|
|
|
| Registros recuperados: 22 | |
|
|
| Sin, Lew Yuen; Asam Tuan Lorik, Ku. |
| Intra-trade among ASEAN countries have remained around 20% over the period 1993 until 2001 (ASEAN Secretariat). With this significant amount of trade being conducted between members of ASEAN countries, businesses were faced with exchange rate exposure due to the volatility of the exchange rate within the regions as was experienced during the Asian Financial Crisis of 1997-98. Members of the European Union overcome this exchange rate exposure by agreeing to form a monetary union and adopting Euro as their common currency in 1999. This paper examines the feasibility of a Optimum Currency Area (OCA) for ASEAN 9 to adopt a common currency, especially after the 1997-98 Asian Financial Crisis. Using macro-economic data for 9 ASEAN countries over the 15 years... |
| Tipo: Journal Article |
Palavras-chave: Monetary union; Optimum currency area; SVAR; Financial Economics; E52; F31; F36. |
| Ano: 2006 |
URL: http://purl.umn.edu/50151 |
| |
|
| |
|
|
| Catao, Luis; Falcetti, Elisabetta. |
| Following the liberalization reforms of the late 80s and early 90s, several emerging market economies have experienced large and persistent trade deficits. This paper focuses on the Argentine experience, examining the extent to which trade imbalances in the 1990s resulted from income and relative price movements, as well as from shifts in foreign trade elasticities associated with structural changes. New estimates of export and import equations are presented using a broader set of variables than previous studies and distinguishing between intra and extra MERCOSUR trade. We find that considerable export sensitivity to world commodity prices, domestic absorption, and economic activity in Brazil, combined with a high income elasticity of imports, are key... |
| Tipo: Journal Article |
Palavras-chave: Argentina; Foreign trade elasticities; International competitiveness; MERCOSUR; International Relations/Trade; F11; F14; F31. |
| Ano: 2002 |
URL: http://purl.umn.edu/44427 |
| |
|
| |
|
|
| Orden, David. |
| With sustained appreciation of the U.S. dollar over the past 4 years, the exchange rate has again taken on importance for agriculture. This overview paper revisits the analysis of exchange rate impacts, reviewing the relevant conceptual arguments, summarizing the evidence economists and agricultural economists have marshaled from the 1970s and the 1980s and from several more recent papers, presenting some illustrative recent empirical analysis of exchange rate effects, and briefly examining the detrimental consequences that sustained appreciation of the dollar is having on U.S. farm policy. |
| Tipo: Journal Article |
Palavras-chave: Agricultural policy; Agricultural trade; Exchange rate; International Relations/Trade; F31; Q17; Q18. |
| Ano: 2002 |
URL: http://purl.umn.edu/15466 |
| |
|
| |
|
| |
|
|
| Shakur, Shamim; Obben, James; Nugroho, Agus Eko. |
| The theory of exchange rate determination clearly links a depreciating currency to a deteriorating trade balance, interest differential and related economic fundamentals. Empirical testing carried out routinely confirms these relationships in “normal” times as currencies constantly align themselves to find their places in the global marketplace. When depreciation reaches crisis proportions, they are not always caused by a proportional deterioration in economic fundamentals. Random activities like speculative attacks are prompted by perceived problems in the banking sector as well as the contagion effect, leading to a currency crisis. Using pre crisis data and focusing on the Indonesian rupiah, this view is confirmed in the research. |
| Tipo: Journal Article |
Palavras-chave: Currency Crisis; Indonesia; Exchange Rate; Financial Economics; F31; F41. |
| Ano: 2005 |
URL: http://purl.umn.edu/50271 |
| |
|
|
| Fardmanesh, Mohsen; Douglas, Seymour. |
| This paper examines the relationship between the official and parallel exchange rates, in three Caribbean countries, Guyana, Jamaica and Trinidad, during the 1985-1993 period using cointegration, Granger causality, and reduced form methods. The official and parallel rates are cointegrated in all three countries, but with significant average disparity between them in Guyana and Trinidad, which unlike Jamaica applied infrequent and large adjustments to their official rates. The causation is bi-directional in the case of Jamaica and uni-directional, with changes in the official rate Granger causing changes in the parallel rate, in the cases of Guyana and Trinidad, reflecting the difference in their official exchange rate policies. Our reduced form estimates... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Foreign exchange controls; Black market exchange rate; Black market premium; Cointegration; Granger causality; Financial Economics; F31. |
