Всего публикаций в данном разделе: 243
Опубликовано на портале: 24-12-2003Sebastian Edwards, Eduardo Levy-Yeyati NBER Working Paper Series. 2003. W9867 .
In this paper we analyze empirically the effect of terms of trade shocks on economic performance under alternative exchange rate regimes. We are particularly interested in investigating whether terms of trade disturbances have a smaller effect on growth in countries with a flexible exchange rate regime, than in countries with a more rigid exchange rate arrangement. We also analyze whether negative and positive terms of trade shocks have asymmetric effects on growth, and whether the magnitude of these asymmetries depends on the exchange rate regime. We find evidence suggesting that terms of trade shocks get amplified in countries that have more rigid exchange rate regimes. We also find evidence of an asymmetric response to terms of trade shocks: the output response is larger for negative than for positive shocks. Finally, we find evidence supporting the view that, after controlling for other factors, countries with more flexible exchange rate regimes grow faster than countries with fixed exchange rates.
Real Exchange Rate Fluctuations and the Dynamics of Retail Trade Industries on the U.S.-Canada Border [статья]
Опубликовано на портале: 24-12-2003Jeffrey R. Campbell, Beverly Lapham NBER Working Paper Series. 2001. w8558.
Consumers living near the U.S.-Canada border can shift their expenditures between the two countries, so real exchange rate fluctuations can act as demand shocks to border areas' retail trade industries. Using annual county-level data, we estimate the effects of real exchange rates on the number of establishments and their average payroll in border counties for four retail industries. In three of the four industries we consider, the number of operating establishments responds either contemporaneously or with a lag of one year to real exchange rate movements. For these industries, the response of retailers' average size is less pronounced. The rapid response of net entry is inconsistent with any model of persistent deviations from purchasing power parity that depends on retailers' costs of changing nominal prices.
Shock Versus Gradualism in Models of Rational Expectations: The Case of Trade Liberalization [статья]
Опубликовано на портале: 16-12-2003Leonardo Auernheimer, Susan Mary George IMF Working Paper Series. 1997. No. 97/122.
This paper presents another argument in favor of "shock versus gradualism" when implementing trade liberalization policies. In a small open economy in which agents have rational expectations, all policies are credible, and all gains from trade are production gains (an assumption made for simplicity), we show that gradually removing a tariff is in itself distortionary. A temporary, nonzero rate of change in the policy variable the falling tariff rate introduces an intertemporal relative price distortion between consumption and asset accumulation for the duration of the policy. An unanticipated, immediate removal of the tariff is always superior to a gradual removal. If the shock approach of reform is precluded, a gradualist program must be evaluated by comparing the usual permanent gains from free trade with the transitory welfare losses generated from the intertemporal distortion. For certain parameters, if the duration of liberalization is extended over too long a time period, gradualist policies may be worse from a welfare standpoint than not removing the tariff at all. An immediate implication is that a third policy option removing the tariff at once at a future date, without a previous announcement may be better than gradually removing the tariff starting at the present date. Such a policy delays the benefits of the intratemporal production gains but avoids the intertemporal distortion of a gradualist policy. In some cases the gains from avoiding these costs dominate the costs of delay.
Опубликовано на портале: 16-12-2003M.E.Dominguez Kathryn NBER Working Paper Series. 1999. No. 7337.
One of the great unknowns in international finance is the process by which new information influences exchange rate behavior. This paper focuses on one important source of information to the foreign exchange markets, the intervention operations of the G-3 central banks. Previous studies using daily and weekly foreign exchange rate data suggest that central bank intervention operations can influence both the level and variance of exchange rates, but little is known about how exactly traders learn of these operations and whether intra-daily market conditions influence the effectiveness of central bank interventions. This paper uses high-frequency data to examine the relationship between the efficacy of intervention operations and the 'state of the market' at the moment that the operation is made public to traders. The results indicate that some traders know that a central bank is intervening at least one hour prior to the public release of the information in newswire reports. Also, the evidence suggests that the timing of intervention operations matter interventions that occur during heavy trading volume and that are closely timed to scheduled macro announcements are the most likely to have large effects. Finally, post-intervention mean reversion in both exchange rate returns and volatility indicate that dealer inventories are affected by market reactions to intervention news.
