
Neely, C.J. (2008)

The Taylor rule and forecast intervals for exchange rates   Acrobat Required
Wang, J. & J.J. Wu (2008)

Nonlinear Exchange Rate Predictability   Acrobat Required
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?   ScienceDirect Required
Wang, P. & P. Wang (2009)

Out-of-sample exchange rate predictability with Taylor rule fundamentals   ScienceDirect Required
Molodtsova, T. & D.H. Papell (2009)

Heterogeneous Expectations and Exchange Rate Dynamics   Acrobat Required
Chiarella, C., X-Z. He & M. Zheng (2009)

Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation   ScienceDirect Required
Kozhan, R. & M. Salmon (2009)

Heterogeneity in exchange rate expectations: Evidence on the chartist–fundamentalist approach   ScienceDirect Required
Menkhoff, L., R.R. Rebitzky & M. Schröder (2009)

The economic value of fundamental and technical information in emerging currency markets   ScienceDirect Required
de Zwart, G., T. Markwat, L. Swinkels & D. van Dijk (2009)

Expectations and exchange rate dynamics: A state-dependent pricing approach   ScienceDirect Required
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?   Acrobat Required
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   ScienceDirect Required
Wang, J. & M. Yang (2009)

Two currencies, one model? Evidence from the Wall Street Journal forecast poll   ScienceDirect Required
Frenkel, M., J-C. Rülke & G. Stadtmann (2009)

Monetary policy and exchange rate overshooting: Dornbusch was right after all | Published   ScienceDirect Required
Bjørnland, H.J. (2009)

Volatility Models : from GARCH to Multi-Horizon Cascades   Acrobat Required
Subbotin, A., T. Chauveau & K. Shapovalova (2009)

Exchange Rate Volatility and Output Volatility: A Theoretical Approach   Wiley Interscience Required
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   Acrobat Required
Gencay, R. & N. Gradojevic (2009)

Can Parameter Instability Explain the Meese-Rogoff Puzzle?   Acrobat Required
Bacchetta, P., E. van Wincoop & T. Beutler (2009)

Resolving the unbiasedness puzzle in the foreign exchange market   Acrobat Required
Thornton, D.L. (2009)

On causal Relationships Between Exchange Rates and Fundamentals: Better Than You Think   Acrobat Required
Christopoulos, D. & M.A. León-Ledesma (2009)

Identifying the effects of an exchange rate depreciation on country risk: Evidence from a natural experiment   ScienceDirect Required
Bordo, M.D., C.M. Meissner & M.D. Weidenmier (2009)

New evidence on nominal exchange rate predictability   ScienceDirect Required
Wu, J-L. & Y-H. Hu (2009)

Accounting for Incomplete Pass-Through
Nakamura, E. & D. Zerom (2009)

A Model of Market Clearing Exchange Rates   Acrobat Required
Parchure, R. (2009)

Evidence on the contrarian trading in foreign exchange markets   ScienceDirect Required
Wan, J-Y. & C-W. Kao (2009)

International Portfolio Balance – Modeling the External Adjustment Process   Acrobat Required
Nils, H., K. Clemens & M. Joan (2009)

Segmentation and time-of-day patterns in foreign exchange markets   ScienceDirect Required
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   Acrobat Required
Bali, T. & K. Yilmaz (2009)

Can long-horizon forecasts beat the random walk under the Engel-West explanation?   Acrobat Required
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   ScienceDirect Required
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   Acrobat Required
Jayasinghe, P. & A.K. Tsui (2009)

Currency Carry Trade Regimes: Beyond the Fama Regression | Published   ScienceDirect Required
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   Acrobat Required
Darmoul, M. & K. Mokhtar (2009)

Segmentation across International Equity, Bond, and Foreign Exchange Markets   Acrobat Required
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   ScienceDirect Required
Bartram, S.M., G.W. Brown & B.A. Minton (2009)

Order flows and the exchange rate disconnect puzzle   ScienceDirect Required
Evans, M.D.D. (2009)

A Macro-Finance Approach to Exchange Rate Determination   Acrobat Required
Chen, Y-C. & K.P. Tsang (2009)

A Disutility-Based Drift Control for Exchange Rates   Acrobat Required
Castellano, R., R. Cerqueti & R.L. D'Ecclesia (2009)

Modeling Exchange Rate Volatility   Wiley Interscience Required
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   Acrobat Required
Shintani, M., A. Terada-Hagiwara & T. Yabu (2010)

International order flows: Explaining equity and exchange rate returns   ScienceDirect Required
Dunne, P., H. Hau & M. Moore (2010)

Foreign exchange, fractional cointegration and the implied–realized volatility relation   ScienceDirect Required
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   Acrobat Required
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)

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Exchange Rate Determination (Real)

Was it Real? The Exchange Rate-Interest Differential Relation Over the Modern Floating-Rate Period   Recommended!   JSTOR Required
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   ScienceDirect Required
De Broeck, M. & T. Slok (2001/06)

Market Integration and Convergence to the Law of One Price: Evidence from the European Car Market | Published   Recommended!   ScienceDirect Required
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   Acrobat Required
Fisher, E. (2001)

Supply Shocks and Real Exchange Rates | Published   Acrobat Required
Alexius, A. (2001)

New multi-country evidence on purchasing power parity   Acrobat Required
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   Acrobat Required!
Maeso-Fernandez, F., C. Osbat & B. Schnatz (2001)

Sources of Euro Real Exchange Rate Fluctuations: What Is Behind the Euro Weakness in 1999-2000?   Acrobat Required!
Döpke, J., J. Gottschalk & C. Kamps (2001)

World-Wide Purchasing Power Parity   Acrobat Required!
Jacobson, T. & M. Nessen (2001)

PPP May not Hold After all: A Further Investigation   Acrobat Required!
Ng, S. & P. Perron (2001)

A New Look at Panel Testing of Stationarity and the PPP Hypothesis   Acrobat Required!
Bai, J. & S. Ng (2001)

PPP and the real exchange rate-real interest rate differential puzzle revisited: evidence from non-stationary panel data   Acrobat Required
Chortareas, G.E. & R.L. Driver (2001)

A Bayesian analysis of the PPP puzzle using an unobserved components model   Acrobat Required!
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   Acrobat Required!
Kleijn, R. & H. K. van Dijk (2002)

A simple test for PPP among traded goods   Acrobat Required!
Franses, P.H. & D.J. van Dijk (2002)

Real Exchange Rates in the Long and Short Run: A Panel Co-Integration Approach   Acrobat Required!
Calderón, C. (2002)

Testing for PPP: Should We Use Panel Methods?   Adobe Acrobat Required!
Banerjee, A. & M. Marcellino & C. Osbat (2002)

How does the world interest rate affect the real exchange rate?   Adobe Acrobat Required!
Gente, K. (2002)

Beyond Burgernomics and MacParity: Exchange Rate Forecasts Based on the Law of One Price   Adobe Acrobat Required!
Lutz, M. (2002)

Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model   Adobe Acrobat Required!
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   ScienceDirect Required
Chinn, Menzie & J. Lee (2002/06)

Price setting, price dispersion, and the value of money - or - The law of two prices   Adobe Acrobat Required
Curtis, E. & R. Wright (2002)

The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests | Published   ScienceDirect Required
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   Adobe Acrobat Required
Drine, I. & C. Rault (2002)

Real Exchange Rates in Transition Economies   Acrobat Required
Jazbec, B. (2002)

Does the Purchasing Power Parity Hold Within the US?   Adobe Acrobat Required
Pedersen, M. (2002)

PPP Strikes Back: Aggregation and the Real Exchange Rate | Alternative | Published   Recommended!   Ingenta Select Required
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?   Acrobat Required
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   Adobe Acrobat Required
Bagchi, D., G.E. Chortareas & S.M. Miller (2003)

Short Memory and the PPP-puzzle | Published   Adobe Acrobat Required   ScienceDirect Required
Ryu, D. & M.A. El-Gamal (2003/06)

Countercyclical Trade Balance and Persistent Real Exchange Rates in a Neomonetarist Model   Adobe Acrobat Required
Zamulin, O. (2003)

Convergence to Purchasing Power Parity at the Commencement of the Euro   Adobe Acrobat Required
Lopez, C. & D.H. Papell (2003)

A Prism into the PPP Puzzles: The Micro-foundations of Big Mac Real Exchange Rates | Published   Wiley Interscience Required
Parsley, D.C. & S-J. Wei (2003/07)

Commodity Currencies and the Real Exchange Rate   Adobe Acrobat Required
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   Adobe Acrobat Required
Drine, I. & C. Rault (2003)

On the long-run determinants of real exchange rates for developing countries : Evidence from Africa, Latin America and Asia   Adobe Acrobat Required
Drine, I. & C. Rault (2003)

Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjustment | Published   ScienceDirect Required   Adobe Acrobat Required
Cheung, Y-W., K.S. Lai & M. Bergman (2003)

A Re-examination of the Link between Real Exchange Rates and Real Interest Rate Differentials   Adobe Acrobat Required
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   Adobe Acrobat Required
Ahking, F.W. (2004)

The Modern Theory of the LOP and PPP: Some Implications   Adobe Acrobat Required
Pippenger, J. (2004)

Getting PPP Right: Identifying Mean Reverting Real Exchange Rates in Panels | Published   Acrobat Required   ScienceDirect Required
Chortareas. G. & G. Kapetanios (2004/08)

State of the Art Unit Root Tests and Purchasing Power Parity   Acrobat Required
Lopez, C., C.J. Murray & D.H. Papell (2004)

The Purchasing Power Parity Debate   Recommended!
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   Acrobat Required
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   Wiley Interscience Required
Alessandria, G. (2004)

Panel Data Tests Of Ppp: A Critical Overview   Adobe Acrobat Required
Caporale, G.M. & M. Cerrato (2004)

PPP rules, macroeconomic (In)stability and learning | Published   Wiley Interscience Required
Zanna, L-F. (2004/09)

The determination of the equilibrium exchange rate in a simple general equilibrium model   Acrobat Required
Van, C.L., C. Couharde & T.B. Luong (2004)

Estimating an equilibrium exchange rate for the dollar and other key currencies   ScienceDirect Required
Hughes Hallett, A. & C. Richter (2004)

The European Union currencies and the US dollar: from post-Bretton-Woods to the Euro   ScienceDirect Required
Gadea, M-D., A. Montañés & M. Reyes (2004)

The Purchasing Power Parity Debate   Ingenta Select Required
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   Acrobat Required
Groen, J.J.J. & C. Lombardelli (2004)

How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of Convergence to PPP   Acrobat Required
Chortareas, G. & G. Kapetanios (2004)

The purchasing power parity puzzle, temporal aggregation, and half-life estimation   ScienceDirect Required
Chambers, M.J. (2005)

Real Exchange Rate and Consumption Fluctuations following Trade Liberalization   Acrobat Required
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   Acrobat Required
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   ScienceDirect Required
Bergman, U.M. & J. Hansson (2005)

A Nonparametric Measure of Convergence Toward Purchasing Power Parity   Acrobat Required
Shintani, M. (2005)

Purchasing power parity and the theory of general relativity: The first tests   Recommended!   ScienceDirect Required
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   Ingenta Select Required
Lane, P.R. & G.M. Milesi-Ferretti (2005)

An oversimplified inquiry into the sources of exchange rate variability   ScienceDirect Required
Kempa, B. (2005)

Nominal rigidity, desired markup variations, and real exchange rate persistence   ScienceDirect Required
Bouakez, H. (2005)

New Rates from New Weights | Published
Bayoumi, T.A., J. Lee & S. Jayanthi (2005/06)

The PPP debate: Price matters!   ScienceDirect Required
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   Wiley Interscience Required
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   Wiley Interscience Required   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   ScienceDirect Required
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   Acrobat Required
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   ScienceDirect Required
Ho, T-W. (2005)

Just how Undervalued is the Chinese Renminbi   Acrobat Required
Funke, M. & J. Rahn (2005)

Do Dollar Forecasters Believe too Much in PPP?   Adobe Acrobat Required
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   Adobe Acrobat Required
Lambelet, J-C. & A. Mihailov (2005)

Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity   Adobe Acrobat Required
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   Acrobat Required
Paya, I. & D.A. Peel (2006)

The Purchasing Power Parity Persistence Paradigm: Evidence from Black Currency Markets   Acrobat Required
Cerrato, M., N. Kellard & N. Sarantis (2005)

Testing for Purchasing Power Parity Under a Target Zone Exchange Rate Regime   Acrobat Required
Miller, J.I. (2006)

Reconsidering Real Interest Parity for Traded and Nontraded Goods   Wiley Interscience Required
Kim, J. (2006)

Fundamentals and exchange rate volatility   Acrobat Required
Bleaney, M. (2006)

Co-integrating currencies and yield differentials   ScienceDirect Required
Inci, A.C. (2006)

International financial integration through the law of one price
Schmukler, S.L., E. Levy Yeyati & N. Van Horen (2006)

Pairwise Tests of Purchasing Power Parity Using Aggregate and Disaggregate Price Measures   Acrobat Required
Pesaran, M.H., R.P. Smith, T. Yamagata & L. Hvozdyk (2006)

The Contribution of Growth and Interest Rate Differentials to the Persistence of Real Exchange Rates   Acrobat Required
Malliaropulos, D., E. Panopoulou, N. Pittis & T. Pantelidis (2006)

Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues   Acrobat Required
Égert, B., L. Halpern & R. MacDonald (2006)

Structural Breaks in the Real Exchange Rate Adjustment Mechanism   Acrobat Required
Copeland, L. & S. Heravi (2006)

Real Exchange Rate Volatility and Asset Market Structure   Acrobat Required
Thoenissen, C. (2006)

Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model: What Is Important and What Is Not
Rabanal, P & V. Tuesta (2006)

An alternative test of purchasing power parity   ScienceDirect Required
Wallace, F.H. & G.L. Shelley (2006)

Can Firms’ Location Decisions Counteract the Balassa-Samuelson Effect?
Mejean, I. (2006)

On the Equality of Real Interest Rates across Borders in Integrated Capital Markets
Minford, P. & D.A. Peel (2006)

Persistence in Law-Of-One-Price Deviations: Evidence from Micro-Data | Published   Acrobat Required   ScienceDirect Required
Crucini, M.J. & M. Shintani (2006/08)

The behaviour of the real exchange rate: evidence from regression quantiles | Published   Acrobat Required   ScienceDirect Required
Nikolaou, K. (2006/08)

A reappraisal of the evidence on PPP: a systematic investigation into MA roots in panel unit root tests and their implications   Acrobat Required
Fischer, C. & D. Porath (2006)

Real Exchange Rate Dynamics With Endogenous Distribution Costs   Adobe Acrobat Required
Mulraine, M.L.B. (2006)

Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?   Acrobat Required
Caporale, G.M. & C. Hanck (2006)

Testing Real Interest Parity in Emerging Markets
Singh, M. & A. Banerjee (2006)

Can the Law of One Price be tested?   Acrobat Required
Philip, K. (2006)

International asset markets and real exchange rate volatility | Published   ScienceDirect Required
Bodenstein, M. (2006/08)

Real equilibrium exchange rates: A panel data approach for advanced and emerging economies   Acrobat Required
Villavicencio, A.L. (2006)

Is Reversion to PPP in Euro Exchange Rates Non-Linear?   Acrobat Required
Schnatz, B. (2006)

Does Productivity Growth Appreciate the Real Exchange Rate?   Wiley Interscience Required
Lee, J. & Tang M-K. (2007)

Pricing to Habits and the Law of One Price
Ravn, M.O., S. Schmitt-Grohé & M. Uribe (2007)

Purchasing power parity and country characteristics: Evidence from panel data tests   ScienceDirect Required
Alba, J.D. & D.H. Papell (2007)

Does the real interest parity hypothesis hold? Evidence for developed and emerging markets   ScienceDirect Required
Ferreira, A.L. & M.A. León-Ledesma (2007)

Foreign Exchange Intervention and Equilibrium Real Exchange Rates | Published   Acrobat Required   ScienceDirect Required
Sideris, D.S. (2007/08)

Household Heterogeneity and Real Exchange Rates   Wiley Interscience Required
Kocherlakota, N.R. & L. Pistaferri (2007)

