Journal of Intrernational Money and Finance
Опубликовано на портале: 30-01-2003Richard Marston Journal of Intrernational Money and Finance. 2001. Vol. 20. No. 2. P. 149-164.
Foreign exchange exposure refers to the sensitivity of a firms cash flows to changes in exchange rates. This study develops a model of foreign exchange exposure dependent on only three variables, the percentage of the firms revenues and expenses denominated in foreign currency and its profit rate. Exposure is estimated for a sample of 103 U.S. firms that participated in the 1998 Wharton/CIBC Survey of Risk Management by U.S. Non-Financial Firms. The study finds that foreign exchange exposure is quite low for a majority of firms in the sample because these firms have been able to match their foreign currency revenues and costs leaving them with little net exposure. Such operational hedges may help to explain why previous studies have found low or negligible levels of exposure when they studied the sensitivity of share prices to foreign exchange rates.
Central Bank Learning, Terms of Trade Shocks and Currency Risk: Should Only Inflation Matter for Monetary Policy? [статья]
Опубликовано на портале: 15-11-2007G.C. Lim, Paul D. McNelis Journal of Intrernational Money and Finance. 2007. Vol. 26. No. 6. P. 865-886.
This paper examines the role of interest rate policy in a small open economy, subject to terms of trade shocks and time-varying currency risks. The private sector makes optimal decisions in an intertemporal, non-linear setting with rational, forward-looking expectations. In contrast, the monetary authority chooses an optimal interest rate reaction function, given a loss function that is conditional on the state of the economy and given its “least squares learning” about the evolution of inflation and exchange-rate depreciation. The simulation results of the effects of different policy scenarios on welfare show that, on balance, the preferred stance should be strict inflation targeting.
Опубликовано на портале: 25-10-2007Reuven Glick, Andrew K. Rose Journal of Intrernational Money and Finance. 1999. Vol. 18. No. 4. P. 603-617.
Currency crises tend to be regional; they affect countries in geographic proximity. This suggests that patterns of international trade are important in understanding how currency crises spread, above and beyond any macroeconomic phenomena. We provide empirical support for this hypothesis. Using data for five different currency crises (in 1971, 1973, 1992, 1994, and 1997) we show that currency crises affect clusters of countries tied together by international trade. By way of contrast, macroeconomic and financial influences are not closely associated with the cross-country incidence of speculative attacks. We also show that trade linkages help explain cross-country correlations in exchange market pressure during crisis episodes, even after controlling for macroeconomic factors
Опубликовано на портале: 16-11-2007Alessandro Flamini Journal of Intrernational Money and Finance. 2007. Vol. 26. No. 7. P. 1113-1150 .
This paper analyzes how endogenous imperfect exchange rate pass-through affects inflation targeting optimal monetary policies in a New Keynesian small open economy. The paper shows that an inverse relation exists between the pass-through and the insulation of the economy from foreign and monetary policy shocks, and that imperfect pass-through tends to decrease the variability of the terms of trade. Furthermore, with CPI inflation targeting, in the short run, delayed pass-through constrains monetary policy more than incomplete pass-through and interest rate smoothing amplifies this effect. When the pass-through decreases, the variability in economic activity tends to rise and the trade-off between the stabilization of CPI inflation and output worsens in direct relation to how strictly the central bank is targeting CPI inflation. In contrast, with domestic inflation targeting, optimal monetary policy is not constrained and opposite results occur. Consequently, imperfect pass-through favors the choice of domestic to CPI inflation targeting.
Опубликовано на портале: 11-10-2004Warren B. Bailey Journal of Intrernational Money and Finance. 1990. Vol. 9. No. 3. P. 344-356.
This paper documents variation across Pacific Rim countries in the response of equity values to US M1 announcement suprises. We relate the difference across countries to measures of capital mobility, export trade with the USA, foreign exchange and money market arrangements, and correlation with the US stock market. We find that The response to US M1 suprises is best explained by the country's degree of integration with international capital markets. The flexibility of the exchange rate and interest rates may also be significant. While the evidence is supportive of the 'anticipated Fed reaction' theory of the effect of money announcement suprises, the differing response ro M1 shocks across Fed policy regimes remains unexplained.