Опубликовано на портале: 16-12-2003Giancarlo Corsetti, Paolo Pesenti NBER Working Paper Series. 2001. No. 8230.
This paper provides a baseline general-equilibrium model of optimal monetary policy among interdependent economies, with monopolistic firms that set prices one period in advance. Strict adherence to inward-looking policy objectives such as the stabilization of domestic output cannot be optimal when firms' markups are exposed to currency fluctuations. Such policies induce excessive volatility in exchange rates and foreign sales revenue, leading exporters to set higher prices in response to higher profit risk. In general, optimal rules trade off a larger domestic output gap against lower import prices. Monetary rules in a world Nash equilibrium lead to smaller exchange rate volatility relative to both inward-looking rules and discretionary policies, even when the latter do not suffer from any inflationary (or deflationary) bias. Gains from international monetary cooperation are related in a non-monotonic way to the degree of exchange rate pass-through.
Опубликовано на портале: 16-12-2003Rudiger Dornbusch NBER Working Paper Series. 1980. No. 0493.
This chapter addresses the question of what contribution finance theory can make to an explanation of exchange rate movements. It is an attempt to integrate ideas of finance theory such as portfolio diversification, efficiency, rationality,and use of information in a reasonably eclectic macroeconomic model and to study in that broadened context the determination of exchange rate.
Рецензия на книгу Hallwood C.P. and MacDonald R., International Money and Finance, 3rd edition, Blackwell Publishers, 2000. [статья]
Опубликовано на портале: 10-12-2003Андрей Георгиевич Шульгин
Книга Пола Хэлвуда и Рональда Макдоналда представляет собой один из базовых учебник по курсу Международные финансы (МФ), рассчитанный на студентов, преподавателей и исследователей в области международных денег и финансов. Она написана не на элементарном уровне и будет полезна для углубленного изучения курса МФ. В тоже время она не содержит технически сверхсложных моментов, и потому рекомендуется достаточно широкому кругу читателей-профессионалов. Впрочем, книга предъявляет достаточно высокие требования к читателю в плане математической культуры: высшая математика, дифференциальные уравнения, теория вероятностей и математическая статистика, эконометрика – чем более глубоки познания читателя в данных областях, тем больше он сможет приобрести при прочтении работы Хэлвуда и Макдоналда.
Опубликовано на портале: 10-12-2003Sebastian Edwards NBER Working Paper Series. 1998. No. 6756.
Current debates on globalization have tended to focus on financial market volatility and contagion. In fact, many proponents of the imposition of some form of capital restrictions in emerging markets have argued that these would help reduce or even eliminate spillover across emerging market. Although this has been an old concern among developing economies, it has become more generalized after the Mexican, East Asian and Russian crises. In this paper I use high frequency data on short term nominal interest rates during the 1990s in three Latin American countries Argentina, Chile and Mexico -- to analyze whether there has been volatility contagion from Mexico to the two South American nations. The results obtained from the estimation of augmented GARCH equations indicate, quite strongly, that while there has been volatility contagion from Mexico to Argentina, there has been no volatility contagion from Mexico to Chile. These results also indicate, however, that with the exception of a brief period in 1995, nominal interest rates have been more volatile in Chile than in Argentina. The results reported in this paper also indicate that interest rate differentials with respect to the US have tended to disappear somewhat slowly in both Chile and Argentina. Moreover, the estimation of rolling regressions for Chile indicate that after capital controls on capital inflows were imposed, interest rate differentials became more sluggish and tended to disappear more slowly than during the free capital mobility period.
Опубликовано на портале: 10-12-2003Evan Tanner IMF Working Paper Series. 1998. No. 98/117 .
Ex-post deviations from uncovered interest parity (UIP)-realized differences between dollar returns on identical assets of different currencies-equal the real interest differencial plus real exchange rate growth. Among industrialized countries, UIP deviations are largely explained by unanticipated real exchange rate growth, but among developing countries, real interest differencial are "where the action is". This observations is due to the greater variabiliti of inflation in developing countries, but may also stem from higher and more variable risks and capital controls in these countries. Also among developing countries with moderate inflation, offsetting comovements of real interest differencials and real exchange rate growth support the sticky-price hypothesis.
