Всего публикаций в данном разделе: 5
Опубликовано на портале: 11-01-2003Jeffrey A. Frankel, Sergio L. Schmukler, Luis Serven
Using a large sample of developing and industrialized economies during 1970-1999, this paper explores whether the choice of exchange rate regime affects the sensitivity of local interest rates to international interest rates. In most cases, we cannot reject full transmission of international interest rates in the long run, even for countries with floating regimes. Only large industrial countries can benefit, or choose to benefit, from independent monetary policy. However, short-run effects differ across regimes. Dynamic estimates show that interest rates of countries with more flexible regimes adjust more slowly to changes in international rates.
Опубликовано на портале: 27-04-2004G. Andrew Karolyi, Rene M. Stulz
Authors review the international finance literature to assess the extent to which international factors affect financial asset demands and prices. International asset pricing models with mean-variance investors predict that an asset's risk premium depends on its covariance with the world market portfolio and, possibly, with exchange rate changes. The existing empirical evidence shows that a country's risk premium depends on its covariance with the world market portfolio and that there is some evidence that exchange rate risk affects expected returns. However, the theoretical asset pricing literature relying on mean-variance optimizing investors fails in explaining the portfolio holdings of investors, equity flows, and the time-varying properties of correlations across countries. The home bias has the effect of increasing local influences on asset prices, while equity flows and cross-country correlations increase global influences on asset prices.
Razin A. A Brazilian debt-crisis model / A. Razin, E. Sadka. Tel Aviv: Tel Aviv University, 2002. (NBER Working Paper; No. 9211). [книга]
Опубликовано на портале: 21-01-2004
Authors develop a model that captures important features of debt crises of the Brazilian type. Its applicability to Brazil lies in the fact that (1) in Brazil the macro fundamentals were sound (e.g., a primary surplus, a relatively low debt/GDP ratio, etc.); and (2) in the Brazilian case the trigger appears to be the forthcoming elections, with an expected regime change.
Sanchez-Fung J. R. Money demand, PPP and macroeconomic dynamics in a small developing economy [Текст] / J. R. Sanchez-Fung. Canterbury ; Kent : Department of Economics University of Kent, 2000. 26 p. (Discussion paper ; 00/15). [книга]
Опубликовано на портале: 30-07-2004
This paper aims at improving our understanding of macro-monetary phenomena in developing countries. Specifically, it analyses a six-variable model of the Dominican Republic by implementing the cointegrating VAR framework, using annual data for the period 1950-1999. The inquiry is able to identify money demand and PPP cointegrating relationships that are economically and statistically sensible, displaying half-life persistence profiles of approximately one and three years, respectively. Additionally, generalised impulse response functions observed after shocking the money demand relation suggest that there is scope for activist monetary policy, while those derived from perturbations to PPP show that real exchange rate depreciations generate both contractionary and inflationary developments.
Опубликовано на портале: 29-01-2003Robert Solomon
Princeton: Princeton University Press, 1999
The international monetary system has changed radically in the last twenty years. Capital, information, goods, and services move around the globe with unprecedented ease. Countries from the former communist bloc have joined the system. Europe is on the verge of monetary union. Financial crises in East Asia and Mexico have rocked the world economy. In this book, Robert Solomon--author of the definitive history of the monetary order between 1945 and 1981--presents the first comprehensive history of these and other aspects of this revolution in international finance. Authoritative, accessible, and elegantly written, the book will be indispensable for anyone who wishes to understand how today's international monetary system works.