The Law of One Price: Nonlinearities in Sectoral Real Exchange Rate Dynamics   Acrobat Required
Juvenal, L. & M.P. Taylor (2007)

The behaviour of the real exchange rate: Evidence from regression quantiles   Acrobat Required
Nikolaou, K. (2007)

Capturing asymmetry in real exchange rate with quantile autoregression   Acrobat Required
Ferreira, M.S. (2007)

A Framework for Identifying the Sources of Local-Currency Price Stability with an Empirical Application
Goldberg, P.K. & R. Hellerstein (2007)

Fertility and the Real Exchange Rate
Rose, A.K. & S. Supaat (2007)

Purchasing Power Parity for Developing and Developed Countries: What Can We Learn from Non-Stationary Panel Data Models? | Published   Acrobat Required   Wiley Interscience Required   SURVEY PAPER
Drine, I. & C. Rault (2007/08)

Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from five OECD countries   Acrobat Required
Qin, D. (2007)

Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates   Acrobat Required
Lee, H-T. & G. Yoon (2007)

International investment positions and exchange rate dynamics: a dynamic panel analysis   Acrobat Required
Binder, M. & C.J. Offermanns (2007)

International asset pricing under segmentation and PPP deviations   ScienceDirect Required
Chaieb, I. & V. Errunza (2007)

Do Internet Converge Prices to the "Law of One Price"? Evidence from Transaction Data for Airline Tickets   Acrobat Required
Sengupta, A. (2007)

Real exchange rates, imperfect substitutability, and imperfect competition   ScienceDirect Required
MacDonald, R. & L.A. Ricci (2007)

Financial Market Integration and World Economic Stabilization toward Purchasing Power Parity   Acrobat Required
Okimoto, T. & K. Shimotsu (2007)

The Relative Price of Non-traded Goods in an Imperfectly Competitive Economy: Empirical Evidence for G7 Countries   Acrobat Required
Coto-Martinez, J. & J. Reboredo (2007)

Does the Nominal Exchange Rate Regime Affect the Long Run Properties of Real Exchange Rates?   Acrobat Required
Dreger, C. & E. Girardin (2007)

Testing for Purchasing Power Parity in Cointegrated Panels
Carlsson, M., J. Lyhagen & P. Österholm (2007)

Equilibrium Exchange Rates: Assessment Methodologies
Isard, P. (2007)

Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the largest root and the half-life   ScienceDirect Required
Sekioua, S.H. (2008)

Real Exchange Rates and Fundamentals: A Cross-Country Perspective
Ricci, L.A., G.M. Milesi-Ferretti & J. Lee (2008)

The PPP Puzzle: What the Data Tell when Allowed to Speak Freely   Acrobat Required
Juselius, K. (2008)

Volatile and persistent real exchange rates with or without sticky prices   ScienceDirect Required
Moore, M.J. & M.J. Roche (2008)

The black market exchange rate vs. the official rate in testing PPP: Which rate fosters the adjustment process?   ScienceDirect Required
Bahmani-Oskooee, M. & A. Tankui (2008)

The Real Exchange Rate, Mercantilism and the Learning by Doing Externality
Aizenman, J. & J. Lee (2008)

U.S. dollar real exchange rates: Nonlinearity revisited   ScienceDirect Required
Sollis, R. (2008)

A revisit on dissecting the PPP puzzle: Evidence from a nonlinear approach   ScienceDirect Required
Wu, J-L. & P-F. Chen (2008)

Nonlinearities or outliers in real exchange rates?   ScienceDirect Required
Villavicencio, A.L. (2008)

How Robust are Estimated Equilibrium Exchange Rates? A Panel BEER Approach
Benassy-Quere, A., S. Bereau & V. Mignon (2008)

Non-linearity versus non-normality in real exchange rate dynamics   ScienceDirect Required
Arghyrou, M.G. & A. Gregoriou (2008)

Bivariate Assessments of Real Exchange Rates Using PPP Data
Zalduendo, J. (2008)

Persistent Real Exchange Rates   Acrobat Required
Johri, A. & A. Lahiri (2008)

The Composition of Government Spending and the Real Exchange Rate
Galstyan, V.A. & P.R. Lane (2008)

Skill Upgrading and the Real Exchange Rate   Acrobat Required
Alvarez, R. & R. Lopez (2008)

Some pitfalls in testing the law of one price in commodity markets   ScienceDirect Required
Pippenger, J. & L. Phillips (2008)

The real exchange rate in sticky price models: does investment matter?   Acrobat Required
Martinez-Garcia, E. & J. Søndergaard (2008)

Long-run PPP in a system context: No favorable evidence after all for the U.S., Germany, and Japan   ScienceDirect Required
Cushman, D.O. (2008)

Cointegration Tests of Purchasing Power Parity
Wallace, F., R. Lozano Cortés & L.F. Cabrera-Castellanos (2008)

Threshold adjustment in deviations from the law of one price   Acrobat Required
Juvenal, L. & M.P. Taylor (2008)

Local Costs of Distribution, International Trade Costs and Micro Evidence on the Law of One Price
Giri, R. (2008)

Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle   Acrobat Required
Lopez, C., C.J. Murray & D.H. Papell (2008)

Foreign Exchange Market Volatility Information: an investigation of real-dollar exchange rate   Acrobat Required
Gomes, F.P., M.Y. Takami & V.R. Brandi (2008)

Regional Mc Parity: Do Common Pricing Points Reduce Deviations From the Law of One Price?
Mathä, T.Y. (2008)

Nontraded Goods, Market Segmentation, and Exchange Rates | Published   Acrobat Required   ScienceDirect Required
Dotsey, M. & M. Duarte (2008)

Real Exchange Rate Movements and the Relative Price of Non-traded Goods
Betts, C.M. & T.J. Kehoe (2008)

Estimating exchange rate responsiveness to shocks   ScienceDirect Required
Narayan, P.K. (2008)

Aggregation and the PPP puzzle in a sticky-price model
Carvalho, C. & F. Nechio (2008)

A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings   Acrobat Required
Frydman, R., M.D. Goldberg, S. Johansen & K. Juselius (2008)

Net Foreign Assets, Productivity and Real Exchange Rates in Constrained Economies   Acrobat Required
Christopoulos, D.K., K. Gente & M.A. Leon-Ledesma (2008)

Does the law of one price hold in international financial markets? Evidence from tick data | Published   ScienceDirect Required
Akram, Q.F., D. Rime & L. Sarno (2008/09)

Nonlinear Adjustment of the Real Exchange Rate Towards its Equilibrium Value: a Panel Smooth Transition Error Correction Modelling
Bereau, S., A.L. Villavicencio & V. Mignon (2008)

3-Regime symmetric STAR modeling and exchange rate reversion   Acrobat Required
Cerrato, M., H. Kim & R. MacDonald (2008)

Real rigidities and real exchange rate volatility   ScienceDirect Required
Craighead, W.D. (2009)

Nonlinear PPP Deviations: A Monte Carlo Investigation of Their Unconditional Half-Life
Lo, M.C. (2009)

Consumption and Real Exchange Rates in Professional Forecasts
Devereux, M.B., G.W. Smith & J. Yetman (2009)

Nonlinear Adjustment in Law of One Price Deviations and Physical Characteristics of Goods   Wiley Interscience Required
Berka, M. (2009)

Estimating Exchange Rate Equations Using Estimated Expectations   Acrobat Required
Fair, Ray C. (2009)

Fiscal Shocks and The Real Exchange Rate   Acrobat Required
Bénétrix, A.S. & P.R. Lane (2009)

The Law of One Price Without the Border: The Role of Distance Versus Sticky Prices
Crucini, M.J., M. Shintani & T. Tsuruga (2009)

Currency Misalignments and Optimal Monetary Policy: A Reexamination
Engel, C. (2009)

Does higher openness cause more real exchange rate volatility?
Calderon, C. & M. Kubota (2009)

The real exchange rate in sticky-price models: does investment matter?   Acrobat Required
Martinez-Garcia, E. & J. Sondergaard (2009)

Productivity shocks and real exchange rates - a reappraisal   Acrobat Required
Peltonen, T.A. & M. Sager (2009)

Purchasing Power Parity and the Taylor Rule   Acrobat Required
Ogaki, M. & H. Kim (2009)

A New Test of the Real Interest Rate Parity Hypothesis: Bounds Approach and Structural Breaks   Acrobat Required
Bagdatoglou. G. & A. Kontonikas (2009)

Real Exchange Rate Misalignments   Acrobat Required
Terra, C. & F. Valladares (2009)

Household Heterogeneity and the Real Exchange Rate: Still a Puzzle
Kollmann, R. (2009)

Empowering the IMF: Should Reform be a Requirement for Increasing the Fund's Resources?   Acrobat Required
Weisbrot, M., J. Cordero & L. Sandoval (2009)

The confusing time-series behaviour of real exchange rates: Are asymmetries important?   ScienceDirect Required
McMillan, D.G. (2009)

Purchasing Power Parity and Breaking Trend Functions in the Real Exchange Rate   Acrobat Required
Joya, J.O. (2009)

Real Exchange Rates and Time-Varying Trade Costs   Acrobat Required
Peel, D., I. Paya & E. Pavlidis (2009)

Nonlinearity and Persistence in PPP: Does Controlling for Nonlinearity Solve the PPP Puzzle?   Wiley Interscience Required
Kiliç, R. (2009)

Purchasing Power Parity in Less-Developed and Transition Economies: A Review Paper   Wiley Interscience Required   SURVEY PAPER
Bahmani-Oskooee, M. & S.W. Hegerty (2009)

The Real Exchange Rate as an Instrument of Development Policy   Acrobat Required
Razmi, R., M. Rapetti & P. Skott (2009)

Can Non-Linear Real Shocks Explain The Persistence of PPP Exchange Rate Disequilibria?   Acrobat Required
Peltonen, T.A., A. Popescu & M. Sager (2009)

The pass-through effect: a twofold analysis
Forte, A. (2009)

Government Purchases and the Real Exchange Rate
Kollmann, R. (2009)

Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear   Acrobat Required
Peel, D., I. Paya & E. Pavlidis (2009)

Understanding forecast failure of ESTAR models of real exchange rates   Acrobat Required
Buncic, D. (2009)

Productivity, the Terms of Trade, and the Real Exchange Rate: The Balassa-Samuelson Hypothesis Revisited   Acrobat Required
Choudhri, E.U. & L.L. Schembri (2009)

Sources of exchange rate fluctuations: are they real or nominal?   Acrobat Required
Juvenal, L. (2009)

A Century of Purchasing Power Parity Confirmed: The Role of Nonlinearity
Kim, H. & Y-K. Moh (2009)

What Makes Currencies Volatile? An Empirical Investigation   Acrobat Required
Bleaney, M. & M. Francisco (2009)

One TV, One Price?
Imbs, J., H. Mumtaz, M.O. Ravn & H. Rey (2009)

Analyzing aggregate real exchange rate persistence through the lens of sectoral data   Acrobat Required
Mayoral. L. & M.D. Gadea (2009)

Real exchange rates and real interest rate differentials: A present value interpretation   ScienceDirect Required
Hoffmann, M. & R. MacDonald (2009)

The dollar in the turmoil   ScienceDirect Required
Bénassy-Quéré, A., S. Béreau & V. Mignon (2009)

Reverse Shooting of Exchange Rates   Acrobat Required
Wang, P. (2009)

A model of international cities: implications for real exchange rates   Acrobat Required
Crucini, M.J. & H. Yilmazkuday (2009)

Do uncertainty and technology drive exchange rates?   Acrobat Required
Guerron-Quintana, P.A. (2009)

What do we know about real exchange rate non-linearities?   Acrobat Required
Kruse, R., M. Frömmel, L. Menkhoff & P. Sibbertsen (2009)

International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries: Some Panel Evidence   Acrobat Required
Caporale, G.M., T.H. Amor & C. Rault (2009)

The Micro-Macro Disconnect of Purchasing Power Parity
Bergin, P.R., R. Glick & J-L. Wu (2009)

Productive Government Purchases and the Real Exchange Rate   Acrobat Required
Basu, P. & R. Kollmann (2010)

Real exchange rate dynamics in the presence of non-traded goods and transaction costs   ScienceDirect Required
Lee, I. & J. Shin (2010)

Methodological advances in the assessment of equilibrium exchange rates   Acrobat Required
Bussière, M., M. Ca’ Zorzi, A. Chudík & A. Dieppe (2010)

A Model of the Exchange Rate with Informational Frictions
Martínez-García, E. (2010)

Local persistence and the PPP hypothesis   ScienceDirect Required
Kim, S. & L.R. Lima (2010)

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Exchange Rate Policy

Can International Policy Coordination Be Counterproductive?   Recommended!   JSTOR Required
Rogoff, K. (1985)

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?   Recommended!
Carraro, C. & F. Giavazzi (1988)

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   Recommended!   JSTOR Required
Drazen, A. & P.R. Masson (1994)

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   Recommended!
Kaminsky, G.L. K.K. Lewis (1999)

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   Recommended!   Ingenta Select Required
Svensson, L.E.O. (2000)

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   Acrobat Required
Artis, M. (1999)

Recent Thinking About Exchange Rate Determination and Policy   Acrobat Required
Krugman, P. (1999)

The Foreign Exchange Orgins of Japan's Economic Slump and Low Interest Liquidity Trap
McKinnon, R. & K. Ohno (2000)

An Interest Rate Defense of a Fixed Exchange Rate?   Acrobat Required
Flood, R. & O. Jeanne (2000)

Equilibrium Exchange Rate Policies: Complicit Renegotiation-Proof Outcomes
Mella-Barral, P. & P. Vitale (2001)

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
Ishii, S., I. Otker-Robe & L. Cui (2001)

Optimal Exchange Rate Policy: The Influence of Price-Setting and Asset Markets   Acrobat Required
Engel, C. (2001)

On the Use of Local Currency When Less Inflationary Currencies are Available: An Overlapping Generations Model   Acrobat Required
Eden, B. (2001)

Official Intervention in the Foreign Exchange Market or, Bet Against the Central Bank   Acrobat Required
Taylor, D. (2001)

Monetary Implications of Cross-Border Derivatives for Emerging Economies
Morales, A. (2001)

Exchange Rate Risk Management: Evidence from East Asia
Allayannis, G., G.W. Brown & L.F. Klapper (2001)

On Commodity-Sensitive Currencies and Inflation Targeting
Clinton, K. (2001)

Living with Fear of Floating: An Optimal Policy Perspective
Lahiri, A. & C.A. Vegh (2001)

Financial Repression and Exchange Rate Management in Developing Countries: Theory and Empirical Evidence for India
Kletzer, K. & R. Kohli (2001)

Exchange Rate Exposure | Published   ScienceDirect Required
Dominguez, K.M.E. & L.L. Tesar (2001/05)

Exchange Rate Pass-through and Partial Dollarization: Is There a Link?   Acrobat Required
González, J.A. (2001)

International Transmission under Floating Exchange Rates   Acrobat Required
Lothian, J.R. & C.H. McCarthy (2001)

Exchange rate volatility and EURO area imports   Acrobat Required
Anderton, R., F. Skudelny (2001)

The Effects of Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach   Acrobat Required
Jang, K. & M. Ogaki (2001)

Policy Options for Joining the Euro   Acrobat Required
de Crombrugghe, A. (2001)

Dollarization of Liabilities in Non-tradable Goods Sector   Acrobat Required
Chabellard, F. (2001)

What Hurts Most? G-3 Exchange Rate or Interest Rate Volatility   Recommended!
Reinhart, C.M. & V.R. Reinhart (2001)

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   Acrobat Required
Ennis, H.M. (2001)

Dollarization: An Irreversible Decision   Acrobat Required
Craine, R. (2001)

Is adopting Full Dollarization the solution? Looking at the evidence   Acrobat Required
Goldfajn, I. & G. Olivares (2001)

Dollarization and Economic Performance: An Empirical Investigation
Edwards, S. (2001)

Dollarization: A Primer   Recommended!   Adobe Acrobat Required
Levy-Yeyati, E. & F. Sturzenegger (2001)

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
Taylor, M.P. & L. Sarno (2001)

