Всего публикаций в данном разделе: 243
A Model of an Optimum Currency Area [статья]
Опубликовано на портале: 24-12-2007Luca Ricci Economics Discussion Papers. 2007. No. 2007-45.
This paper develops a model of the circumstances under which it is beneficial to participate in a currency area. The proposed two-country monetary model of trade with nominal rigidities encompasses the real and monetary arguments suggested by the optimum currency area literature: correlation of real and monetary shocks, international factor mobility, fiscal adjustment, openness, difference in national inflationary biases, and transactions costs. The effect of openness on the net benefits is ambiguous, contrary to the usual argument that more open economies are better candidates for a currency area. Also, prospective member countries do not necessarily agree on whether a given currency union should be created.
Опубликовано на портале: 24-12-2007Stefan Reitz, Markus Schmidt, Mark Peter Taylor Volkswirtschaftliche Diskussionsbeiträge. 2007. No. 2007,05.
In this paper we provide evidence for Evans and Lyons' (2005b) model of an information aggregation process in FX markets using a German bank's end-user order flow from 2002 to 2003. Though customer order flow is unambiguously the vehicle incorporating non-public information into exchange rates over time, our empirical analysis does not support the widespread optimism in the market microstructure literature that customer order flow is the high-powered source of information easily exploitable for short-run speculation. Moreover, commercial customers' order flow produces negative coefficients in contemporaneous return regressions, stressing their role as liquidity providers.
Should Central Banks React to Exchange Rate Movements? An Analysis of the Robustness of Simple Policy Rules Under Exchange Rate Uncertainty [статья]
Опубликовано на портале: 23-12-2007Timo Wollmershäuser Journal of Macroeconomics. 2006. Vol. 28. No. 3. P. 493-519.
This paper evaluates the performance of simple policy rules in an open economy. By introducing a high degree of exchange rate uncertainty we find that policy rules with an important feedback from movements in the real exchange rate are very robust to uncertainty about the true exchange rate model. A closed economy rule performs badly in most exchange rate specifications. This is in contrast to the findings of many other studies. In our view, this result is due to the fact that these studies assume a known and reliable relationship between the exchange rate and the interest rate.
Опубликовано на портале: 23-12-2007Avner Bar-llan, Dan Lederman Economics Letters. 2007. Vol. 97. No. 2. P. 170-178.
We present a model that determines both monetary policy and level of international reserves. Strict monetary policy would build precautionary reserves that allow future monetary policy to better stabilize inflation and output and lower the likelihood of forthcoming financial crisis
Опубликовано на портале: 23-12-2007Patrick J. Kehoe, Varadarajan V. Chari Journal of Monetary Economics. 2007. Vol. 54. No. 8. P. 2399-2408.
The desirability of fiscal constraints in monetary unions depends critically on whether the monetary authority can commit to following its policies. If it can commit, then debt constraints can only impose costs. If it cannot commit, then fiscal policy has a free-rider problem, and debt constraints may be desirable. This type of free-rider problem is new and arises only because of a time inconsistency problem.
Global Financial Stability Report Financial Market Turbulence:Causes, Consequences, and Policies [статья]
Опубликовано на портале: 23-12-2007Jorge Salazar, Theodore F. Peters, Julio Prego IMF, World Economic and Financial Surveys. 2007.
The Global Financial Stability Report provides semiannual assessments of global financial markets and addresses emerging market financing in a global context.
Опубликовано на портале: 23-12-2007Lamin Leigh, Richard Podpiera IMF ,Working Paper. 2006. No. 06/292.
The recent wave of foreign investment in China’s banks and the prospects of further opening of the banking sector under the WTO agreement suggest that foreign banks are likely to play an increasingly important role in China. This paper takes stock of the involvement of foreign banks in the Chinese banking sector in the perspective of international experience. While in most other countries foreign bank entry took the form of direct takeover or majority shareholding, foreign investments in China’s banks have been minority shareholdings with very limited management involvement. The paper concludes that China appears to be well positioned to benefit from further opening of the banking sector to foreign investors. International experience suggests that greater competition from and participation of foreign banks can in general bring important benefits if appropriate incentives and sufficient opportunities are created.
Financial Integration in Asia: Estimating the Risk-Sharing Gains for Australia and Other Nations [статья]
Опубликовано на портале: 22-12-2007Benoît Mercereau IMF, Working Paper. 2006. No. 06/267.
Holding foreign assets reduces the volatility of a country’s income by allowing countries to share risk. Yet, financial integration is limited in Asia. This paper estimates how much Australia and other countries in the Asia-Pacific region would gain from greater financial integration. The results suggest that these welfare gains are large, which argues in favor of a progressive capital account liberalization across the region.