Опубликовано на портале: 10-12-2003Gianluca Benigno, Pierpaolo Benigno CEPR Discussion Papers. 2001. No. 2807.
A positive and normative evaluation of alternative monetary policy regimes is addressed in a simple two-country general equilibrium model. The behavior of the exchange rate, as well as of the other macroeconomic variables, depends crucially on the monetary regime chosen, though not necessarily on monetary shocks. The centralized welfare criterion presents a trade-off between stabilizing the economy around the flexible-price allocation and reducing the volatility of the nominal interest rates. Some form of control of the exchange rate is desirable.
Опубликовано на портале: 10-12-2003Gianluca Benigno, Christoph Thoenissen Bank of England Working Papers. 2002. No. 156.
This paper develops a two-country, optimising, sticky price model of real exchange rate determination in the 'new open macroeconomics' tradition which allows several different forms of deviation from purchasing power parity (PPP), both along the adjustment path and in the steady state. The model has a rich structure, and is designed to provide a flexible tool for policy analysis. Unlike most other papers in the literature, both of the key components of the real exchange rate - the relative price of non-tradables, and the terms of trade - are made endogenous, allowing a more complete analysis of the impact of structural shocks. To illustrate one possible application, the model is calibrated to match key elements of the UK and euro-area economies, and used to examine the extent to which possible improvements in the United Kingdom's relative supply-side performance might account for the sharp and persistent appreciation in sterling since 1996. The results are not supportive of this hypothesis. In the model, improvements in productivity, goods market and labour market competitiveness are all associated with a depreciation in both the spot and the equilibrium real sterling exchange rates. Two potential supply-side sources of an equilibrium appreciation - a productivity improvement biased towards traded goods (Balassa-Samuelson effect), and an anticipated future productivity rise - are considered; however, each is insufficient to account for a long-run equilibrium appreciation; the latter may account for an initial appreciation of the real exchange rate. We conclude by considering further mechanisms that could affect our results.
Опубликовано на портале: 10-12-2003Peter Clarke, Ronald MacDonald IMF Working Paper Series. 1998. No. 98/67.
This paper compares two approaches for examining the extent to which a country's actual real effective exchange rate is consistent with economic fundamentals: the PEER approach, which involves calculating the real exchange rate that equates the current account at full employment with sustainable net capital flows, and the BEER approach, which uses econometric methods to establish a behavioral link between the real rate and relevant economic variables. An exchange rate model is estimated for the G-3 currencies to provide illustrative comparisons of BEERs and FEERs.
Опубликовано на портале: 10-12-2003Kenneth S. Rogoff IMF Working Paper Series. 2002. No. 02/39.
This Mundell Fleming lecture at the International Monetary Fund's 2001 annual research conference marks the 25th anniversary of Rudiger Dornbusch's masterpiece, "Expectations and Exchange Rate Dynamics," a seminal contribution to both policy and research in the field of international finance. This essay provides a simple overview of the model as well as some empirics, not only on exchange rates but on measures of the paper's influence. Last, but not least, T offer some personal reflections on how Dornbusch conveyed the ideas in his "overshooting model" to inspire a generation of students.
Опубликовано на портале: 10-12-2003Ronald MacDonald, Luca Ricci IMF Working Paper Series. 2002. No. 02/32.
This paper theoretically derives and empirically tests the implications of a new trade theory framework for the systematic movements m the real exchange rate. It focuses on the effect of imperfect substitutability of tradables and on the importance of competitiveness, for which we construct an original proxy. Using a panel dynamic OLS estimation of nine bilateral US dollar real exchange rates, we derive long-run coefficients for relative productivity and competitiveness in the tradable and non-tradable sectors, controlling for standard macroeconomic variables. The implications of imperfect substitutability of tradables fit the data better than the standard neoclassical assumption of price equalization. Our new measure of competitiveness is statistically significant in explaining deviations from PPP.
