Всего публикаций в данном разделе: 1303
Optimal Currency Areas [статья]
Опубликовано на портале: 25-10-2007Alberto Alesina, Robert J. Barro, Silvana Tenreyro NBER Macroeconomics Annual. 2002. Vol. 17.
As the number of independent countries increases and their economies become more integrated, we would expect to observe more multi-country currency unions. This paper explores the pros and cons for different countries to adopt as an anchor the dollar, the euro, or the yen. Although there appear to be reasonably well-defined euro and dollar areas, there does not seem to be a yen area. We also address the question of how trade and co-movements of outputs and prices would respond to the formation of a currency union. This response is important because the decision of a country to join a union would depend on how the union affects trade and co-movements
Опубликовано на портале: 25-10-2007Giovanni Di Bartolomeo, Debora Di Gioacchino Working Paper (University of Rome "La Sapienza"). 2004. No. 74.
This paper studies the interaction between two autonomous policymakers, the central bank and the government, in managing public debt as the result of a two-stage game. In the first stage the institutional regime is established. This determines the equilibrium solution to be applied in the second stage, in which a differential game is played between the two policymakers. It is shown that, if the policymakers can communicate before the game is played, (multiple-equilibrium) coordination problems can be solved by using the concept of correlated equilibrium. Unlike Nash equilibrium, which only allows for individualistic and independent behavior, a correlated equilibrium allows for the players’ behavior to be coordinated and correlated.
Опубликовано на портале: 25-10-2007Philippe Aghion, Philippe Bacchetta, Abhijit Banerjee Journal of Economic Theory. 2004. Vol. 119. No. 1. P. 6-30.
This paper presents a general equilibrium currency crisis model of the 'third generation', in which the possibility of currency crises is driven by the interplay between private firms' credit-constraints and nominal price rigidities. Despite our emphasis on microfoundations, the model remains sufficiently simple that the policy analysis can be conducted graphically. The analysis hinges on four main features: i) ex post deviations from purchasing power parity; ii) credit constraints a la Bernanke-Gertler; iii) foreign currency borrowing by domestic firms; iv) a competitive banking sector lending to firms and holding reserves and a monetary policy conducted either through open market operations or short-term lending facilities. We first show that with a positive likelihood of a currency crisis, firms may indeed find it optimal to borrow in foreign currency, following Chamon (2001). Second, we derive sufficient conditions for the existence of a sunspot equilibrium with currency crises. Third, we show that a reduction in the monetary base through restrictive open market operations is more likely to eliminate the possibility of currency crises if at the same time the central bank does not impose excessive constraints on short-term lending facilities
Опубликовано на портале: 25-10-2007Craig A. Burnside, Martin Stewart Eichenbaum, Sergio Rebelo Journal of Political Economy. 2001. Vol. 109. No. 6. P. 1155–1197.
This paper argues that a principal cause of the 1997 Asian currency crisis was large prospective deficits associated with implicit bailout guarantees to failing banking systems. The expectation that these future deficits would be at least partially financed by seigniorage revenues or an inflation tax on outstanding nominal debt led to a collapse of the fixed exchange rate regimes in Asia. We articulate this view using a simple model whose key feature is that a speculative attack is inevitable once the present value of future government deficits rises. We present empirical evidence in support of the key assumptions underlying our interpretation of the crisis
Опубликовано на портале: 25-10-2007Kristin J. Forbes, Roberto Rigobon Journal of Finance. 2002. Vol. 57. No. 5. P. 2223-2261.
This paper examines stock market co-movements. It begins with a discussion of several conceptual issues involved in measuring these movements and how to test for contagion. Standard tests examine if cross-market correlation in stock market returns increase during a period of crisis. The measure of cross-market correlations central to this standard analysis, however, is biased. The unadjusted correlation coefficient is conditional on market movements over the time period under consideration, so that during a period of turmoil when stock market volatility increases, standard estimates of cross-market correlations will be biased upward. It is straightforward to adjust the correlation coefficient to correct for this bias The remainder of the paper applies these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 Mexican peso collapse, and the 1987 U.S. stock market crash. In each of these cases, tests based on the unadjusted correlation coefficients find evidence of contagion in several countries, while tests based on the adjusted coefficients find virtually no contagion. This suggests that high market co-movements during these periods were a continuation of strong cross-market linkages. In other words, during these three crises there was no contagion, only interdependence
Опубликовано на портале: 25-10-2007Robert P. Flood, Nancy P. Marion NBER Working Paper Series. 1996. No. 5789.
We develop a modified understand better the 1994 Mexican peso crisis as well as aspects of the European currency crises in 1992-93. We introduce the assumption that the speculative attack is sterilized by the domestic monetary authority, we incorporate a stochastic risk premium, and we allow for some price stickiness. The modified model shows that macroeconomic policies inconsistent in the longer run with a fixed exchange rate can push the economy inevitably towards a currency crisis, but it also demonstrates how a government currently following consistent macroeconomic policies can suddenly face a speculative attack triggered by a large shift in speculative opinion. However, the ability of a sudden shift in speculative opinion to trigger an attack is bounded by the position of fundamentals. Thus an attack does not require a later change in policies to make it profitable
Опубликовано на портале: 25-10-2007Graciela L. Kaminsky, Saul Lizondo, Carmen M. Reinhart IMF Staff Papers. 1998. Vol. 45. No. 1.