Deposit Dollarization and the financial sector in emerging economies   Acrobat Required
Shi, A. (2002)

Dollarization: A Dead End
Izurieta, A. (2002)

Dollarization: Analytical Issues
Chang, R. & A. Velasco (2002)

A Fiscal Theory of the Currency Risk Premium and of Sterilized Intervention
Kumhof, M. & S. Van Nieuwerburgh (2002)

Nominal Exchange Rate Anchoring Under Inflation Inertia
Calvo, G.A., O. Celasun & M. Kumhof (2002)

How Valuable Is Exchange Rate Flexibility? Optimal Monetary Policy under Sectoral Shocks
Tille, C. (2002)

On the Distributional Effects of Exchange Rate Fluctuations | Published   ScienceDirect Required
Tille, C. (2002/06)

Dread of Depreciation: Measuring Real Exchange Rate Interventions
Dutta, J. (2002)

Expenditure Switching and Exchange Rate Policy
Engel, C. (2002)

Foreign Currency Pricing   Adobe Acrobat Required
Levina, I. & O. Zamulin (2002)

Unofficial Dollarization in Latin America: Currency Substitution, Network Externalities and Irreversibility   Acrobat Required
Feige, E.L., V. Šošiæ, M. Faulend & V. Šonje (2002)

Why Should Emerging Economies Give up National Currencies: A Case for 'Institutions Substitution'
Mendoza, E.G. (2002)

Dollarization and Economic Performance: What Do We Really Know?   Adobe Acrobat Required!
Edwards, S. & I.I. Magendzo (2002)

Optimal Exchange Rate Policy, Optimal Incomplete Taxation and Business Cycles   Acrobat Required
Cunha, A.B. (2002)

Global Implications of Self-Oriented National Monetary Rules | Published   Ingenta Select Required   Acrobat Required
Obstfeld, M. & K. Rogoff (2001/2002)

Real Exchange Rate Targeting and Macroeconomic Instability
Uribe, M. (2002)

Should government smooth exchange rate risk?   Adobe Acrobat Required
Goldfajn, I. & A. Silveira (2002)

Dollarization, Monetary Policy, and the Pass-Through
Ize, A. & E. Parrado (2002)

Exchange Rate Monitoring Bands: Theory and Policy | Alternative   Acrobat Required!
Corrado, L., M. Miller & L. Zhang (2002)

The Great Exchange Rate Debate After Argentina
Edwards, S. (2002)

A Currency of One's Own? An Empirical Investigation on Dollarization and Independent Currency Unions
Edwards, S. & I. Magendzo (2003)

Endogenous Deposit Dollarization
Broda, C. & E.L. Yeyati (2003)

Dollarization of Liabilities: Beyond the Usual Suspects
Barajas Estrada, A. & A. Morales (2003)

The Dynamics of Currency Substitution, Asset Substitution and De facto Dollarization and Euroization in Transition Countries   Adobe Acrobat Required
Feige, E.L. (2003)

Revisiting the Interest Rate-Exchange Rate Nexus: A Markov Switching Approach   Acrobat Required
Chen, S.S. (2003)

Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data
Faust, J., J.H. Rogers, E. Swanson & J.H. Wright (2003)

Twin Fallacies About Exchange Rate Policy in Emerging Markets
Reinhart, C.M. & V.R. Reinhart (2003)

Foreign Exchange Intervention in Developing and Transition Economies: Results of a Survey
Canales Kriljenko, J.I. (2003)

Intervention and Exchange Rate Stabilization Policy in Developing Countries   Wiley Interscience Required
Hutchison, M.M. (2003)

Strict Dollarization and Economic Performance: An Empirical Investigation
Edwards, S. & I. Magendzo (2003)

Overshooting and Dollarization in the Democratic in the Democratic Republic of the Congo   Acrobat Required
Beaugrand, P. (2003)

The East Asian Dollar Standard, Fear of Floating, and Original Sin   Acrobat Required
McKinnon, R. & G. Schnabl (2003)

Large Devaluations and the Real Exchange Rate | Alternative   Acrobat Required
Burstein, A., M. Eichenbaum & S. Rebelo (2003)

Monetary policy, foreign exchange intervention, and the exchange rate in a unifying framework   ScienceDirect Required
Kim, S. (2003)

When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements? | Published   ScienceDirect Required
Dominguez, K.M.E. (2003/06)

Dollarization, Inflation Volatility and Underdeveloped Financial Markets in Transition Economies   Acrobat Required
Piontkovsky, R. (2003)

Sticky Inflation and the Real Effects of Exchange Rate Based Stabilization | Published   ScienceDirect Required
Celasun, O. (2003/06)

Official Intervention in the Foreign Exchange Market: Elements of Best Practice
Canales Kriljenko, J.I., R. Guimaraes & C. Karacadag (2003)

Exploring the Implications of Official Dollarization on Macroeconomic Volatility   Adobe Acrobat Required
Duncan, R. (2003)

Dollarization of the Banking System: Good or Bad?
Honohan, P., A. Ize & G. De Nicolo (2003)

Financial Dollarization and Central Bank Credibility
Cowan, K. & Do Q-T (2003)

Economic Policy in the International Economy   Recommended!
Helpman, E. & E. Sadka (2003)

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
Jeanne, O. (2003)

Addicted to Dollars
Reinhart, C.M., K.S. Rogoff & M.A. Savastano (2003)

The Trilemma in History: Tradeoffs among Exchange Rates, Monetary Policies,and Capital Mobility | Alternative | Published   Adobe Acrobat Required   Ingenta Select Required
Obstfeld, M.,J.C. Shambaugh & A.M. Taylor (2003/04/05)

The Travails of Current Macroeconomic and Exchange Rate Management in China: The Complications of Switching to a New Growth Engine   Adobe Acrobat Required
Woo, W.T. (2003)

Monetary policy's role in exchange rate behavior   ScienceDirect Required
Faust, J. & J.H. Rogers (2003)

Reuters News Reports versus Official Interventions: A Cautionary Warning   Acrobat Required
Fischer, A. (2003)

Optimal fear of floating: the role of currency mismatches and fiscal constraints | Alternative   Adobe Acrobat Required
Ganapolsky, E.J.J. (2003)

Financial Globalisation, Exchange Rates and Capital Controls in Developing Countries   Adobe Acrobat Required
Joshi, V. (2003)

Government intervention in the foreign exchange market   Acrobat Required   SURVEY PAPER
Humpage, O.F. (2003)

Is a transactions tax an effective means to stabilize the foreign exchange market?   Acrobat Required
Terzi, A. (2003)

Limited Arbitrage, Segmentation, and Investor Heterogeneity: Why the Law of One Price So Often Fails
Flynn, S.M. (2003)

The Gains from International Monetary Cooperation Revisited
Tchakarov, I. (2004)

Euro at Five: Ready for a Global Role?   Recommended!   CONFERENCE VOLUME
Various authors (2004)

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
de la Torre, A. & S. Schmukler (2004)

Fear of Floating in East Asia   Acrobat Required
Kim, S., S.H. Kim & Y. Wang (2004)

Computing currency invariant indices with an application to minimum variance currency baskets   ScienceDirect Required
Hovanov, N.V., J.W. Kolari & M.V. Sokolov (2004)

Monetary Sovereignty, Exchange Rates, and Capital Controls: The Trilemma in the Interwar period
Obstfeld, M., J.C. Shambaugh & A.M. Taylor (2004)

Productivity Shocks and Delayed Exchange-Rate Overshooting   Acrobat Required
Pierdzioch, P. (2004)

Economic Integration, Sectoral Diversification, and Exchange Rate Policy in a Developing Economy
Srour, G. (2004)

Dollarization and currency exchange   ScienceDirect Required
Craig, B. & C.J. Waller (2004)

Balance Sheets, Exchange Rate Policy, and Welfare | Published   ScienceDirect Required
Elekdag, S. & I. Tchakarov (2004/07)

What Prompts Japan to Intervene in the Forex Market? A New Approach to a Reaction Function
Ito, T. & T. Yabu (2004)

The liquidity effects of foreign exchange intervention   ScienceDirect Required
Ho, W-M. (2004)

On the determinants of "small" and "large" foreign exchange market interventions: The case of the Japanese interventions in the 1990s   ScienceDirect Required
Frenkel, M., C. Pierdzioch & G. Stadtmann (2004)

Prudential Responses to De Facto Dollarization
Ize, A. & A. Powell (2004)

Optimal Currency Hedging | Published   Acrobat Required   ScienceDirect Required
Albuquerque, R. (2004/07)

Assessing Financial Vulnerability in Partially Dollarized Economies   Acrobat Required
Moron, E., J.F. Castro & D. Winkelried (2004)

Exchange-Rate Policy and the Zero Bound on Nominal Interest Rates | Published   Acrobat Required   Ingenta Select Required
Coenen, G. & V.W. Wieland (2004)

Adjusting China’s Exchange Rate Policies   Acrobat Required
Goldstein, M. (2004)

The Return to Soft Dollar Pegging in East Asia. Mitigating Conflicted Virtue   Acrobat Required
McKinnon, R. & G. Schnabl (2004)

An Assessment of the Case for Monetary Union or Official Dollarization in Argentina, Brazil, Chile, Uruguay and Venezuela   Acrobat Required
Hallwood, P., I.W. Marsh & J. Scheibe (2004)

Target Zone Interventions and Coordination of Expectations   Acrobat Required
Reitz, S., F. Westerhoff & C. Wieland (2004)

Credible Commitment to Optimal Escape from a Liquidity Trap: The Role of the Balance Sheet of an Independent Central Bank
Jeanne, O. & L.E.O. Svensson (2004)

Sterilization costs and exchange rate targeting   ScienceDirect Required
Kletzer, K. & M.M. Spiegel (2004)

Monetary policy in emerging markets: Can liability dollarization explain contractionary devaluations?   ScienceDirect Required
Cook, D. (2004)

Foreign exchange market intervention: implications of publicly announced and secret intervention for the euro exchange rate and its volatility   ScienceDirect Required
Brissimisa, S.N. & D.P. Chionis (2004)

Balance Sheets and Exchange Rate Policy   Ingenta Select Required
Cespedes, L.F., R. Chang & A. Velasco (2004)

Dollars, Debt and the IFIs: Dedollarizing Multilateral Lending   Adobe Acrobat Required
Levy Yeyati, E. (2004)

Exchange Rate and Inflation Dynamics in Dollarized Economies | Published   Adobe Acrobat Required   ScienceDirect Required
Carranza. L., J.E. Galdon-Sanchez & J.G. Biscarri (2004/09)

Models of foreign exchange intervention: Estimation and testing   Adobe Acrobat Required
Brown, B.W. & D.J. Hodgson (2004)

A simple theoretical framework for the analysis of liability dollarization   Adobe Acrobat Required
Heymann, D. & E. Kawamura (2004)

Financial Dollarization: Evaluating the consequences   Adobe Acrobat Required
Levy-Yeyati, E. (2004)

Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries
Jahjah, S. & V.Z. Yue (2004)

Communication and Exchange Rate Policy | Published   Acrobat Required   ScienceDirect Required
Fratzscher, M. (2004/08)

Living with flexible exchange rates   Acrobat Required
Ho, C. & R.N. McCauley (2004)

A Risk Allocation Approach to Optimal Exchange Rate Policy   Acrobat Required
Mundaca, G.B. & J. Strand (2004)

Monitoring and Endogenous Financial Dollarization   ScienceDirect Required
Corrado, G. (2005)

Currency Boards and Productivity Growth   Acrobat Required
Canavese, A. (2004)

Labour market reform and the sustainability of exchange rate pegs   Acrobat Required
Castrén, O., T. Takalo & G. Wood (2004)

A Risk Allocation Approach to Optimal Exchange Rate Policy
Strand, J. & G. Mundaca (2004)

Official dollarization: a last resort solution to financial instability in Latin America?   Acrobat Required
Minda, A. (2005)

Fear of floating and domestic liability dollarization   ScienceDirect Required
Honig, A. (2005)

Exits from Heavily Managed Exchange Rate Regimes
Detragiache, E., A. Mody & E. Okada (2005)

Other People's Money   Recommended!
Eichengreen, B. (2005)

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   Acrobat Required
Keiding, H. & M.J. Knudsen (2005)

Dollarization of bank deposits: Causes and consequences   ScienceDirect Required
De Nicoló, G., P. Honohan & A. Ize (2005)

On the Renminbi: The Choice between Adjustment under a Fixed Exchange Rate and Adjustment under a Flexible Rate
Frankel, J. (2005)

Friedman redux: Restricting monetary policy rules to support flexible exchange rates   ScienceDirect Required
Devereux, M.B., K. Shi & J. Xu (2005)

Exchange Rates under the East Asian Dollar Standard: Living with Conflicted Virtue
McKinnon, R.I. (2005)

The need for international policy coordination: what's old, what's new, what's yet to come?   ScienceDirect Required
Canzoneri, M.B., R.E. Cumby & B.T. Diba (2005)

Dollarization in Latin America: seigniorage costs and policy implications
Lange, C. & C. Sauer (2005)

Regime-switching in exchange rate policy and balance sheet effects
Fiess, N. & R. Shankar (2005)

Dollarization and trade   ScienceDirect Required
Klein, M.W. (2005)

Strategies of exchange rate policy in G3 economies   ScienceDirect Required
Fratzscher, M. (2005)

Explicit and Implicit Targets in Open Economies
Sgherri, S. (2005)

Can a Rapidly-Growing Export-Oriented Economy Smoothly Exit an Exchange Rate Peg? Lessons for China from Japan's High-Growth Era
Eichengreen, B. & M. Hatase (2005)

Managing Systemic Liquidity Risk in Financially Dollarized Economies
Ize, A., M.A. Kiguel & E. Levy Yeyati (2005)

Financial Dollarization Equilibria: A Framework for Policy Analysis
Ize, A. (2005)

Financial De-Dollarization: Is It for Real?
Ize, A. & E. Levy Yeyati (2005)

The Impact of FX Central Bank Intervention in a Noise Trading Framework | Published   ScienceDirect Required   Acrobat Required
De Grauwe, P., M. Grimaldi & M.A.R. Beine (2005/09)

Fear of Floating: An optimal discretionary monetary policy analysis   Acrobat Required
Bokil, M. (2005)

Financial Dollarization and the Size of the Fear   Acrobat Required Castro, J.F. & E. Morón (2005)

Currency Manipulation versus Current Account Manipulation   Acrobat Required
Cai, J. (2005)

How to Exit from Fixed Exchange Rate Regimes
Asici, A.A. & N. Ivanova & C. Wyplosz (2005)

Regime-Switching in Exchange Rate Policy and Balance Sheet Effects   ScienceDirect Required
Fiess, N. & R. Shankar (2005)

Exchange Rate Cointegration Across Central Bank Regime Shifts   ScienceDirect Required
Lopez, J.A. (2005)

Monetary Policy News and Exchange Rate Responses: Do Only Surprises Matter? | Published   Adobe Acrobat Required   ScienceDirect Required
Fatum, R. & B. Scholnick (2005/08)

Exchange Rate Targeting in a Small Open Economy   Acrobat Required
Nielsen, M.E.B. (2005)

Financial Dollarization in Latin America
Rennhack, R. & M. Nozaki (2006)

Toward an Effective Supervision of Partially Dollarized Banking Systems
Cayazzo, J., A.G. Pascual, E. Gutierrez & S. Heysen (2006)

How tight should one's hands be tied? Fear of floating and credibility of exchange regimes   Acrobat Required
López, J.R. & H.R. Mendizábal (2006)

Fear of Floating and Fear of Pegging: An Empirical Analysis of De Facto Exchange Rate Regimes in Developing Countries
von Hagen, J. & J. Zhou (2006)

Stabilization of Effective Exchange Rates Under Common Currency Basket Systems
Ogawa, E. & J. Shimizu (2006)

Expectations and Exchange Rate Policy
Devereux, M.D. & C. Engel (2006)

Expenditure Switching vs. Real Exchange Rate Stabilization: Competing Objectives for Exchange Rate Policy | Published   ScienceDirect Required
Devereux, M.D. & C. Engel (2006/07)

The Foreign Exchange Rate Exposure of Nations   Acrobat Required
Entorf,H., J. Moebert & K. Sonderhof (2006)