| Ano: 2003 |
URL: http://purl.umn.edu/28514 |
| |
|
|
| Wilfling, Bernd. |
| The volatility of interest rates is relevant for many financial applications. Under realistic assumptions the term structure of interest rate differentials provides an important prediction of the term structure of interest rates. This paper derives the term structure of differentials in a situation in which two open economies plan to enter a monetary union in the future. Two systems of floating exchange rates prior to the union are considered, namely a free-float and a managed-float regime. The volatility processes of arbitrary term differentials under the respective pre-switch arrangements are compared. The paper elaborates the singularity of extremely short-term (i.e. instantaneous) interest rates under extensive leaning-against-the-wind intervention... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Interest rate volatility; Term structure; Exchange rate arrangements; Intervention policy; Stochastic processes; Financial Economics; E43; F31; F33; C52. |
| Ano: 2001 |
URL: http://purl.umn.edu/26277 |
| |
|
| |
|
|
| Carvalho, Maria Auxiliadora de; Silva, Cesar Roberto Leite da. |
| This paper aims to contribute to the Brazilian deindustrialization debate, attributed to exchange appreciation that, for several authors, is the agricultural export increase effect. Constant market share method applied on FAO export data, for the 1991 to 2003 period, indicates that Brazilian agricultural export increased more than the potential rate, due to expressive competitiveness gains. After the exchange regime change, in 1999, the competitiveness increase was partly neutralized by growth share of products whose world demand was in decline. Exports value decomposition showed that the volume effect predominates, fact more evident after the flotation exchange adoption, when the price effect was negative. Even discounting the real exchange depreciation... |
| Tipo: Journal Article |
Palavras-chave: Agricultural export; Deindustrialization; Constant market share; Agribusiness; F31. |
| Ano: 2008 |
URL: http://purl.umn.edu/61270 |
| |
|
|
| Corsetti, Giancarlo; MacKowiak, Bartosz. |
| We study the interaction of fiscal and monetary policies during a currency crisis in an economy with government nominal liabilities. We show that the stock and maturity of these liabilities are key determinants of the magnitude, timing and predictability of a devaluation. Among notable features of our model, monetary authorities defend the currency parity conditional on the level of the interest rate, rather than on the stock of international reserves; budget deficits need not be high before a currency crisis; postdevaluation inflation may exhibit little persistence, and money demand need not fall after the crisis. |
| Tipo: Working or Discussion Paper |
Palavras-chave: Currency crisis; Speculative attacks; Fiscal policy; Financial Economics; F31; F33; E58. |
| Ano: 2000 |
URL: http://purl.umn.edu/28516 |
| |
|
|
| Yelten, E. Sibel. |
| This paper analyzes the ad hoc decision of three Asian countries to peg their currency to the U.S. dollar prior to the Asian crisis. It uses the Sjaastad model to estimate the optimal basket weights for Thailand, Korea, and Singapore. The analysis in this paper differs from the optimal basket research since we are not searching for an ad hoc optimal basket; rather, the basket is the solution to the problem. For Thailand and Korea, the correct weights of the dollar in the basket are estimated to be 44 and 65 percent, respectively, which differ significantly from the actual weight of 100 percent for the U.S. dollar in their currency basket prior to the 1997 Asian crisis. Singapore, with a weight of 85 percent for the U.S. currency, is closer to a dollar peg,... |
| Tipo: Journal Article |
Palavras-chave: Optimum currency area; Asian crisis; Exchange rate basket; Currency peg; Financial Economics; E32; F31. |
| Ano: 2003 |
URL: http://purl.umn.edu/43998 |
| |
|
|
| Wilfling, Bernd. |