This paper examines the empirical evidence on currency crises and proposes a specific early warning system. This system involves monitoring the evolution of several indicators that tend to exhibit an unusual behavior in the periods preceding a crisis. When an indicator exceeds a certain threshold value, this is interpreted as a warning "signal" that a currency crisis may take place within the following 24 months. The variables that have the best track record within this approach include exports, deviations of the real exchange rate from trend, the ratio of broad money to gross international reserves, output, and equity prices
Опубликовано на портале: 25-10-2007Guillermo A. Calvo, Enrique Gabriel Estrada Mendoza Journal of International Economics. 2000. Vol. 51. No. 1. P. 79-113.
This paper argues that globalization may promote contagion by weakening incentives forgathering costly information and by strengthening incentives for imitating arbitrary market portfolios. In the presence of short-selling constraints, the gain of gathering information at a fixed cost may diminish as markets grow. Moreover, if a portfolio manager's marginal cost for yielding below-market returns exceeds the marginal gain for above-market returns, there is a range of optimal portfolios in which all investors imitate arbitrary market portfolios and this range widens as the market grows. Numerical simulations suggest that these frictions can have significant implications for capital flows in emerging markets
Опубликовано на портале: 25-10-2007Simon Broome, Bruce Morley Journal of Asian Economics. 2004. Vol. 15. No. 1. P. 189-197.
Using a basic monetary model, we assess the effectiveness of stock prices as a leading indicator of the East Asian currency crisis in 1997 and 1998. Stock prices are incorporated into a monetary model, through the wealth effect postulated by Friedman [J. Pol. Econ. 96 (1988) 221]. In addition to the domestic stock price, we also incorporate the stock prices of Hong Kong, China and Japan. Using monthly data, the results indicate that the domestic stock price, the Hong Kong stock price and particularly US prices are significant leading indicators of the crisis. Causality tests suggest evidence of bi-causality between the stock markets and foreign exchange markets
Опубликовано на портале: 25-10-2007Herminio Blanco, Peter Garber Journal of Political Economy. 1986. Vol. 94. No. 1. P. 148-166.
We generate an empirical method aimed at predicting the timing and magnitude of devaluations forced by speculative attacks on fixed exchange rate systems. Using the Mexican experience as an example, we produce time-series estimates of the one-period-ahead probability of devaluation, the expected value of the new fixed exchange rate, and the confidence interval of the forecasted exchange rate. The results of the empirical exercise are encouraging. Devaluations, both in and out of sample, did occur when "predicted" by the model. Furthermore, the probabilities of devaluation reached relatively high values prior to actual devaluations
Опубликовано на портале: 25-10-2007Yuko Hashimoto, Takatoshi Ito NBER Working Papers. 2004. No. 10448.
This paper analyzes the co-movement of the exchange rates and the stock prices from the viewpoint of contagion among the eight countries in the region during the period of Asian currency crisis, 1997-1999. Ito and Hashimoto (2002; NBER working paper) proposed a new definition of high-frequency contagion using daily exchange rate data. This paper extends the idea to include the stock market origins that are separately identified for the exchange rate and the stock price. Then contagion is defined not only among the exchange rates and stock prices separately, but also between an exchange rate and a stock price of the same country or of different countries. One of the motivations is the following observation. Hong Kong successfully defended the peg to the U.S. dollar throughout the Asian currency crisis period. However, the Hong Kong stock market was affected by the decline in currencies of neighboring countries most notably in October 1997We use a friction model and a Tobit model to analyze the impact of a negative shock in one asset price to others. The difference between mildly-affected countries and severely-affected countries is analyzed; categories of large declines in the exchange rates (or stock prices) are made differentiated; and whether the stock prices were increasing or decreasing is distinguished. It is found, among others, that there was, in general the contagion between the exchange rates and stock prices; that the stock prices in Hong Kong were found to suffer from contagious effects from the decline in the Asian currencies; and that Indonesian, Korean and Thai currency depreciation and Hong Kong stock price declines had impacts on other currencies and stock prices in the region during the crisis period
Опубликовано на портале: 25-10-2007Tuomas A. Peltonen European Central Bank, Working Paper Series. 2006. No. 571.
This paper analyzes the predictability of emerging market currency crises by comparing the often used probit model to a new method, namely a multi-layer perceptron artificial neural network (ANN) model. According to the results, both models were able to signal currency crises reasonably well in-sample, but the forecasting power of these models out-ofsample was found to be rather poor. Only in the case of Russian (1998) crisis were both models able to signal the crisis well in advance. The results reinforced the view that developing a stable model that can predict or even explain currency crises is a challenging task
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: 22-10-2007John B. Taylor Stanford University Research Papers. 2000.