Central bank intervention and exchange rate volatility, its continuous and jump components   Acrobat Required
Beine, M., J. Lahaye, S. Laurent, C.J. Neely & F.C. Palm (2006)

Evaluating Foreign Exchange Market Intervention: Self-Selection, Counterfactuals and Average Treatment Effects | Published   Acrobat Required   ScienceDirect Required
Fatum, R. & M.M. Hutchison (2006/10)

Why Do Countries Peg the Way They Peg? The Determinants of Anchor Currency Choice | Published   Acrobat Required   ScienceDirect Required
Meissner, C.M. & N. Oomes (2006/09)

Optimal monetary policy in a regime-switching economy: the response to abrupt shifts in exchange rate dynamics   Acrobat Required
Zampolli, F. (2006)

Inflation Targeting in Dollarized Economies
Leiderman, L., R. Maino & E. Parrado (2006)

The Coordination Channel of Foreign Exchange Intervention | Published   Acrobat Required   ScienceDirect Required
Reitz, S. & M.P. Taylor (2006/08)

Authorities' beliefs about foreign exchange intervention: getting back under the hood | Published   Acrobat Required   ScienceDirect Required
Neely, C.J. (2006/08)

Passthrough Estimates and the Choice of an Exchange Rate Index   Wiley Interscience Required
Pollard, P.S. & C.C. Coughlin (2006)

Should central banks react to exchange rate movements? An analysis of the robustness of simple policy rules under exchange rate uncertainty   ScienceDirect Required
Wollmershäuser, T. (2006)

Why do Central Bankers Intervene in the Foreign Exchange Market? Some New Evidence and Theory   Acrobat Required
Guerron, P.A. (2006)

The Effect of a Transaction Tax on Exchange Rate Volatility   Acrobat Required
Lanne. M. & T. Vesalay (2006)

Foreign exchange market interventions as monetary policy   Adobe Acrobat Required
Post, E. (2006)

A Critical Appraisal of Recent Developments in the Analysis of Foreign Exchange Intervention
Vitale, P. (2006)

On the Credibility of Currency Boards   Wiley Interscience Required
Feuerstein, S. & O. Grimm (2006)

The Historical Origins of U.S. Exchange Market Intervention Policy
Bordo, M.D., O. Humpage & A.J. Schwartz (2006)

Devaluation without common knowledge   ScienceDirect Required
Rochon, C. (2006)

Dollarization and financial integration   Acrobat Required
Arellano, C. & J. Heathcote (2007)

Exchange Rate Policy and Liability Dollarization: An Empirical Study
Berkmen, P & E.E. Cavallo (2007)

Currency Crises and Monetary Policy in Economies with Partial Dollarisation of Liabilities   Acrobat Required
Flaschel, P., C. Proano & W. Semmler (2007)

Talks, financial operations or both? Generalizing central banks’ FX reaction functions | Published   ScienceDirect Required   Acrobat Required
Bernal, O. & J-Y. Gnabo (2007/09)

Fed intervention, dollar appreciation, and systematic risk   ScienceDirect Required
Sweeney, R.J. (2007)

What prompts Japan to intervene in the Forex market? A new approach to a reaction function   ScienceDirect Required
Ito, T. & T. Yabu (2007)

"Optimal" inflation under dollarization   ScienceDirect Required
Kurasawa, K. & A.L. Marty (2007)

Solving Endogeneity in Assessing the Efficacy of Foreign Exchange Market Interventions   Acrobat Required
Park, S.G. (2006)

The Influence of Actual and Unrequited Interventions
Dominguez, K.M.E. & F. Panthaki (2007)

Dollarization and exchange rate fluctuations   Acrobat Required
Honohan, P. (2007)

Monetary Policy in an Equilibrium Portfolio Balance Model
Kumhof, M. & S. van Nieuwerburgh (2007)

Why China Should Keep Its Dollar Peg   Wiley Interscience Required
McKinnon, R. (2007)

Why China Should Abandon Its Dollar Peg   Wiley Interscience Required
Roubini, N. (2007)

Solving Endogeneity in Assessing the Efficacy of Foreign Exchange Market Interventions   Acrobat Required
Park, S.G. (2007)

Informative trading or just costly noise? An analysis of Central Bank interventions   ScienceDirect Required
Pasquariello, P. (2007)

Persistent Appreciations and Overshooting: A Normative Analysis
Caballero, R.J. & G. Lorenzoni (2007)

Optimal exchange rate policy in a low interest rate environment | Published   Acrobat Required   ScienceDirect Required
Pavasuthipaisit, R. (2007/09)

Optimal Monetary Policy with Vertical Production and Trade   Wiley Interscience Required
Shi, K. & J. Xu (2007)

Fear of Floating and Social Welfare
Tambakis, D.N. (2007)

The Renminbifs Dollar Peg at the Crossroads   Acrobat Required
Obstfeld, M. (2007)

Fear of appreciation
Levy-Yeyati, E. & F. Sturzenegger (2007)

A Heterogenous Agents Model Usable for the Analysis of Currency Transaction Taxes   Acrobat Required
Demary, M. (2008)

Liquidity shocks and the dollarization of a banking system   ScienceDirect Required
Machicado, C.G. (2008)

Sterilized Intervention in Emerging-Market Economies: Trends, Costs, and Risks   Acrobat Required
Lavigne, R. (2008)

Sterilization, Monetary Policy, and Global Financial Integration
Aizenman, J. & R. Glick (2008)

Accumulating Foreign Reserves Under Floating Exchange Rates
Gonçalves, F.M. (2008)

Oral Interventions Versus Actual Interventions in Fx Markets - An Event-Study Approach   Wiley Interscience Required
Fratzscher , M. (2008)

Conditional Efficacy of Sterilized Intervention   Acrobat Required
Jun, J. (2008)

Fear of Declaring: Do Markets Care What Countries Say About Their Exchange Rate Policies?
Barajas, A., L. Erickson & R. Steiner (2008)

Exchange Rate Dynamics and the Relationship between the Random Walk Hypothesis and Official Interventions   Acrobat Required
Lima, E.J.A. & B.M. Tabak (2008)

A class of quadratic options for exchange rate stabilization   ScienceDirect Required
Suh, S. & F. Zapatero (2008)

The welfare implications of foreign exchange intervention   ScienceDirect Required
Ho, W-M. (2008)

Currency interdependence and dollarization   ScienceDirect Required
Dutu, R. (2008)

Dollarization, exchange rate regimes and government quality   ScienceDirect Required
Honig, A. (2009)

A new solution to the Purchasing Power Parity puzzles: Risk-aversion, exchange rate uncertainty and the Law of One Price   Acrobat Required
Arghyrou, M.G., A. Gregoriou & P.M. Pourpourides (2009)

Evaluating Historical CGER Assessments:How Well Have They Predicted Subsequent Exchange Rate Movements?
Abiad, A., P. Kannan & J. Lee (2009)

Learning under Fear of Floating   Acrobat Required
Bigio, S. (2009)

The Effects of Real Exchange Rate Shocks in an Economy with Extreme Liability Dollarization   Acrobat Required
Melander, O. (2009)

Optimal devaluations
Hevia, C. & J.P. Nicolini (2009)

Should central bankers talk to the foreign exchange markets?   ScienceDirect Required
Beine, M., G. Janssen & C. Lecourt (2009)

A brief empirical history of U.S. foreign-exchange intervention: 1973-1995   Acrobat Required
Bordo, M.D., O.F. Humpage & A.J. Schwartz (2009)

The Future of China's Exchange Rate Policy
Goldstein, M. & N.R. Lardy (2009)

Policy Responses to Exchange-Rate Movements
Ball, L.M. (2009)

Financial dollarization: Short-run determinants in transition economies   ScienceDirect Required
Neanidis, K.C. & C.S. Savva (2009)

Speculative hyperinflations and currency substitution   ScienceDirect Required
Arce, O.J. (2009)

Exchange rate management in emerging markets: Intervention via an electronic limit order book   ScienceDirect Required
Melvin, M., L. Menkhoff & M. Schmeling (2009)

How successful is the G7 in managing exchange rates?   ScienceDirect Required
Fratzscher, M. (2009)

Do China and oil exporters influence major currency configurations?   ScienceDirect Required
Fratzscher, M. & A. Mehl (2009)

The Mechanics of Central Bank Intervention in Foreign Exchange Markets   Acrobat Required
Basu, K. (2009)

Optimal intervention in the foreign exchange market when interventions affect market dynamics
Kercheval, A.N. & J.F. Moreno (2009)

On-Going versus Completed Interventions and Yen/Dollar Expectations - Evidence from Disaggregated Survey Data   Acrobat Required
Yoshida, Y. & J.C. Rülke (2009)

Does inflation targeting lead to excessive exchange rate volatility?   Acrobat Required
Pétursson, T.G. (2009)

Currency Misalignments and Growth: a New Look Using Nonlinear Panel Data Methods
Bereau, S., A.L. Villavicencio & V. Mignon (2009)

Capturing the time dynamics of central bank intervention   ScienceDirect Required
Douglas, C.C. & M. Kolar (2009)

The Interest Rate — Exchange Rate Nexus: Exchange Rate Regimes and Policy Equilibria   Acrobat Required
Himmels, C. & T. Kirsanova (2009)

Macro-Hedging for Commodity Exporters
Borensztein, E., O. Jeanne & D. Sandri (2009)

High-Frequency Analysis of Foreign Exchange Interventions: What Do We Learn?   Wiley Interscience Required   SURVEY PAPER
Menkhoff, L. (2010)

Revisiting the Tobin Tax, in the Context of Development and the Financial Crisis
Yates, N.A. (2010)

Noise traders, exchange rate disconnect puzzle, and the Tobin tax   ScienceDirect Required
Xu, J. (2010)

Official Central Bank Interventions in the Foreign Exchange Markets: A DCC Approach with Exogenous Variables   Acrobat Required
Antonakakis, N. (2010)

FX Swaps: Implications for Financial and Economic Stability
Barkbu, B. & L.L. Ong (2010)

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Exchange Rate Regimes

Target Zones and Exchange Rate Dynamics   Recommended!   JSTOR Required
Krugman, P.R. (1991)

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   Recommended!   JSTOR Required
Svensson, L.E.O. (1992)

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   Recommended!
Frankel, J.A. (1999)

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   Acrobat Required
Hervey, J.L. & W.A. Strauss (1996)

Optimal Choice of Exchange Rate Regime: The Case of Australia   Acrobat Required
Lim, J.J. (1998)

Fixed or Flexible? Getting the Exchange Rate Right in the 1990s   Adobe Acrobat Required!
Caramazza, F. & J. Aziz (1998)

Exchange Rate Regimes and the Stability of Trade Policy in Transition Economies
Drabek, Z. & J.C. Brada (1998)

Implications of the Currency Crisis for Exchange Rate Arrangements in Emerging East Asia
Kawai, M. & S. Akiyama (2000)

Proposed Strategy for a Regional Exchange Rate Arrangement in Post-Crisis East Asia
Kawai, M. & S. Takagi (2000)

Examining the Case for Currency Basket Regimes for Southeast Asia   Acrobat Required
Rajan, R.S. (2000)

Mundell, the Euro, and Optimum Currency Areas
McKinnon, R. (2000)

Monetary Independence in Emerging Markets - Does the Exchange Rate Regime Make a Difference?   Acrobat Required
Borensztein, E.R., J. Zettelmeyer & T. Philippon (2001)

Currency Unions   Recommended!
Alesina, A. & R.J. Barro (2001)

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   Acrobat Required
Lopez-Cordova, J.E. & C. Meissner (2001)

Exchange Rate Regimes: Some Lessons from Postwar Europe
Wyplosz, C. (2001)

Sustaining Fixed Exchange Rates - A Model with Debt and Institutions
Pitt, A. (2001)

How Do Countries Choose Their Exchange Rate Regime?
Poirson, H. (2001)

Real and Monetary Shocks to the Canadian Dollar: Do Canada and the U.S Form an Optimal Currency Area?
Carr, J.L. & J.E. Floyd (2001)

The Mechanics of a successful Exchange-Rate Peg: Lessons from Emerging Markets   Acrobat Required
Dueker, M. & A. Fischer (2001)

Fewer Monies, Better Monies
Dornbusch, R. (2001)

Does the Exchange Rate Regime Affect Macroeconomic Performance? Evidence from Transition Economies   Acrobat Required
Domac, I., K. Peters & Y. Yuzefovich (2001)

Real Exchange Rate Behavior Under Floating and Fixed Regimes   Acrobat Required
Lothian, J.R. & C.H. McCarthy (2001)

Baltic Monetary Regimes in the XX1st Century
Viksnins, G. (2001)

Pricing Currency Risk: Facts and Puzzles from Currency Boards   Acrobat Required
Schmukler, S. & L. Serven (2001)

Terms of Trade and Exchange Rate Regimes in Developing Countries | Published   ScienceDirect Required   Acrobat Required
Broda, C. (2001/2004)

Exchange-Rate Regimes and International Trade: Evidence from the Classical Gold Standard Era   Acrobat Required
Córdova, J.E.L. & C. Meissner (2001)

To Float or to Trail: Evidence on the Impact of Exchange Rate Regimes   Acrobat Required
Levy-Yeyati, E. & F. Sturzenegger (2001)

Exchange Rate Regimes and Economic Performance   Acrobat Required
Levy-Yeyati, E. & F. Sturzenegger (2001)

Fixed versus Flexible: Lessons from EMS Order Flow | Published   ScienceDirect Required
Killeen, W.P., R.K. Lyons & M.J. Moore (2001/06)

A Model of Exchange Rate Regime Choice in the Transitional Economies of Central and Eastern Europe
Sahay, R. (2001)

Fixed or floating: is it still possible to manage in the middle?   Acrobat Required
Glick, R. (2001)

Pegging and macroeconomic performance in East Asia   Acrobat Required
Moreno, R. (2001)

Estimation and Arbitrage Opportunities for Exchange Rate Baskets   Acrobat Required   Winzip Required
Mercurio, D. & C. Torricelli (2001)

Characterizing Exchange Rate Regimes in Post-Crisis East Asia
Baig, T. (2001)

Core, Periphery, Exchange Rate Regimes, and Globalization
Bordo, M.D. & M. Flandreau (2001)

Assessing the impact of macroeconomic news announcements on securities prices under different monetary policy regimes   Acrobat Required
Clare, A. & R. Courtenay (2001)

Maastricht and the Choice of Exchange Rate Regime in Transition Countries during the Run-Up to EMU   Acrobat Required
Szapary, G. (2001)

Beyond Bipolar: A Three-Dimensional Assessment of Monetary Frameworks   Recommended!   Acrobat Required
Kuttner, K.N. & A.S. Posen (2001)

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
Buiter, W.H. & C. Grafe (2002)

Exchange Rate Regimes and Capital Flows   SURVEY PAPER Recommended!
Tavlas, G.S. & M.K. Ulan (2002)

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   Acrobat Required
Arteta, C. (2002/2005)

Global Transmission of Interest Rates: Monetary Independence and Currency Regime | Published   ScienceDirect Required
Frankel, J.A., S.L. Schmukler & L. Serven (2002)

Terms of Trade and Exchange Rate Regimes in Developing Countries
Broda, C. (2002)

Pricing Currency Risk: Facts and Puzzles from Currency Boards
Schmukler, S.L. & L. Servén (2002)

Optimal exchange rate regime in a two-sector economy   Winzip Required
Wibaut, Q. (2002)

Currency Substitution in Russia
Fridman, A. & A. Verbetsky (2002)

Terms of trade and exchange rate regimes in developing countries   Acrobat Required!
Broda, C. (2002)

Do "Flexible" Exchange Rates of Developing Countries Behave Like the Floating Exchange Rates of Industrialized Countries?
Wickham, P. (2002)

Exchange rate overshooting and the costs of floating   Adobe Acrobat Required
Cavallo, M., K. Kisselev, F. Perri & N. Roubini (2002)

"New" views on the optimum currency area theory : what is EMU telling us?   Acrobat Required!
Mongelli, F.P. (2002)

Policy pre-commitment and institutional design: A synthetic indicator applied to Currency Boards   Recommended!   Acrobat Required!
Gilson, M.T.C. (2002)