| Recent theory on exchange rate dynamics suggests that the mere announcement of regime switching from floating to fixed rates at a given future date triggers a reduction in exchange rate volatility during the interim period. Using a Markov-switching GARCH model this paper estimates the volatility processes of four EMU exchange rate returns vis-à-vis the German mark using daily data for the time prior to Stage III of EMU. Statistical inference yields the dates at which financial markets began to incorporate the expected EMU participation of each country into currency pricing. The data exhibits strong econometric evidence for two distinct views concerning the ultimate EMU membership: (1) Finland and France were considered irrefutable EMU members long before... |
| Tipo: Working or Discussion Paper |
Palavras-chave: EMU; Exchange rate policy; Volatility; Regime-switching GARCH models; Financial Economics; F31; F33; C51. |
| Ano: 2001 |
URL: http://purl.umn.edu/26136 |
| |
|
|
| Ritter, Raymond. |
| A two sector small open economy model developed by Corden (1991, 2002) is used to analyse the impact of sudden stops in capital inflows on an internal and external equilibrium and to explore the merits of disposing of the nominal exchange rate as policy tool in rectifying real exchange rate misalignments. It is shown how the economy's sectoral demand properties determine the extent of recession associated with real exchange rate adjustment that is neither engineered by nominal exchange rate changes nor brought about by a decline in nontraded goods prices. The conclusion is drawn that, when deciding on the design of exchange rate regimes, the structural characteristics of the economy ought to be considered so as to appropriately strengthen its capacity to... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Capital inflows; Sudden stops; Real exchange rate adjustment; Exchange rate regimes; Financial Economics; F31; F32; F41. |
| Ano: 2003 |
URL: http://purl.umn.edu/26317 |
| |
|
|
| Blomberg, S. Brock; Frieden, Jeffry; Stein, Ernesto. |
| Government exchange rate regime choice is constrained by both political and economic factors. One political factor is the role of special interests: the larger the tradable sectors exposed to international competition, the less likely is the maintenance of a fixed exchange rate regime. Another political factor is electoral: as an election approaches, the probability of the maintenance of a fixed exchange rate increases. We test these arguments with hazard models to analyze the duration dependence of Latin American exchange rate arrangements from 1960 to 1999. We find substantial empirical evidence for these propositions. Results are robust to the inclusion of a variety of other economic and political variables, to different time and country samples, and to... |
| Tipo: Journal Article |
Palavras-chave: Exchange rates; Elections; D72; F31. |
| Ano: 2005 |
URL: http://purl.umn.edu/37097 |
| |
|
| |
|
|
| Hatzinikolaou, Dimitris; Polasek, Metodey. |
| Using Australian quarterly data from the post-float period 1984:1-2003:1 and a partial system, we identify and estimate two cointegrating relations, one for the interest-rate differential and the other for the nominal exchange rate. Our estimate of the long-run elasticity of the exchange rate with respect to commodity prices is 0.939, which strongly supports the widely held view that the floating Australian dollar is a ‘commodity currency’. We also find that the PPP and UIP cannot be rejected so long as commodity prices are included in the cointegrating relations. Our model outperforms the random walk model in forecasting the exchange rate in the medium run. |
| Tipo: Journal Article |
Palavras-chave: Australian dollar; Commodity currency; Cointegration; F31; F41. |
| Ano: 2005 |
URL: http://purl.umn.edu/37462 |
| |
|
|
| Wilfling, Bernd. |
| The process of international interest rate convergence for arbitrary terms (represented by the term structure of interest rate differentials) is derived in a model of a small open economy which faces a purely time-contingent exchange rate regime switch from flexible to fixed rates. Special attention is paid to a situation in which financial markets deem a delay in the regime switch beyond the publicly announced fixing date possible. The closed-form solution of the term structure allows us to analyze the volatility of interest rate differentials thus providing a useful tool for interest-rate-sensitive security valuation and other risk management applications. Furthermore, the model demonstrates that the economy under consideration has to pay for the... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Exchange rate regime switches; Interest rates; Term structure; Stochastic processes; Uncertainty; Financial Economics; E43; F31; F33. |
| Ano: 2001 |
URL: http://purl.umn.edu/26165 |
| |
| Registros recuperados: 22 | |
|
|
|