This paper shows that the use of monetary policy rules in emerging market economies has many of the same benefits that have been found in research and in practice in developed economies. For those emerging market economies that do not choose a policy of “permanently” fixing the exchange rate—perhaps through a currency board or dollarization, the only sound monetary policy is one based on the trinity of a flexible exchange rate, an inflation target, and a monetary policy rule. However, market conditions in emerging market economies may require modifications of the typical policy rule that has been recommended for economies with more developed financial markets
Опубликовано на портале: 22-10-2007Lars Peter Hansen, Thomas J. Sargent Review of Economic Dynamics. 2001. Vol. 4. No. 3. P. 519-535.
We explore methods for confronting model misspecification in macroeconomics. We construct dynamic equilibria in which private agents and policy makers recognize that models are approximations. We explore two generalizations of reational expectations equilibria. In one of these equilibria, decision-makers use dynamic evolution equations that are imperfect statistical approximations, and in the other misspecification is impossible to detect even from infinite samples of time series data. In the first of these equilibria, decision rules are tailored to be robust to the allowable statistical discrepancies. Using frequency domain methods, we show that robust decision-makers treat model misspecification like time series econometricians
Опубликовано на портале: 22-10-2007Albert S. Dexter, Maurice D. Levi, Barrie R. Nault Journal of Monetary Economics. 2002. Vol. 49. No. 4. P. 797-821.
This paper finds that approximately one-third of the items in the CPI are governed by previous termprice regulationsnext term that can slow and add noise to the response of previous termpricesnext term to changes in cost or demand conditions. Consequently, previous termregulationnext term is a possible partial explanation of previous termsticky pricesnext term in the overall rate of inflation, and delayed response to changes in the money supply. A survey is used to decompose the CPI into freely determined and regulated sub-components. Evidence is provided that previous termpricesnext term in the regulated sector of the economy respond approximately two quarters after previous termpricesnext term in the freely determined sector, thereby contributing a source of stickiness in overall inflation and in the response of inflation to monetary policy
Опубликовано на портале: 22-10-2007Marc Giannoni Macroeconomic Dynamics. 2002. Vol. 6. No. 1. P. 111-144.
This paper proposes a general method based on a property of zero-sum two-player games to derive robust optimal monetary policy rules--the best rules among those that yield an acceptable performance in a specified range of models--when the true model is unknown and model uncertainty is viewed as uncertainty about parameters of the structural modelThe method is applied to characterize robust optimal Taylor rules in a simple forward-looking macroeconomic model that can be derived from first principles. Although it is commonly believed that monetary policy should be less responsive when there is parameter uncertainty, we show that robust optimal Taylor rules prescribe in general a stronger response of the interest rate to fluctuations in inflation and the output gap than is the case in the absence of uncertainty. Thus model uncertainty does not necessarily justify a relatively small response of actual monetary policy
Опубликовано на портале: 22-10-2007Andrew Hughes Hallett, Diana Weymark CEPR Discussion Papers. 2002. No. 3336.
The problem of monetary policy delegation is formulated as a two-stage game between the government and the central bank. In the first stage the government chooses the institutional design of the central bank. Monetary and fiscal policy are implemented in the second stage. When fiscal policy is taken into account, there is a continuum of combinations of central bank independence and conservatism that produce optimal outcomes. This indeterminacy is resolved by appealing to practical considerations. In particular, it is argued that full central bank independence facilitates the greatest degree of policy transparency and political coherence.
Опубликовано на портале: 22-10-2007Avinash K. Dixit, Luisa Lambertini European Economic Review. 2001. Vol. 45. No. 4-6. P. 977-987.
We consider monetary-fiscal policy interactions in a monetary union. If monetary and fiscal authorities have different ideal output and inflation targets, the Nash equilibrium output or inflation or both are beyond the ideal points of all authorities. Leadership of either authority is better. Fiscal discretion entirely negates the advantage of monetary commitment: The optimal monetary rule is equivalent to discretionary leadership of monetary over fiscal policy. Agreement about ideal output and inflation creates a monetary-fiscal symbiosis, yielding the ideal point despite disagreement about the relative weights of the two objectives, for any order of moves, without fiscal coordination, and without monetary commitment.
Опубликовано на портале: 22-10-2007Federico Ravenna, Carl E. Walsh Journal of Monetary Economics. 2006. Vol. 53. No. 2. P. 199-216.
In the standard new Keynesian framework, an optimizing policy maker does not face a trade-off between stabilizing the inflation rate and stabilizing the gap between actual output and output under flexible prices. An ad hoc, exogenous cost-push shock is typically added to the inflation equation to generate a meaningful policy problem. In this paper, we show that a cost-push shock arises endogenously when a cost channel for monetary policy is introduced into the new Keynesian model. A cost channel is present when firms’ marginal cost depends directly on the nominal rate of interest. Besides providing empirical evidence for a cost channel, we explore its implications for optimal monetary policy. We show that its presence alters the optimal policy problem in important ways. For example, both the output gap and inflation are allowed to fluctuate in response to productivity and demand shocks under optimal monetary policy.