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   Recommended!   Ingenta Select Required
Reinhart, C.M. & K.S. Rogoff (2002/2004)

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   ScienceDirect Required
Broda, C. (2002/06)

Optimal Currency Areas
Alesina, A., R.J. Barro & S. Tenreyro (2002)

Currency Fluctuations, Liability Dollarization, and the Choice of Exchange Rate Regimes in Emerging Markets   Adobe Acrobat Required!
Osakwe, P.N. (2002)

Self-Validating Optimum Currency Areas
Corsetti, G. & P. Pesenti (2002)

Long-Run Determinants of Exchange Rate Regimes: A Simple Sensitivity Analysis
Juhn, G.S. & P. Mauro (2002)

Does It Really Matter Whether the Exchange Rate Floats or Not?   Adobe Acrobat Required
Cunha, A.B. (2002)

Classifying Exchange Rate Regimes   Adobe Acrobat Required
Nitithanprapas, I. & T.D. Willett (2002)

Exchange Rate Regimes: Choices and Consequences
Ghosh, A.R., A.M. Gulde & H.C. Wolf (2003)

Exchange Rate Regime Considerations in an Oil Economy: the Case of the Islamic Republic of Iran
Celasun, O. (2003)

On the Choice of an Exchange Regime: Target Zones Revisited   Acrobat Required
López, J.R. & H.R. Mendizábal (2003)

Segmented Asset Markets and Optimal Exchange Rate Regimes | Published   Acrobat Required   ScienceDirect Required
Lahiri, A., R. Singh & C. Vegh (2003/07)

Exchange Rate Regime Choice in Historical Perspective
Bordo, M.D. (2003)

Do Fixed Exchange Rates Induce More Fiscal Discipline?
Sun, Y. (2003)

Pick Your Poison: The Exchange Rate Regime and Capital Account Volatility in Emerging Markets
Iwata, S. & E. Tanner (2003)

The Mirage of Exchange Rate Regimes for Emerging Market Countries | Published   Recommended!   Ingenta Select Required
Calvo, G. & F.S. Mishkin (2003/2004)

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
Alesina, A. & A. Wagner (2003)

A Proposed Monetary Regime for Small Commodity Exporters: Peg the Export Price   Wiley Interscience Required
Frankel, J. (2003)

Living and Dying with Hard Pegs: The Rise and Fall of Argentina's Currency Board   Adobe Acrobat Required
Levy-Yeyati, E., A. de la Torre & S. Schmukler (2003)

Regional currency areas and the use of foreign currencies   CONFERENCE VOLUME
Various authors (2003)

Flexible Exchange Rates as Shock Absorbers | Published
Edwards, S. & E.L. Yeyati (2003/05)

Exits From Pegged Regimes: An Empirical Analysis
Duttagupta, R. & I. Otker-Robe (2003)

Noise trading and exchange rate regimes: Some empirical evidence   Adobe Acrobat Required
Herz, B. & C. Bauer (2003)

Exchange Rate Regime Choice in Historical Perspective   SURVEY PAPER   Recommended!
Bordo, M.D. (2003)

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   Adobe Acrobat Required
Bauer, C. & B. Herz (2003/2005)

A time series model for an exchange rate in a target zone with applications | Published   ScienceDirect Required   Adobe Acrobat Required
Lundbergh, S. & T. Terasvirta (2003/06)

How Tight Should Central Bank's Hands be Tied? Credibility, Volatility and the Optimal Band Width of a Target Zone   Adobe Acrobat Required
Lopez, J.R. & H.R. Mendizabal (2003)

Exchange Rate Regimes and Monetary Discipline - Only Hard Pegs Make a Difference   Adobe Acrobat Required
Francisco, M. & M. Bleaney (2003)

Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes
Sarno, L., G. Valente & M.E. Wohar (2003)

Experience of and Lessons from Exchange Rate Regime in Emerging Economies   SURVEY PAPER
Frankel, J.A. (2003)

The Choice of Monetary/Exchange Rate Regimes: Concepts and Arguments   Acrobat Required
Dehejia, V.H. (2003)

Exchange Rate Regimes for the 21st Century: Asia, Europe and the Americas   Adobe Acrobat Required
Dean, J. (2003)

Explaining the Transition Between Exchange Rate Regimes   Adobe Acrobat Required
Masson, P. & F.J. Ruge-Murcia (2003)

Exchange Rate Regimes and Volatility: Comparison of the Snake and Visegrad | Published   ScienceDirect Required   Acrobat Required
Valachy, J. & E. Kocenda (2003/06)

Evolution and Performance of Exchange Rate Regimes
Rogoff, K., A.M. Husain, A. Mody, R.J. Brooks & N. Oomes (2003)

Optimum currency area theory: A selective review   Adobe Acrobat Required   SURVEY PAPER
Horvath, J. (2003)

Good Housekeeping? Reputation, Fixed Exchange Rates, and the 'Original Sin' Problem   Adobe Acrobat Required
Tan, K.Y. & P. Gai (2003)

A Time Series Model for an Exchange Rate in a Target Zone with Applications   Adobe Acrobat Required
Lundbergh, S. & T. Terasvirta (2003)

Financial Dollarization and Debt Deflation under a Currency Board   Adobe Acrobat Required
Levy-Yeyati, E., E. Schargrodsky & S. Galiani (2004)

The Effect of Fixed Exchange Rates on Monetary Policy   Ingenta Select Required
Shambaugh, J.C. (2004)

Exchange Rate Regimes, Globalisation And The Cost Of Capital In Emerging Markets   Adobe Acrobat Required
de los Rios, A.D. (2004)

The basket-peg, dollar-peg, and floating: A comparative analysis   ScienceDirect Required
Yoshino, N., S. Kaji & A. Suzuki (2004)

The Expenditure Switching Effect and the Choice Between Fixed and Floating Exchange Rates   ScienceDirect Required
Senay, O. & A. Sutherland (2004)

From Fixed to Float: Operational Aspects of Moving Towards Exchange Rate Flexibility
Karacadag, C., R. Duttagupta & G. Fernandez (2004)

Exchange Rate Regime Durability and Performance in Developing Countries Versus Advanced Economies | Published | Comment   ScienceDirect Required
Husain, A.M., A. Mody & K.S. Rogoff (2004)

Fixed Exchange Rates and Trade | Published
Klein, M.W. & J.C. Shambaugh (2004)

Structural Factors Affecting Exchange Rate Volatility: A Cross-Section Study
Canales Kriljenko, J.I. & K.F. Habermeier (2004)

Exchange-Rate Regimes: "Does What Countries Say Matter?" | Published   Acrobat Required
Genberg, H. & A.K. Swoboda (2004)

Endogenous Price Flexibility, the Expenditure Switching Effect and Exchange Rate Regime Choice   Acrobat Required
Senay, O. & A. Sutherland (2004)

An Institutional Framework for Comparing Emerging Market Currency Boards
Camilleri Gilson, M-T. (2004)

Monetary Policy and the Currency Denomination of Debt: A Tale of Two Equilibria | Published   ScienceDirect Required
Velasco, A. & R. Chang (2004/06)

Exchange Rate Regimes and Economic Linkages   Adobe Acrobat Required
Lee, J-W. & K. Shin (2004)

Could the Exchange Rate Regime Reduce Macroeconomic Volatility?   Adobe Acrobat Required
Carrera, J. & D. Bastourre (2004)

Fixed, Float or Intermediate? A Cross-COuntry Time Series Analysis Of Exchange Rate Regimes   Acrobat Required
Uctum, M. & I. Kato (2004)

Exchange Rate Regimes And Fiscal Performance. Do Fixed Exchange Rate Regimes Generate More Discipline Than Flexible Ones?   Acrobat Required
Vuletin, G.J. (2004)

Exchange Rate Regimes Past, Present and Future   Acrobat Required
Bordo, M.D., J. Christl, C. Just & H. James (2004)

Putting the Cart Before the Horse? Capital Account Liberalization and Exchange Rate Flexibility in China
Prasad, E., T. Rumbaugh & Q. Wang (2005)

Can Endogenous Changes in Price Flexibility Alter the Relative Welfare Performance of Exchange Rate Regimes?
Senay, O. & A. Sutherland (2005)

Classifying exchange rate regimes: Deeds vs. words   ScienceDirect Required
Levy-Yeyati, E. & F. Sturzenegger (2005)

The global implications of regional exchange rate regimes   ScienceDirect Required
Dellas, H. & G. Tavlas (2005)

Macroeconomic effects of nominal exchange rate regimes: new insights into the role of price dynamics   ScienceDirect Required
Kollmann, R. (2005)

Effective Exchange Rate Classifications and Growth
Dubas, J.M., B-J. Lee & N.C. Mark (2005)

Cataclysms and Currencies: Does The Exchange Rate Regime Matter for Real Shocks? | Published   ScienceDirect Required
Ramcharan, R. (2005/07)

Are Emerging Market Countries Learning to Float?
Hakura, D. (2005)

Peg the export price index: A proposed monetary regime for small countries   ScienceDirect Required
Frankel, J.A. (2005)

The original sin and the blessing trinity: An investigation   ScienceDirect Required
Özmen, E. & D. Arinsoy (2005)

Pitfalls in estimating equilibrium exchange rates for transition economies   ScienceDirect Required
Maeso-Fernandez, F., C. Osbat & B. Schnatz (2005)

A modified currency board system: Theory and evidence   ScienceDirect Required
Wu, Y. (2005)

Pegged Exchange Rate Regimes -- A Trap?
Aizenman, J. & R. Glick (2005)

Productivity Growth and the Exchange Rate Regime: The Role of Financial Development   Adobe Acrobat Required
Aghion, P., P. Bacchetta, R. Rancière & K. Rogoff (2005)

Welfare implications of joining a common currency   Adobe Acrobat Required
Ca’Zorzi, M., R.A. De Santis & F. Zampolli (2005)

Exchange Rate Regimes and Trade   Acrobat Required
Adam, C. & D. Cobham (2005)

Structural Reforms and the Exchange Rate Regime: A Panel Analysis for the World versus OECD Countries   Acrobat Required
Belke, A., B. Herz & L. Vogel (2005)

The duration of fixed exchange rate regimes   Acrobat Required
Walti, S. (2005)

Evaluation of Currency Regimes: The Unique Role of Sudden Stops
Razin, A. & Y. Rubinstein (2005)

Output Costs, Currency Crises, and Interest Rate Defense of a Peg
Lahiri, A. & C.A. Vegh (2005)

Target Zones in Theory and History: Credibility, Efficiency, and Policy Autonomy | Published   ScienceDirect Required
Flandreau, M. & J. Komlos (2005/06)

Does the Time Inconsistency Problem Make Flexible Exchange Rates Look Worse Than You Think?
Armenter, R. & M. Bodenstein (2005)

Bi-Polar Disorder: Exchange Rate Regimes, Economic Crises and the IMF   Acrobat Required
Bird, G. & D. Rowlands (2005)

The Impact of Foreign Interest Rates on the Economy: The Role of the Exchange Rate Regime | Published   ScienceDirect Required
di Giovanni, J. & J.C. Shambaugh (2006/08)

On the identification of de facto currency pegs   ScienceDirect Required
Bénassy-Quéré, A., B. Cœuré & V. Mignon (2006)

Openness and the case for flexible exchange rates   Acrobat Required
Corsetti, G. (2005)

De facto and official exchange rate regimes in transition economies   ScienceDirect Required
von Hagen, J. & J. Zhou (2005)

To Peg or Not to Peg: A Template for Assessing the Nobler
Husain, A.M. (2006)

The choice between fixed and flexible exchange rates: Which is best for a small open economy?   ScienceDirect Required
Berger, W. (2006)

Exchange Rate Regimes, Location, and Specialization
Ricci, L.A. (2006)

The Impact of Foreign Interest Rates on the Economy: The Role of the Exchange Rate Regime   Acrobat Required
Shambaugh, J.C. & J. di Giovanni (2006)

Fiscal Policy and Welfare under Different Exchange Rate Regimes   Acrobat Required
Finn, Ø. (2006)

Choice of exchange rate regime in transition economies: An empirical analysis   ScienceDirect Required
Markiewicz, A. (2006)

International Exchange Rate Systems - Where do we Stand?   Acrobat Required
Siebert, H. (2006)

The exchange rate – A shock-absorber or source of shocks? A study of four open economies   ScienceDirect Required
Artis, M. & M. Ehrmann (2006)

Target zones for exchange rates and policy changes   ScienceDirect Required
Driffill, J. & M. Sola (2006)

Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how?   ScienceDirect Required
Sarno, L. & G. Valente (2006)

Capital inflows, fiscal discretion, and exchange rate policy   ScienceDirect Required
Cook, D. & M.B. Devereux (2006)

Implications of the Modigliani-Miller Theorem for the Study of Exchange Rate Regimes   Acrobat Required
Cunha, A.B. (2006)

Exchange Rate Regimes, Specialization and Trade Volume
Devereux, M.B. & G.M. Voss (2006)

Optimal exchange rate regimes: Turning Mundell-Fleming's dictum on its head   Recommended!
Lahiri, A., R. Singh & C.A. Vegh (2006)

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   ScienceDirect Required
Adao, B., M.I.H. Correia & P. Teles (2006/09)

Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets   Acrobat Required
de los Rios, A.D. (2007)

Assessing China's Exchange Rate Regime
Frankel, J.A. & S-J. Wei (2007)

Parametric and Non-parametric Approaches to Exits from Fixed Exchange Rate Regimes   Acrobat Required
Asici, A.A. (2007)

Segmented Asset Markets and Optimal Exchange Rate Regimes
Lahiri, A., R. Singh & C.A. Vegh (2007)

Exchange Rate Regimes, Inflation and Growth in Developing Countries -- An Assessment
Bleaney, M. & M. Francisco (2007)

The choice of exchange rate regimes in developing countries: A multinomial panel analysis   ScienceDirect Required
von Hagen, J. & J. Zhou (2007)

Exchange rate dynamics in a target zone: a heterogeneous expectations approach   Acrobat Required
Bauer, C., P. De Grauwe & S. Reitz (2007)

IMF Support and Inter-regime Exchange rate Volatility   Acrobat Required
Arnold, I.J.M., R. MacDonald & C.G. de Vries (2007)

Expenditure-Switching Effect and the Choice of Exchange Rate Regime   Acrobat Required
Dong, W. (2007)

Pass-through of Exchange Rates and Competition Between Floaters and Fixers
Bergin, P.R. & R.C. Feenstra (2007)

Real exchange rate fluctuations, endogenous tradability and exchange rate regimes   ScienceDirect Required
Naknoi, K. (2008)

The dynamics of exchange rate regimes: Fixes, floats, and flips   ScienceDirect Required
Klein, M.W. & J.C. Shambaugh (2008)

Why Do Countries Peg the Way They Peg?The Determinants of Anchor Currency Choice
Meissner, C.M. & N. Oomes (2008)

Estimation of De Facto Exchange Rate Regimes: Synthesis of the Techniques for Inferring Flexibility and Basket Weights | Published
Frankel, J.A. & S-J. Wei (2008)

When is it Optimal to Abandon a Fixed Exchange Rate?   Recommended!   Wiley Interscience Required
Rebelo, S. & C.A. Vegh (2008)

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
Eichengreen, B. (2008)

The Rise and Fall of the Dollar, or When did the Dollar Replace Sterling as the Leading Reserve Currency?
Eichengreen, B. & M. Flandreau (2008)

Forward-rate target zones and exchange rate dynamics   ScienceDirect Required
Lin, H.C. (2008)

Currency Misalignments and Exchange Rate Regimes in Emerging and Developing Countries | Published   Wiley Interscience Required
Coudert, V. & C. Couharde (2008/09)

Foreign Debt and Fear of Floating: A Theoretical Exploration   Acrobat Required
Bleaney, M. & F.G. Ozkan (2008)

Exchange Rate Regimes and the Extensive Margin of Trade
Bergin, P.R. & C-Y. Lin (2008)

Exploring different views of exchange rate regime choice   ScienceDirect Required
Carmignani, F., E. Colombo & P. Tirelli (2008)

Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?   Acrobat Required
Dreger, C. (2008)