The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials: A Panel Study [статья]
Опубликовано на портале: 10-12-2003Ronald MacDonald, Jun Nagayasu IMF Working Paper Series. 1999. No. 99/37.
This paper empirically examines the long-run relationship between real exchange rates and real interest rate differentials over the recent floating exchange rate period, using a panel cointegration method, with data for a set of industrialized countries. The paper finds evidence of statistically significant long-run relationships and plausible point estimates, which contrasts with much existing evidence. The failure of others to establish such relationships may reflect the estimation method they use rather than any inherent deficiency of the fundamentals-based models.
Debt Intolerance [статья]
Опубликовано на портале: 10-12-2003Kenneth S. Rogoff, Miguel A. Savastano, Carmen M. Reinhart NBER Working Paper Series. 2003. W9908 .
This paper introduces the concept of 'debt intolerance,' which manifests itself in the extreme duress many emerging markets experience at debt levels that would seem manageable by advanced country standards. We argue that 'safe' external debt-to-GNP thresholds for debt intolerant countries are low, perhaps as low as 15 percent in some cases. These thresholds depend on a country's default and inflation history. Debt intolerance is linked to the phenomenon of serial default that has plagued many countries over the past two centuries. Understanding and measuring debt intolerance is fundamental to assess the problems of debt sustainability, debt restructuring, capital market integration, and the scope for international lending to ameliorate crises. Our goal is to make a first pass at quantifying debt intolerance, including delineating debtors' clubs and regions of vulnerability, on the basis on a history of credit events going back to the 1820s for over 100 countries.
Опубликовано на портале: 10-12-2003Francisko Nadal-De Simon, W.A Razzak IMF Working Paper Series. 1999. No. 99/141.
This paper reexamines some unsettled theoretical and empirical issues regarding the relationship between nominal exchange rates and interest rate differentials and provides a model for the behavior of exchange rates in the long run, where interest rates are determined in the bond market. The model predicts that an increase in the interest rate differential appreciates the home currency. We test the model for the U.S. dollar against the Deutsche mark, the British pound, the Japanese yen, and the Canadian dollar. The first two pairs of exchange rates—for which purchasing power parity
Опубликовано на портале: 10-12-2003Sebastian Edwards NBER Working Paper Series. 2001. W8274 .
In this paper autor investigate the historical record of countries that have lived under a 'dollarized' monetary system. As it turns out, this is a very small group of counties, most of which have operated under very special circumstances, and for which there are very limited data. The results reported in this paper suggests that, when compared to other countries, the dollarized nations have: (a) have had significantly lower inflation (b) grown at a significantly lower rate(c) have had a similar fiscal record (d) have not been spared from major current account reversals. Additionally, autor's analysis of Panama's case suggests that external shocks result in greater costs - in terms of lower investment and growth - in dollarized than in non-dollarized countries.
Опубликовано на портале: 10-12-2003Barry Eichengreen, Alan M. Taylor CEPR Discussion Papers. 2003. No. 3909 .
How will free trade affect monetary policy and exchange rate regime choices in the Americas? While the European Union illustrates how the creation of an integrated market in goods and services can enhance monetary cooperation and integration, it is not clear that Europe's experience translates to Latin America, where the political circumstances are different. We try to understand whether the monetary consequences of existing regional trade agreements, including but not limited to the European Union, mainly reflect spillovers from trade integration, or whether observed outcomes have been mainly about politics. Our results incline us toward the latter interpretation, leaving us pessimistic about the basis for deeper monetary cooperation. If exchange rate volatility is to be tamed, then the more widespread adoption of inflation targeting, which we find to be associated with a significant reduction in bilateral exchange rate volatility, may be the most promising path.
Опубликовано на портале: 10-12-2003Alan M. Taylor NBER Working Paper Series. 2002. W8927 .
Recent globalization trends have refocused attention on the historical evolution of international capital mobility over the long run. The issue is examined here using time-series analysis of current-account dynamics for fifteen countries since circa 1850. The inter-war period emerges as an era of low capital mobility and only recently can we observe a tentative return to the degree of capital mobility witnessed during the late nineteenth century. The analysis of saving and investment dynamics also helps make sense of the frequently observed high correlation of saving and investment rates in historical data.