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Registros recuperados: 22
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Are Countries of Association of South East Asia Nations (ASEAN) Candidates of Optimum Currency Area for Monetary Union? A Structural VAR Approach AgEcon
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
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Between Two Poles: Matching Trade and Exchange Rate Regimes in Mercosur AgEcon
Busse, Matthias; Hefeker, Carsten; Koopmann, Georg.
The paper reviews exchange rate options for Mercosur countries. We start from the observation that most of the countries in the region have a longstanding tendency to adopt fixed exchange rates, and ask how such a system could best be designed. The Argentine crisis has demonstrated that unilateral currency pegs imply the risk of serious misalignments with other trading partners and subsequent realignments. The standard basket peg is not a solution because of its limited transparency and credibility. We therefore discuss a proposal to create dual currency boards that could be a workable solution for the Mercosur countries.
Tipo: Working or Discussion Paper Palavras-chave: Exchange Rate Regime; Currency Board; Latin America; Mercosur; International Relations/Trade; F31; F4.
Ano: 2004 URL: http://purl.umn.edu/26327
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Determinants of Argentina’s External Trade AgEcon
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
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Exchange and Interest Rates prior to EMU: The Case of Greece AgEcon
Antzoulatos, Angelos A.; Wilfling, Bernd.
Recently a variety of exchange and interest rate models capturing the dynamics during the transition from an exchange rate arrangement of floating rates into a currency union have been derived. While these stochastic equilibrium models in continuous time are theoretically rigorous, a systematic and extensive empirical validation is still lacking. Using exchange and interest rate data collected prior to the Greek EMU-entrance on 1 January 2001 this paper tries to fill the gap between theory and real-world data. The analysis reveals that the formal models can explain many features of the Greek exchange and interest rate dynamics on the road to EMU.
Tipo: Working or Discussion Paper Palavras-chave: EMU; Exchange and interest rate models; Policy shifts; Economic regime switching models; International Relations/Trade; E43; F31; F33; C51; C52.
Ano: 2003 URL: http://purl.umn.edu/26325
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EXCHANGE RATE EFFECTS ON AGRICULTURAL TRADE AgEcon
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
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Exchange Rate Uncertainty and Labour Market Adjustment under Fixed and Flexible Exchange Rates AgEcon
Chen, Yu-Fu; Funke, Michael.
The standard literature on working time has modelled the decisions of firms in a deterministic framework in which firms can choose between employment and overtime (given mandated standard hours). Contrary to this approach, we follow the real options approach, which allows us to investigate the value to a firm of waiting to adjust labour when the firm´s revenues in domestic currency are stochastic and adjustment costs are sunk. The simulations reject the null hypothesis that all exchange rate regimes obey common employment adjustment thresholds.
Tipo: Working or Discussion Paper Palavras-chave: Real Option Theory; Uncertainty; Working Time; Employment; Labour Demand; Exchange Rates; Financial Economics; Labor and Human Capital; D81; E24; J23; F31.
Ano: 2002 URL: http://purl.umn.edu/26287
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Exchange Rates Impacts on Agricultural Inputs Prices using VAR AgEcon
Yeboah, Osei-Agyeman; Shaik, Saleem; Allen, Albert J..
The effects of the U.S. dollar exchange rate versus the Mexican peso are evaluated for four traded nonfarm-produced inputs (fertilizer, chemicals, farm machinery, and feed) in the U.S. Unit root tests suggest that the exchange rate and the four input price ratios support the presence of unit roots with a trend model but the presence unit roots can be rejected in the first difference model. This result is consistent with a fixed price/flex price conceptual framework, with industrial prices more likely to be unresponsive to the exchange rate than farm commodity prices.
Tipo: Journal Article Palavras-chave: Exchange rate; Pass-through; Law of one price; SUR; VAR; Agribusiness; Financial Economics; International Relations/Trade; F14; F31; F36; F42; C23.
Ano: 2009 URL: http://purl.umn.edu/53096
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Financial Sector Reforms and Currency Crisis: The Indonesian Experience AgEcon
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
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Foreign Exchange Controls, Fiscal and Monetary Policy, and the Black Market Premium AgEcon
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
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Interest Rate Volatility Prior to Monetary Union Under Alternative Pre-Switch Regimes AgEcon
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
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International Capital Markets and Informal Dollar Standards in the CIS and East Asia AgEcon
Schnabl, Gunther.
Although most CIS and East Asian countries are de jure classified as free floaters, they de facto pursue (tight) dollar pegs. This paper emphasizes dollar denomination of short-term and long-term payment flows as reasons for exchange rate stabilization. Based on the analysis of "competitive depreciations" and "competitive appreciations" among the CIS and East Asian currencies it is argued that the adherence to a common external anchor currency enhances macroeconomic stability. Finally, the potential of euro and ruble (CIS) as well as yen and yuan (East Asia) to challenge the dollar as anchor currencies in the respective regions is explored.
Tipo: Working or Discussion Paper Palavras-chave: CIS; East Asia; Informal Dollar Standard; Liability Dollarization; Asset Dollarization; Competitive Depreciation; Competitive Appreciation; Exchange Rate Systems; Financial Economics; F31; F32.
Ano: 2005 URL: http://purl.umn.edu/26192
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Mudanças na pauta das exportações agrícolas brasileiras AgEcon
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
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Nominal Debt and the Dynamics of Currency Crises AgEcon
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
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Real Effects of Movements in Nominal Exchange Rates: Application to the Asian Crisis AgEcon
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
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Since When Have FOREX Markets Incorporated EMU into Currency Pricing? Evidence from Four Exchange Rate Series AgEcon
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
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Sudden Stops in Capital Inflows and the Design of Exchange Rate Regimes AgEcon
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
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Sustaining fixed rates: The political economy of currency pegs in Latin America AgEcon
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
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Testing Uncovered Interest Parity at Short and Long Horizons AgEcon
Chinn, Menzie D.; Meredith, Guy.
The unbiasedness hypothesis - the joint hypothesis of uncovered interest parity (UIP) and rational expectations - has been almost universally rejected in studies of exchange rate movements. In contrast to previous studies, which have used short-horizon data, we test this hypothesis using interest rates on longer-maturity bonds for the G-7 countries. The results of these long-horizon regressions are much more positive - the coefficients on interest differentials are of the correct sign, and almost all are closer to the predicted value of unity than to zero. These results are robust to changes in data type and to base currency (i.e., Deutschemark versus US dollar). We appeal to an econometric interpretation of the results, which focuses on the presence of...
Tipo: Working or Discussion Paper Palavras-chave: International Investment; Long-Term Capital Movements; Foreign Exchange; Open Economy Macroeconomics; Financial Economics; F21; F31; F41.
Ano: 2000 URL: http://purl.umn.edu/26355
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The Commodity-Currency View of the Australian Dollar: A Multivariate Cointegration Approach AgEcon
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
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The Convergence of International Interest Rates Prior to Monetary Union AgEcon
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
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