A Faith-based Initiative: Does a Flexible Exchange Rate Regime Really Facilitate Current Account Adjustment?
Chinn, M.D. & S-J. Wei (2008)

The Classification and Perfomance of Alternative Exchange-Rate Systems   Acrobat Required
Tavlas, G., H. Dellas & A. Stockman (2008)

Not Complements, But Substitutes: Fixed Exchange Rate Commitments, Central Bank Independence, and External Currency Stability   Wiley Interscience Required
Bearce, D.H. (2008)

Automatic stabilizer feature of fixed exchange rate regimes   ScienceDirect Required
Aysun, U. (2008)   SURVEY PAPER   Wiley Interscience Required   SURVEY PAPER
Harms, P. & M. Kretschmann (2009)

Does the currency regime shape unhedged currency exposure?   Acrobat Required
Patnaik, I. & A. Shah (2008)

The Benefit of Exchange Rate Flexibility, Trade Openness and Extensive Margin   Acrobat Required
Naknoi, K. (2008)

Determinants of exchange rate regime switching   ScienceDirect Required
Fiess, N. & R. Shankar (2009)

Openness, exchange rate regimes and the Phillips curve   ScienceDirect Required
Bowdler, C. (2009)

Institutional development and the choice of exchange rate regime: A cross-country analysis   ScienceDirect Required
Hossain, M. (2009)

The Name of the Rose: Classifying 1930s Exchange-Rate Regimes   Acrobat Required
Urban, S.A. (2009)

Choosing and assessing exchange rate regimes: A survey of the literature   SURVEY PAPER
Cruz Rodriguez, A. (2009)

The Case for an Intermediate Exchange Rate Regime with Endogenizing Market Structures and Capital Mobility   Acrobat Required
Kaltenbrunner, A. & M. Nissanke (2009)

The Importance of the Exchange Rate Regime in Limiting Misalignment   ScienceDirect Required
Dubas, J.M. (2009)

Revised System for the Classification of Exchange Rate Arrangements
Habermeier, K.R., A. Kokenyne, R. Veyrune & H. Anderson (2009)

Are Hard Pegs Ever Credible in Emerging Markets? Evidence from the Classical Gold Standard
Mitchener, J.M. & M.D. Weidenmier (2009)

Structure and evolution of the foreign exchange networks
Kwapien, J., S. Gworek & S. Drozdz (2009)

Analysis of a network structure of the foreign currency exchange market
Kwapien, J., S. Gworek, S. Drozdz & A. Gorski (2009)

Exchange rate regimes, globalisation, and the cost of capital in emerging markets   ScienceDirect Required
de los Rios, A.D. (2009)

Exchange Rate Regimes in Developing and Emerging Economies and the Incidence of IMF Programs   ScienceDirect Required
Bird, G. & D. Rowlands (2009)

Advantages of Fixed Exchange Rate Regime from a General Equilibrium Perspective   Acrobat Required
Ajevskis, V. & K. Vitola (2009)

Estimation of De Facto Flexibility Parameter and Basket Weights in Evolving Exchange Rate Regimes
Frankel, J.A. & D. Xie (2009)

Deciding to Peg the Exchange Rate in Developing Countries:The Role of Private-Sector Debt   Acrobat Required
Harms, P. & M. Hoffmann (2009)

Analysis of exchange-rate regime effect on growth: theoretical channels and empirical evidence with panel data
Petreski, M. (2009)

Modeling Sample Selection for Durations with Time-Varying Covariates, with an Application to the Duration of Exchange Rate Regimes   Acrobat Required
Boehmke, F.J. & C.M. Meissner (2009)

On the endogeneity of exchange rate regimes   Acrobat Required
Levy-Yeyati, E., F. Sturzenegger & I. Reggio (2009)

Exchange Rate Choices of Microstates
Imam, P.A. (2010)

The Empirics of Exchange Rate Regimes and Trade: Words vs. Deeds
Qureshi, M.S. & C.G. Tsangarides (2010)

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Financial Crises

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.

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International Business Cycles

International Business Cycles   Recommended!   JSTOR Required
Ahmed, P., B. Ickes, P. Wang & S. Yoo (1993)

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?   Recommended!   JSTOR Required
Lewis, K.K. (1996)

International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)
Brandt, M.W., J.H. Cochrane & P. Santa-Clara (2001)

Spurious Welfare Reversals in International Business Cycle Models   Acrobat Required
Kim, J. & S.H. Kim (2001)

Capital Imports and the Jacksonian Economy: The Business Cycle and the Balance of Payments   Acrobat Required
Dick, T. J. O. & J.E. Floyd (2001)

Variable Factor Utilization and International Business Cycles
Baxter, M. & D. Farr (2001)

Why Is the Business-Cycle Behavior of Fundamentals Alike Across Exchange-Rate Regimes?   Acrobat Required
Dedola, L. & S. Leduc (2001)

The Rise in Comovement Across National Stock Markets: Market Integration or Global Bubble?
Brooks, R.J. & M. Del Negro (2002)

Synchronized Business Cycles in East Asia: Fluctuations in the Yen/Dollar Exchange Rate and China’s Stabilizing Role   Acrobat Required
McKinnon, R. & G. Schnabl (2002)

The Trade Comovement Problem in International Macroeconomics
Kose, M.A. & K.M. Yi (2002)

Substitution elasticities and investment dynamics in international business cycle models   Adobe Acrobat Required
Pakko, M.R. (2003)

The trade comovement problem in international macroeconomics   Adobe Acrobat Required
Kose, M.A. & K.M. Yi (2003)

How Does Globalization Affect the Synchronization of Business Cycles?
Kose, A., E.S. Prasad & M.E. Terrones Silva (2003)

International Business Cycles: The Quantitative Role of Transportation Costs   Adobe Acrobat Required
Mazzenga, E. & M. Ravn (2003)

How much does international trade affect business cycle synchronization?   Adobe Acrobat Required
Gruben, W.C., J. Koo & E. Millis (2003)

Are They All in the Same Boat? The 2000-01 Growth Slowdown and the G-7 Business Cycle Linkages
Helbling, T. & T. Bayoumi (2003)

Trade, Finance, Specialization, and Synchronization | Published   Ingenta Select Required
Imbs, J. (2003)

International Transmission of Business Cycles in an Increasingly Integrated Trade Structure, Industrial Structure, and International Business Cycles   Ingenta Select Required
Baxter, M. & M.A. Kouparitsas (2003)

How Does Globalization Affect the Synchronization of Business Cycles?   Ingenta Select Required
Kose, M.A., E.S. Prasad amp; M.E. Terrones (2003)

Understanding Changes in International Business Cycle Dynamics   Recommended!
Stock, J.H. & M.W. Watson (2003)

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   Adobe Acrobat Required
Artis, M.J. & M. Hoffmann (2003)

International Business Cycles: World, Region, and Country-Specific Factors   Ingenta Select Required
Kose, M.A., C. Otrok & C.H. Whiteman (2003)

Tariffs and the Great Depression Revisited
Crucini, M.J. & J. Kahn (2003)

Country Spreads and Emerging Countries: Who Drives Whom? | Published   ScienceDirect Required
Uribe, M. & V.Z. Yue (2003/06)

A spectral analysis of the cross-country consumption correlation puzzle   Adobe Acrobat Required
Pakko, M.R. (2003)

The transmission mechanism in a changing world   Acrobat Required
Artis, M.J., A.B.C. Galvao & M. Marcellino (2003)

Have National Business Cycles Become More Synchronized?
Bordo, M.D. & T. Helbling (2003)

Volatility and Comovement in a Globalized World Economy: An Empirical Exploration
Kose, A., E.S. Prasad, & M.E. Terrones Silva (2003)

International business cycles under fixed and flexible exchange rate regimes   Acrobat Required
Kouparitsas, M.A. (2003)

Determinants of Business Cycle Comovement: A Robust Analysis | Published | Comment   ScienceDirect Required
Baxter, M. & M.A. Kouparitsas (2004)

Financial globalization and real regionalization   ScienceDirect Required
Heathcote, J. & F. Perri (2004)

The International Business Cycle in a Changing World: Volatility and the Propagation of Shocks in the G7
Artis, M.J., D.R. Osborn & P. Perez-Vazquez (2004)

Comparing shocks and frictions in US and euro area business cycles: a Bayesian DSGE approach   Acrobat Required
Smets, F. & R. Wouters (2004)

Financial Globalization, International Business Cycles and Consumption Risk Sharing
Artis, M.J. & M. Hoffmann (2004)

Consumption and Real Exchange Rates with Incomplete Markets and Non-traded Goods | Published   Acrobat Required   ScienceDirect Required
Benigno, G. & C. Thoenissen (2004/08)

Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission
Ehrmann, M., M. Fratzscher & R. Rigobon (2005)

Deflation and the International Great Depression: A Productivity Puzzle
Cole, H.L., L.E. Ohanian & R. Leung (2005)

Fiscal Divergence and Business Cycle Synchronization: Irresponsibility is Idiosyncratic
Darvas, Z., A.K. Rose & G. Szapary (2005)

Home Bias and International Risk Sharing: Twin Puzzles Separated at Birth
Sorensen, B.E., Y-T. Wu, O. Yosha & Y. Zhu (2005)

Can the Standard International Business Cycle Model Explain the Relation Between Trade and Comovement? | Published   ScienceDirect Required
Kose, M.A. & K-M. Yi (2005/06)

Has Financial Development Made the World Riskier?
Rajan, R.G. (2005)

Global Inflation   Acrobat Required
Ciccarelli, M. & B. Mojon (2005)

Intra- and international risk-sharing in the short run and the long run   ScienceDirect Required
Becker, S.O. & M. Hoffmann (2006)

International business cycles with domestic and foreign lenders   ScienceDirect Required
Iacoviello, M. & R. Minetti (2006)

Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US
Lewis, K.K. (2006)

Trade intensity and business cycle synchronization: Are developing countries any different?   ScienceDirect Required
Calderón, C., A. Chong & E. Stein (2007)

Heterogeneous preferences and equilibrium trading volume   ScienceDirect Required
Berrada, T., J. Hugonnier & M. Rindisbacher (2007)

Similarities and convergence in G-7 cycles   ScienceDirect Required
Canova, F., M. Ciccarelli & E. Ortega (2007)

Business Cycle Accounting   Recommended!   Wiley Interscience Required
Chari, V.V., P.J. Kehoe & E.R. McGrattan (2007)

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   ScienceDirect Required
Faia, E. (2007)

Business cycles with staggered prices and international trade in intermediate inputs   ScienceDirect Required
Huang, K.X.D. & Z. Liu (2007)

The Role of Nonseparable Utility and Nontradeables in International Business Cycle and Portfolio Choice
Matsumoto, A. (2007)

Monetary regime change and business cycles
Cúrdia, V. & D. Finocchiaro (2007)

Twin Deficits, Openness and the Business Cycle   Acrobat Required
Corsetti, G. & G.J. Mueller (2007)

High level of international risk sharing when the productivity growth contains long run risk   Acrobat Required
Chang, Y. (2007)

How Does Financial Globalization Affect Risk Sharing? Patterns and Channels | Published   ScienceDirect Required
Kose, M.A., E. Prasad & M. Terrones (2007/09)

International Diversification Gains and Home Bias in Banking
García-Herrero, A. & F.F. Vázquez (2007)

Changing Nature of North-South Linkages: Stylized Facts and Explanations
Akin, C. & M.A. Kose (2007)

Comovements in international stock markets   ScienceDirect Required
Morana, C. & A. Beltratti (2008)

Trade, Production Sharing, and the International Transmission of Business Cycles
Burstein, A., C. Kurz & L. Tesar (2008)

On the empirics of international smoothing   ScienceDirect Required
Asdrubali, P. & S. Kim (2008)

Stochastic Discount Factor Approach to International Risk-Sharing: Evidence from Fixed Exchange Rate Episodes   Acrobat Required
Hadzi-Vaskov, M. & C.J.M. Kool (2008)

Net exports, consumption volatility and international business cycle models   ScienceDirect Required
Raffo, A. (2008)

Understanding the evolution of world business cycles   ScienceDirect Required
Kose, M.A., C. Otrok & C.H. Whiteman (2008)

Closing international real business cycle models with restricted financial markets   ScienceDirect Required
Boileau, M. & M. Normandin (2008)

Global Business Cycles: Convergence or Decoupling?
Kose, M.A., C. Otrok & E. Prasad (2008)

Trade elasticity of substitution and equilibrium dynamics
Bodenstein, M. (2008)

International Financial Remoteness and Macroeconomic Volatility | Published   ScienceDirect Required
Rose, A.K. & M.M. Spiegel (2008/09)

What Are the Driving Forces of International Business Cycles?
Crucini, M.J., M.A. Kose & C. Otrok (2008)

Vertical specialization and international business cycle synchronization   Acrobat Required
Arkolakis, C. & A. Ramanarayanan (2008)

Financial Integration and Business Cycle Synchronization
Kalemli-Ozcan, S., E. Papaioannou & J.L. Peydro (2009)

On the international transmission of technology shocks   ScienceDirect Required
Enders, Z. & G.J. Müller (2009)

Transmission of the U.S. Subprime Crisis to Emerging Markets: Evidence on the Decoupling-Recoupling Hypothesis | Published   ScienceDirect Required
Dooley, M.P. & M.M. Hutchison (2009)

International business cycles and the relative price of investment goods   Acrobat Required
Basu, P. & C. Thoenissen (2009)

Putting the Parts Together: Trade, Vertical Linkages, and Business Cycle Comovement
di Giovanni, J. & A.A. Levchenko (2009)

Commodity Terms of Trade: The History of Booms and Busts
Spatafora, N. & I. Tytell (2009)

International Risk Sharing During the Globalization Era
Flood, R.P., N.P. Marion & A. Matsumoto (2009)

Cointegrated TFP Processes and International Business Cycles
Rabanal, P., J.F. Rubio-Ramirez & V. Tuesta (2009)

Regime Switches in GDP Growth and Volatility: Some International Evidence and Implications for Modeling Business Cycles
Smith, P. & P.M. Summers (2009)

Cointegrated TFP processes and international business cycles   Acrobat Required
Rabanal, P., J.F. Rubio-Ramirez & V. Tuesta (2009)

International portfolio reallocation: Diversification benefits and European monetary union   ScienceDirect Required
De Santis, R.A. & B. Gérard (2009)

International Business Cycle Accounting   Acrobat Required
Otsu, K. (2009)

Medium-term business cycles in developing countries   Acrobat Required
Comin, D., N. Loayza, F. Pasha & L. Serven (2009)

Limited asset market participation and the consumption-real exchange rate anomaly   Acrobat Required
Kollmann, R. (2010)

Global versus country-specific shocks and international business cycles   ScienceDirect Required
Boileau, M., M. Normandin & B.P. Fosso (2010)

Terms of Trade Shocks and Fiscal Cycles
Kaminsky, G.L. (2010)

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International Financial Institutions & System

Whither the World Bank and the IMF?
Krueger, A. (1997)

International Institutions for Reducing Global Financial Instability
Rogoff, K. (1999)

Basel Committee Compendium
Basel Committee on Banking Supervision (1997, revised 2001)

Reforming the International Financial Architecture: Limiting Moral Hazard and Containing Real Hazard   Adobe Acrobat Required
Mussa, M. (1999)

From the Washington Consensus to the New International Financial Architecture   Adobe Acrobat Required
Sakakibara, E. (1999)

Toward A New International Financial Architecture: A Practical Post-Asia Agenda   Recommended!
Eichengreen, B. (1999)

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
Lawrence J. McQuillan and Peter C. Montgomery (eds) (1999)

The Debate On The International Financial Architecture: Reforming The Reformers   Acrobat Required
Akyuz, Y. (2000)

Examining the Case for an Asian Monetary Fund   Acrobat Required
Rajan, R.S. (2000)

The Global Economy in Crises: How the Gold Standard Absorbed Shocks, 1880-1914
Neal, L., M.D. Weidenmier & K. Wandschneider (2000)

Time Present and Time Past: A Duration Analysis of IMF Program Spells | Published   Ingenta Select Required
Joyce, J.P. (2001/05)

Carrots and Sticks: a quick fix for IMF conditionality?
Bretton Woods Project (2001)

IMF Structural Conditionality: How Much is Too Much?   Acrobat Required
Goldstein, M. (2001)

The International Lender of Last Resort: How Large is Large Enough?
Jeanne, O. & C. Wyplosz (2001)

Should the IMF cease long term lending?
Bird, G. & P. Mosley (2001)

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
Sundararajan, V., D. Marston & R. Basu (2001)

An Academic Response to Basel II   Recommended!   Acrobat Required
LSE FMG (2001)

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   Acrobat Required
Barnhill, Jr., T.M. &. K. Gleason (2001)

Basel Committee Working Papers: Risk Sensitive Approaches for Equity Exposures in the Banking Book for IRB Banks
Basel Committee (2001)
Abstract: The purpose of this paper prepared by the Models Task Force of the Basel Committee is to further the Committee's dialogue with the industry on the IRB treatment of equity exposures in the banking book.

The Origins of the Modern Financial Revolution: Responses to Impediments from Church and State in Western Europe, 1200-1600   Acrobat Required
Munro, J.H. (2001)

The Need for Competition in International Securities Regulation
Romano, R. (2001)

Working Paper on Pillar 3 - Market Discipline
Basel Committee (2001)

Will the proposed new Basel Capital Accord have a net negative effect on developing countries?
Griffith-Jones, S. & S. Spratt (2001)

IMF Conditionality and Country Ownership of Programs
Khan, M.S. & S. Sharma (2001)

The New Basel Capital Accord: The Devil Is in the (Calibration) Details
Kupiec, P.H. (2001)

The New International Financial Architecture and Africa
Le Gall, F. & S.M. Nsouli (2001)

The Development and Reform of the Modern International Financial System   Acrobat Required
Wray, L.R. (2001)

The Adam Klug Memorial Lecture: Haberler versus Nurkse: The Case for Floating Exchange Rates as an Alternative to Bretton Woods?
Bordo, M.D. & H. James (2001)

Does the IMF know best? Jamaica's response to financial crisis
Tennant, D. & C. Kirkpatrick (2001)

The International Dollar Standard and Sustainability of the U.S. Current Account Deficit   Acrobat Required
McKinnon, R. (2001)

The World Monetary System and External Relations of the EMU: Fasten your safety belts!
Weinrichter, N. (2001)

Twentieth Century Monetary Regimes in Canadian Perspective   Acrobat Required!
Harley, C.K. (2001)

Globalization, Crisis Contagion and the Reform of the International Financial Architecture   Acrobat Required
Karunaratne, N.D. (2002)

Why White, Not Keynes? Inventing the Post-War International Monetary System
Boughton, J.M. (2002)

A Capital Accord for Emerging Economies?
Powell, A. (2002)

Financial Crises and Reform of the International Financial System Recommended!
Fischer, S. (2002)

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   Acrobat Required
Khan, H.A. (2002)

What Determines the Implementation of IMF-Supported Programs?
Ivanova, A., W. Mayer, A.T. Mourmouras & G.C. Anayiotos (2003)

Do IMF-Supported Programs Help Make Fiscal Adjustment More Durable?
Bulir, A. & S. Moon (2003)

On the International Financial Architecture: Insuring Emerging Markets
Caballero, R. (2003)

Exchange Rates in the Periphery and International Adjustment Under the Gold Standard | Published   Ingenta Select Required
Catao, L. & S. Solomou (2003)

Adoption of an IMF programme and debt rescheduling: An empirical analysis   ScienceDirect Required
Marchesi, S. (2003)

The Future of the IMF   Ingenta Select Required
Caballero, R.J. (2003)

The World Bank of the Future   Ingenta Select Required
Banerjee, A.V. & R. He (2003)

International institutional lending arrangements to sovereign borrowers   ScienceDirect Required
Plaut, S.E. & A.L. Melnik (2003)

What strategies are viable for developing countries today? The World Trade Organization and the shrinking of ‘development space’   Adobe Acrobat Required
Wade, R.H. (2003)

Currency competition: a partial vindication of Hayek | Published   ScienceDirect Required
Martin, A. & S.L. Schreft (2003/06)

Survival of fittest   Adobe Acrobat Required
Raj, M. (2003)

Paper or Gold   Adobe Acrobat Required
Raj, M. (2003)

An Essay on the Revived Bretton Woods System
Dooley, M.P., D. Folkerts-Landau & P. Garber (2003)

The Past as Future? The Contribution of Financial Globalization to the Current Crisis of Neo-Liberalism as a Development Strategy   Adobe Acrobat Required
Felix, D. (2003)

Reforming the global financial system   Acrobat Required
Aizenman, J. (2003)

International Lending of Last Resort and Moral Hazard: A Model of IMF's Catalytic Finance | Published   ScienceDirect Required
Corsetti, G., B. Guimaraes & N. Roubini (2003/06)

The Revived Bretton Woods System: The Effects of Periphery Intervention and Reserve Management on Interest Rates & Exchange Rates in Center Countries
Dooley, M.P., D. Folkerts-Landau & P. Garber (2004)

Global Economic Governance at a Crossroads: Replacing the G-7 with the G-20
Bradford, C. Jr. & H. Linn (2004)

Global Imbalances and the Lessons of Bretton Woods |

Published
Eichengreen, B. (2004/06)

The IMF and the Force of History: Ten Events and Ten Ideas that Have Shaped the Institution
Boughton, J.M. (2004)

Instability in Exchange Rates of the World Leading Currencies: Implications of a Spatial Competition Model among Central Banks   Acrobat Required
Engelmann, D., J. Hanousek & E. Kocenda (2004)

Global Monetary Policy Under a Dollar Standard | Published   ScienceDirect Required
Devereux, M.B., K. Shi & J. Xu (2004/07)

A key currency and a local currency ? A simple theoretical model and its welfare implications   Acrobat Required
Kobayashi, K. (2004)

The US Current Account Deficit and Economic Development: Collateral for a Total Return Swap
Dooley, M.P., D. Folkerts-Landau & P.M. Garber (2004)

Basel II and Developing Countries: Sailing through the Sea of Standards
Powell, A. (2004)

An analysis of IMF-induced moral hazard   ScienceDirect Required
Döbeli, B. & P. Vanini (2004)

Bank Capital and Loan Loss Reserves under Basel II: Implications for Emerging Countries
Powell, A., G. Majnoni & M. Miller (2004)

Does Compliance with Basel Core Principles Bring Any Measurable Benefits? | Published
Podpiera, R. (2004/06)

A Model of the IMF as a Coinsurance Arrangement
Chami, R., S. Sharma & I. Shim (2004)

Who Runs the IFIs?
Faini, R. & E. Grilli (2004)

Some Fundamental Inadequacies of the Washington Consensus: Misunderstanding the Poor by the Brightest   Acrobat Required
Woo, W. (2004)

Implicit Transfers in IMF Lending, 1973-2003
Zettelmeyer, J. & P. Joshi (2005)

Will the Bretton Woods 2 Regime Unravel Soon? The Risk of Hard Landing in 2005-2006
Roubini, N. & B. Setser (2005)

Measuring Market Integration: Foreign Exchange Arbitrage and The Gold Standard, 1879-1913   Ingenta Select Required
Canjels, E., G. Prakash-Canjels & A.M. Taylor (2005)

Interest rate interactions in the classical gold standard, 1880–1914: was there any monetary independence?   ScienceDirect Required
Bordo, M.D. & R. MacDonald (2005)

Efficiency and Legitimacy: Trade-Offs in IMF Governance
Cottarelli, C. (2005)

Does the World Need a Universal Financial Institution?
Boughton, J.M. (2005)

The case for a world currency   ScienceDirect Required
Mundell, R. (2005)

Trapped by the international dollar standard   ScienceDirect Required
McKinnon, R.I. (2005)

Stabilizing the international monetary system   ScienceDirect Required
Kenen, P.B. (2005)

Credit Risk Measurement Under Basel II: An Overview and Implementation Issues for Developing Countries
Stephanou, C. & J.C. Mendoza (2005)

The Need for Institutional Changes in the Global Financial System: An Analytical Framework
Claessens, S. & G.R.D. Underhill (2005)

Developing country representation and governance of the International Monetary Fund   ScienceDirect Required
Rapkin, D.P. & J.R. Strand (2005)

Interest Rates, Exchange Rates and International Adjustment
Dooley, M.P., D. Folkerts-Landau & P.M. Garber (2005)

Stuck on Gold: Real Exchange Rate Volatility and the Rise and Fall of the Gold Standard
Chernyshoff, N., D.S. Jacks & A.M. Taylor (2005)

Living with Global Imbalances: A Contrarian View | Published   ScienceDirect Required   Acrobat Required
Cooper, R.N. (2005/06)

Pillar 1 vs. Pillar 2 Under Risk Management
Pelizzon, L. & S.M. Schaffer (2005)

International Financial Instability in a World of Currencies Hierarchy   Acrobat Required
Terzi, A. (2005)

American in the Shadows: Harry Dexter White and the Design of the International Monetary Fund
Boughton, J.M. (2006)

A Bank-Fund projection framework with CGE features   ScienceDirect Required
Jensen, H.T. & F. Tarp (2006)

The International Monetary Fund in a Time of Crisis: A Review of Stanley Fischer's IMF Essays from a Time of Crisis: The International Financial System, Stabilization, and Development   Ingenta Select Required
Conway, P. (2006)

Reforming the IMF for the 21st Century   CONFERENCE VOLUME
Edwin M. Truman (editor) (2006)

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
Polak, J.J. (2006)

Proposal for a Common Currency among Rich Democracies (Paper 1); One World Money, Then and Now (Paper 2)   Acrobat Required
Cooper, R.N. (Paper 1) & Bordo, M. & H. James (Paper 2) (2006)

Harmonization without representation: Small states, the Basel Committee, and the WTO   ScienceDirect Required
Grynberga, R. & S. Silva (2006)

The Fallacy of the Revised Bretton Woods Hypothesis: Why Today's International Financial System Is Unsustainable   Acrobat Required
Palley, T.I. (2006)

Banking on the principles: compliance with Basel Core Principles and bank soundness
Demirguc-Kunt, A., E. Detragiache & T. Tressel (2006)

The resolution of global imbalances: Soft landing in the North, sudden stop in emerging markets?   ScienceDirect Required
Calvo, G. & E. Talvi (2006)

Evaluating the impact of IMF programs: A comparison of matching and instrumental-variable estimators
Atoyan, R. & P. Conway (2006)

Principal-agent problems in international organizations
Vaubel, R. (2006)

IMF quotas: Constructing an international organization using inferior building blocks
Bird, G. & D. Rowlands (2006)

Reviving the Bank and Fund
Meltzer, A.H. (2006)

Beyond the IMF
Kapur, D. & R. Webb (2006)

Global Imbalances and Low Interest Rates: An Equilibrium Model vs. A Disequilibrium Reality
Frankel, J. (2006)

The Incidence and Effectiveness of Prior Actions in IMF-Supported Programs
Thomas, A.H. & U. Ramakrishnan (2006)

Promises Made, Promises Broken: A Model of IMF Program Implementation   Wiley Interscience Required
Joyce, J.P. (2006)

Macroeconomic policies and participation in IMF programs   ScienceDirect Required
Evrensel, A.Y. & J.S. Kim (2006)

How Does the Global Economic Environment Influence the Demand for IMF Resources
Elekdag, S. (2006)

Do External Interventions Work? The Case of Trade Reform Conditions in IMF Supported Programs | Published   ScienceDirect Required
Wei, S-J. & Z. Zhang (2006/10)

A Stable International Monetary System Emerges: Inflation Targeting is Bretton Woods, Reversed | Published   ScienceDirect Required
Rose, A.K. (2006/07)

How can IMF policy eliminate country moral hazard and account for externalities?   ScienceDirect Required
Weithöner, T. (2006)

What kind of capital flows does the IMF catalyze and when?   Acrobat Required
Díaz-Cassou, J., A. García-Herrero & L. Molina (2006)

On Current Account Surpluses and the Correction of Global Imbalances
Edwards, S. (2007)

Financial Integration, Financial Deepness and Global Imbalances | Published
Mendoza, E.G., V. Quadrini & J-V. Rios-Rull (2007/09)

Pricing Fund Liquidity Provision
Rossi, M. (2007)

Does the IMF cause moral hazard and political business cycles? Evidence from panel data   Acrobat Required
Dreher, A. & R. Vaubel (2007)

Unconditional IMF Financial Support and Investor Moral Hazard
Kim, J.I. (2007)

IMF programs and reforms — inhibition or encouragement?   ScienceDirect Required
Dreher, A. & S.M. Rupprecht (2007)

Intra-Day Seasonality in Foreign Exchange Market Transactions   Acrobat Required
Cotter, J. & K. Dowd (2007)

IMF Drawing Programs: Participation Determinants and Forecasting
Cerutti, E. (2007) The IMF: A Bird's Eye View of Its Role and Operations   Wiley Interscience Required
Park, C-H. & S.H. Irwin (2007)

Reform of the International Monetary Fund   Recommended!
Kenen, P.B. (2007)

Abstract: The International Monetary Fund’s purpose and scope have changed dramatically since its founding after World War II, sparking recent calls for reform. This new Council Special Report offers a balanced assessment of reform proposals and argues that such efforts deserve the support of the United States.

IMF concern for reputation and conditional lending failure: Theory and empirics   ScienceDirect Required
Marchesi, S. & L. Sabani (2007)

East Asia and Global Imbalances: Saving, Investment, and Financial Development
Ito, H. & M. Chinn (2007)

Operational Risk--The Sting is Still in the Tail but the Poison Depends on the Dose
Jobst, A. (2007)

Dollar standards in the dollar era   ScienceDirect Required
Mundell, R. (2007)

Global imbalances and exchange rate adjustment   ScienceDirect Required
Rogoff, K. (2007)

Estimating systemic risk in the international financial system   ScienceDirect Required
Bartram, S.M., G.W. Brown & J.E. Hund (2007)

Merry Sisterhood or Guarded Watchfulness? Cooperation Between the International Monetary Fund and the World Bank   Acrobat Required
Fabricius, M. (2007)

Currency Undervaluation and Sovereign Wealth Funds: A New Role for the World Trade Organization   Acrobat Required
Mattoo, A. & A. Subramanian (2008)

An Equilibrium Model of "Global Imbalances" and Low Interest Rates   Ingenta Select Required
Caballero, R.J.; E. Farhi & P-O. Gourinchas (2008)

IMF bailouts and moral hazard   ScienceDirect Required
Lee, J-W. & K. Shin (2008)

Bank Recycling of Petro Dollars to Emerging Market Economies During the Current Oil Price Boom
Wiegand, J. (2008)

Beyond the World Bank Agenda
Stein, H. (2008)

Global Rebalancing with Gravity: Measuring the Burden of Adjustment
Dekle, R., J. Eaton & S. Kortum (2008)

The adjustment of global external balances: does partial exchange rate pass-through to trade prices matter? | Published   Acrobat Required   ScienceDirect Required
Gust, C., S. Leduc & N. Sheets (2008)

World Bank Conditional Loans and Private Investment in Recipient Countries   ScienceDirect Required
Agostino, M. (2008)

Dealing with the Financial Turmoil: Contingent Risks, Policy Challenges and the Role of the IMF   Wiley Interscience Required
Lipsky, J. (2008)

Assessing the Emerging Global Financial Architecture: Measuring the Trilemma's Configurations over Time
Aizenman, J., M.D. Chinn & H. Ito (2008)

Sovereign Wealth Funds: Stylized Facts about their Determinants and Governance | Published   Wiley Interscience Required
Aizenman, J. & R. Glick (2008/09)

On What Terms is the IMF Worth Funding?
Truman, E.M. (2008)

Global Imbalances and Financial Fragility | Published   Ingenta Select Required
Caballero, R.J. & A. Krishnamurthy (2009)

Bretton Woods II Still Defines the International Monetary System
Dooley, M.P., D. Folkerts-Landau & P.M. Garber (2009)

Stuck on gold: Real exchange rate volatility and the rise and fall of the gold standard, 1875–1939   ScienceDirect Required
Chernyshoff, N., D.S. Jacks & A.M. Taylor (2009)

Global Imbalances: The Role of Emerging Asia | Published   Wiley Interscience Required
Cova, P., M. Pisani & A. Rebucci (2009)

Global Imbalances: The Role of Non-Tradable Total Factor Productivity in Advanced Economies
Cova, P., M. Pisani, N. Batini & A. Rebucci (2009)

Global Imbalances and Petrodollars
Arezki, R. & F. Hasanov (2009)

The Real and Financial Implications of the Global Saving Glut: A Three-Country Model   Acrobat Required
Gossé, J.B. (2009)

Out of the Box Thoughts about the International Financial Architecture
Eichengreen, B.J. (2009)

The Evolution of the Term 'Washington Consensus'   Wiley Interscience Required
Marangos, J. (2009)

Why did Countries Adopt the Gold Standard? Lessons from Japan
Mitchener, K.J., M. Shizume & M.D. Weidenmier (2009)

Global Imbalances, Productivity Differentials, and Financial Integration
Chakraborty, S. & R. Dekle (2009)

Do Differences in Financial Development Explain the Global Pattern of Current Account Imbalances?   Wiley Interscience Required
Gruber, J. & S. Kamin (2009)

A Tractable Model of Precautionary Reserves, Net Foreign Assets, or Sovereign Wealth Funds
Carroll, C.D. & O. Jeanne (2009)

Setting up a Sovereign Wealth Fund: Some Policy and Operational Considerations
Das, U.S., Y. Lu, C.B. Mulder & A.N.R. Sy (2009)

Global imbalances, exchange rates adjustment and the crisis: Implications from network analysis   ScienceDirect Required
Fracasso, A. & S. Schiavo (2009)

Reshaping the International Monetary Architecture: Lessons from Keynes’ Plan
Piffaretti, N.F. (2009)

Global rebalancing in a three-country model
Engler, P. (2009)

Bank Capital Requirements, Business Cycle Fluctuations and the Basel Accords: A Synthesis   Wiley Interscience Required   SURVEY PAPER
Drumond, I. (2009)

Credit Derivatives: Systemic Risks and Policy Options?
Kiff, J., J.A. Elliott, E.G. Kazarian, J.G. Scarlata & C. Spackman (2009)

Current Account Fact and Fiction
Backus, D., E. Henriksen, F. Lambert & C. Telmer (2009)

Does the IMF Help or Hurt? The Effect of IMF Programs on the Likelihood and Outcome of Currency Crises   ScienceDirect Required
Dreher, A. & S. Walter (2009)

Global Imbalances and the Financial Crisis: Products of Common Causes
Obstfeld, M. & K. Rogoff (2009)

IMF and economic reform in developing countries   ScienceDirect Required
Abbott, P., T.B. Andersen & F. Tarp (2010)

The "Other" Imbalance and the Financial Crisis   Recommended!
Caballero, R.J. (2010)

Abstract: One of the main economic villains before the crisis was the presence of large “global imbalances.” The concern was that the U.S. would experience a sudden stop of capital flows, which would unavoidably drag the world economy into a deep recession. However, when the crisis finally did come, the mechanism did not at all resemble the feared sudden stop. Quite the opposite, during the crisis net capital inflows to the U.S. were a stabilizing rather than a destabilizing source. I argue instead that the root imbalance was of a different kind: The entire world had an insatiable demand for safe debt instruments that put an enormous pressure on the U.S. financial system and its incentives (and this was facilitated by regulatory mistakes). The crisis itself was the result of the negative feedback loop between the initial tremors in the financial industry created to bridge the safe-assets gap and the panic associated with the chaotic unraveling of this complex industry. Essentially, the financial sector was able to create “safe” assets from the securitization of lower quality ones, but at the cost of exposing the economy to a systemic panic. This structural problem can be alleviated if governments around the world explicitly absorb a larger share of the systemic risk. The options for doing this range from surplus countries rebalancing their portfolios toward riskier assets, to private-public solutions where asset-producer countries preserve the good parts of the securitization industry while removing the systemic risk from the banks’ balance sheets. Such public-private solutions could be designed with fee structures that could incorporate all kind of too-big- or too-interconnected-to-fail considerations.

The Saving Glut Explanation of Global Imbalances: the Role of Underinvestment   Acrobat Required
Corneli, F. (2010)

After the Crisis: Lower Consumption Growth but Narrower Global Imbalances?
Mody, A. & F. Ohnsorge (2010)

Risk and Global Economic Architecture: Why Full Financial Integration May Be Undesirable
Stiglitz, J.E. (2010)

The Global Crisis and the Future of the Dollar: Toward Bretton Woods III?   Acrobat Required
Bibow, J. (2010)

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Open Economy Macroeconomics

Foundations of International Macroeconomics | About   Recommended!
Obstfeld, M. & K. Rogoff (1995)

Abstract: Foundations of International Macroeconomics is an innovative text that offers the first integrative modern treatment of the core issues in open economy macroeconomics and finance. With its clear and accessible style, it is suitable for first-year graduate macroeconomics courses as well as graduate courses in international macroeconomics and finance. Each chapter incorporates an extensive and eclectic array of empirical evidence. For the beginning student, these examples provide motivation and aid in understanding the practical value of the economic models developed. For advanced researchers, they highlight key insights and conundrums in the field. Topic coverage includes intertemporal consumption and investment theory, government spending and budget deficits, finance theory and asset pricing, the implications of (and problems inherent in) international capital market integration, growth, inflation and seignorage, policy credibility, real and nominal exchange rate determination, and many interesting special topics such as speculative attacks, target exchange rate zones, and parallels between immigration and capital mobility. Most main results are derived both for the small country and world economy cases. The first seven chapters cover models of the real economy, while the final three chapters incorporate the economy's monetary side, including an innovative approach to bridging the usual chasm between real and monetary models.

Abstract: Recent research in international business cycles based upon complete markets has found that international consumption correlations are lower than predicted by the standard risk-sharing implications of these models. In this paper, I use regression tests to ask whether two different types of explanations can help explain this result. First, I consider whether non-separabilities between tradeables and non-tradeable leisure or goods can explain the puzzle. Surprisingly, non-separabilities explain only a tiny fraction of the variation in tradeables consumption across countries. Furthermore, risk-sharing in tradeables is rejected. Second, I examine the effects of capital market restrictions on aggregate consumption risk-sharing by countries. While rejections of risk-sharing are stronger for countries facing more severe capital market restrictions, risk-sharing is still rejected for the unrestricted group of countries. Therefore, risk-sharing does not appear to be resolved by either explanation alone. However, when I allow for both non-separabilities and certain market restrictions, risk-sharing among unrestricted countries is not rejected. This evidence suggests that a combination of these two effects may be necessary to explain consumption risk-sharing across countries.

New Directions for Stochastic Open Economy Models   Recommended!   Acrobat Required
Obstfeld, M. & K. Rogoff (2000)

Abstract: The paper develops a simple stochastic new open economy macroeconomic model based on sticky nominal wages. Explicit solution of the wage-setting problem under uncertainty allows one to analyze the effects of the monetary regime on welfare, expected output, and the expected terms of trade. Despite the potential interplay between imperfections due to sticky wages and monopoly, the optimal monetary policy rule has a closed-form solution. To motivate our model, we show that observed correlations between terms of trade and exchange rates are more consistent with our traditional assumptions about nominal rigidities than with a popular alternative based on local-currency pricing.

The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?   Recommended!
Obstfeld, M. & K. Rogoff (2000)

Abstract: The central claim in this paper is that by explicitly introducing costs of international trade (narrowly, transport costs but more broadly, tariffs, nontariff barriers and other trade costs), one can go far toward explaining a great number of the main empirical puzzles that international macroeconomists have struggled with over twenty-five years. Our approach elucidates J. McCallum's home bias in trade puzzle, the Feldstein-Horioka saving-investment puzzle, the French-Poterba equity home bias puzzle, and the Backus-Kehoe- Kydland consumption correlations puzzle. That one simple alteration to an otherwise canonical international macroeconomic model can help substantially to explain such a broad arrange of empirical puzzles, including some that previously seemed intractable, suggests a rich area for future research. We also address a variety of international pricing puzzles, including the purchasing power parity puzzle emphasized by Rogoff, and what we term the exchange-rate disconnect puzzle.' The latter category of riddles includes both the Meese-Rogoff exchange rate forecasting puzzle and the Baxter-Stockman neutrality of exchange rate regime puzzle. Here although many elements need to be added to our extremely simple model, we can still show that trade costs play an essential role.

Incomplete markets, borrowing constraints, and the foreign exchange risk premium   Adobe Acrobat Required!
Leduc, S. (2000)

Monetary Policy for an Open Economy: An Alternative Framework with Optimizing Agents and Sticky Prices
McCallum, B.T. & E. Nelson (2001)

International Dimensions of Optimal Monetary Policy | Published   Recommended!
Corsetti, G. & P. Pesenti (2001/2005)

Abstract: This paper provides a baseline general equilibrium model of optimal monetary policy among interdependent economies with monopolistic firms and nominal rigidities. An inward-looking policy of domestic price stabilization is not optimal when firms’ markups are exposed to currency fluctuations. Such a policy raises exchange rate volatility, leading foreign exporters to charge higher prices vis-à-vis increased uncertainty in the export market. As higher import prices reduce the purchasing power of domestic consumers, optimal monetary rules trade off a larger domestic output gap against lower consumer prices. Optimal rules in a world Nash equilibrium lead to less exchange rate volatility relative to both inward-looking rules and discretionary policies, even when the latter do not suffer from any inflationary (or deflationary) bias. Gains from international monetary cooperation are related in a non-monotonic way to the degree of exchange rate pass-through.

Patience, persistence and welfare costs of incomplete markets in open economies | Published   Acrobat Required   ScienceDirect Required
Kim, J., S.H. Kim & A. Levin (2001/2003)

Abstract: In this paper, we investigate the welfare implications of alternative financial market structures in a two-country endowment economy model. In particular, we obtain an analytic expression for the expected lifetime utility of the representative household when sovereign bonds are the only internationally traded asset, and we compare this welfare level with that obtained under complete asset markets. The welfare cost of incomplete markets is negligible if agents are very patient and shocks are not very persistent, but this cost is dramatically larger if agents are relatively impatient and shocks are highly persistent. For realistic cases in which agents are very patient and shocks are highly persistent (that is, the discount factor and the first-order autocorrelation are both near unity), the welfare cost of incomplete markets is highly sensitive to the specific values of these parameters. Finally, using a non-linear solution algorithm, we confirm that a two-country production economy with endogenous labor supply has qualitatively similar welfare properties.

Dollarization of Liabilities, Net Worth Effects, and Optimal Monetary Policy   Acrobat Required
Cespedes, L.F., R. Chang & A. Valesco (2001)

Who Bears the Burden of the Corporate Tax in The Open Economy?
Gravelle, J. & K. Smetters (2001)

Government budgetary policies, economic growth, and currency substitution in a small open economy
Holman, J.A. (2001)

Monetary Policy in the Open Economy Revisited: Price Setting and Exchange Rate Flexibiity   Acrobat Required
Devereux, M. & C. Engel (2001)

The 'New Keynesian' Phillips Curve: Closed Economy vs. Open Economy
Razin, A. & Y. Chi-Wa (2001)

International Macroeconomics: Beyond the Mundell-Fleming Model   SURVEY PAPER
Obstfeld, M. (2001)

Home bias and high turnover reconsidered
Warnock, F.E. (2001)

Luxury Goods and the Equity Premium
Ait-Sahalia, Y., J.A. Parker & M. Yogo (2001)

International Portfolio Investment: Theory, Evidence, and Institutional Framework   Acrobat Required
Bartram, S.M. & G. Dufey (2001)

Abstract: At first sight, the idea of investing internationally seems exciting and full of promise because of the many benefits of international portfolio investment. By investing in foreign securities, inves-tors can participate in the growth of other countries, hedge their consumption basket against ex-change rate risk, realize diversification effects and take advantage of market segmentation on a global scale. Even though these advantages might appear attractive, the risks of and constraints for international portfolio investment must not be overlooked. In an international context, finan-cial investments are not only subject to currency risk and political risk, but there are many institu-tional constraints and barriers, significant among them a host of tax issues. These constraints, while being reduced by technology and policy, support the case for internationally segmented securities markets, with concomitant benefits for those who manage to overcome the barriers in an effective manner.

Optimal Portfolio Allocation in a World Without Treasury Securities
Bomfim, A.N. (2001)

The Two Monetary Approaches to the Balance of Payments: Keynesian and Johnsonian
Polak, J.J. (2001)

Consumption-Based Interest Rate and the Present-Value Model of the Current Account--Evidence from Nigeria
Adedeji, O.S. (2001)

Inflation targeting in a small open economy
Jarle Bergo (BIS Review) Sep 5, 2001

The Asset Allocation of Emerging Market Mutual Funds
Disyatat, P. & R.G. Gelos (2001)

Financial Super-Markets: Size Matters for Asset Trade
Martin, P. & H. Rey (2001)

The Impossible Duo? Globalization and Monetary Independence in Emerging Markets   Acrobat Required
Valesco, A. (2001)

The Impact of U.S. Economic Growth on the Rest of the World: How Much Does it Matter?
Arora, V.B. & A. Vamvakidis (2001)

Migration, Human Capital, and Poverty in a Dual-Economy of a Developing Country
Masson, P.M. (2001)

Net Foreign Assets and the Exchange Rate: Redux Revived   Acrobat Required
Cavallo, M. & F. Ghironi (2001)

Easy Money Through The Back Door: The Markets Vs. The ECB   Acrobat Required
Bibow, J. (2001)

Abstract: This brief assesses the experiences of Europe's policy regime in the two years since the introduction of the euro in 1999, particularly the performance of the European Central Bank (ECB), the institution in charge of conducting monetary policy for the euro area. Conventional accounts of European growth, price, and labor market performance over recent years focus on labor market institutions and wage trends. By contrast, the interpretation offered here assigns a key role to demand-side factors as the driving force behind the recovery in output and employment growth. It is argued that the euro's plunge essentially resumed the trend of deutsche mark weakness that had started in 1996 and that currency depreciation amounted to a significant easing of monetary conditions.

Endogenous Currency of Price Setting in a Dynamic Open Economy Model
Devereux, M.B. & C. Engel (2001)

Abstract: Many papers in the recent literature in open economy macroeconomics make different assumptions about the currency in which firms set their export prices when nominal prices must be pre-set. But to date, all of these studies take the currency of price setting as exogenous. This paper sets up a simple two-country general equilibrium model in which exporting firms can choose the currency in which they set prices for sales to foreign markets. We make two alternative assumptions about the structure of international financial markets: one where there are complete markets for hedging consumption risk internationally, and the other without risk-sharing possibilities. Our results are quite sharp: exporters will generally wish to set prices in the currency of the country that has the most stable monetary policy. When monetary stability is similar among countries, there is an equilibrium where firms from all countries set their price in the currency of the buyer (local currency pricing). But except for a special case where money variances are exactly identical across countries, there is no equilibrium where all firms set export prices in their own currencies (producer currency pricing).

International Cartel Enforcement: Lessons from the 1990s
Evenett, S.J., M.C. Levenstein & V.Y. Suslow (2001)

Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies
Kogan, L. & R. Uppal (2001)

Optimal Monetary Policy in Closed versus Open Economies: An Integrated Approach
Clarida, R., J. Gali & M. Gertler (2001)

The Empirics of Monetary Policy Rules in Open Economies
Clarida, R. (2001)

Central Bank Learning, Terms of Trade Shocks & Currency Risk: Should Exchange Rate Volatility Matter for Monetary Policy? | Published   ScienceDirect Required   Acrobat Required
Lim, G.C. & P.D. McNelis (2001/07)

Simple Monetary Policy Rules and Exchange Rate Uncertainty   Acrobat Required
Leitemo, K. & U. Soderstrom (2001)

New International Monetary Arrangements and the Exchange Rate | Alternative   Acrobat Required
Monacelli, T. (2001)

Evidence Uncovered: Long-Term Interest Rates, Monetary Policy, and the Expectations Theory
Roush, J.E. (2001)

International Finance in General Equilibrium | Published   Recommended!   Adobe Acrobat Required!