Опубликовано на портале: 22-12-2007Manmohan Singh, Abhisek Banerjee IMF, Working Paper. 2006. No. 06/249.
The paper finds significant deviations between short-term emerging market real interest rates and world real interest rates primarily due to the inflationary expectations of the local investor base. We test for long-run real interest convergence in emerging markets using a time varying panel unit root test proposed by Pesaran to capture the improved macro-economic fundamentals since early 1990s. We also estimate the speed of convergence in the presence of a shock. The paper suggests that real interest rates in the emerging markets show some convergence in the long run but real interest parity does not hold. Our results also find that the speed of adjustment of real rates to a shock is estimated to differ significantly across the emerging markets. Measured by their half-life, some emerging markets in Asia, E.Europe and S.Africa, where real interest rates are generally low, take much longer to adjust than where real interest rates are generally high (Latin America, Turkey). From a policy perspective, encouraging foreign investors to take direct exposure at the short end of the local debt market could lower the real interest rates in some emerging markets.
Опубликовано на портале: 17-12-2007Bartosz Maćkowiak Journal of Monetary Economics. 2007. Vol. 54. No. 8. P. 2512-2520.
Estimated structural VARs show that external shocks are an important source of macroeconomic fluctuations in emerging markets. Furthermore, U.S. monetary policy shocks affect interest rates and the exchange rate in a typical emerging market quickly and strongly. The price level and real output in a typical emerging market respond to U.S. monetary policy shocks by more than the price level and real output in the U.S. itself. These findings are consistent with the idea that “when the U.S. sneezes, emerging markets catch a cold.” At the same time, U.S. monetary policy shocks are not important for emerging markets relative to other kinds of external shocks.
The Impact of Monetary Policy on the Exchange Rate: Evidence from Three Small Open Economies [статья]
Опубликовано на портале: 17-12-2007Jeromin Zettelmeyer Journal of Monetary Economics. 2004. Vol. 51. No. 3. P. 635-652.
This paper studies the impact effect of monetary policy shocks on the exchange rate in Australia, Canada, and New Zealand during the 1990s. Shocks are identified by the reaction of three month market interest rates to policy announcements that were not themselves endogenous to economic news on the same day. The main result is that a 100 basis point contractionary shock will appreciate the exchange rate by 2–3 percent on impact. The association of interest rate hikes with depreciations that is sometimes observed during periods of exchange market pressure is mainly attributable to reverse causality.
Опубликовано на портале: 17-12-2007G.C. Lim, Paul D. McNelis Journal of Economic Dynamics and Control. 2007. Vol. 31. No. 11. P. 3699-3722.
This paper examines the welfare implications of managing asset-price with consumer-price inflation targeting by monetary authorities who have to learn the laws of motion for both inflation rates. The central bank can reduce the volatility of consumption as well as improve welfare more effectively if it adopts state-contingent Taylor rules aimed at inflation and Q-growth targets in this learning environment. However, under perfect model certainty, pure inflation targeting dominates combined consumer and asset-price inflation targeting.
Expenditure Switching versus Real Exchange Rate Stabilization: Competing Objectives for Exchange Rate Policy [статья]
Опубликовано на портале: 17-12-2007Michael B. Devereux, Charles M. Engel Journal of Monetary Economics. 2007. Vol. 54. No. 8. P. 2346-2374.
This paper develops a view of exchange rate policy as a trade-off between the desire to smooth fluctuations in real exchange rates so as to reduce distortions in consumption allocations, and the need to allow flexibility in the nominal exchange rate so as to facilitate terms of trade adjustment. We show that optimal nominal exchange rate volatility will reflect these competing objectives. The key determinants of how much the exchange rate should respond to shocks will depend on the extent and source of price stickiness, the elasticity of substitution between home and foreign goods, and the amount of home bias in production. Quantitatively, we find the optimal exchange rate volatility should be significantly less than would be inferred based solely on terms of trade considerations. Moreover, we find that the relationship between price stickiness and optimal exchange rate volatility may be non-monotonic.
Опубликовано на портале: 16-12-2007I. McAvinchey, W.D. McCausland Journal of Policy Modeling. 2007. Vol. 29. No. 6. P. 869-877.
This paper looks at the impact of the UK joining the Euro on compatibility between the UK and the Euro zone. We construct a theoretical model to capture such effects, and then estimate the model using data from the period 1980–1999 (the period covering the existence of the ECU and the Euro). Particular attention is paid to the actual dynamics of the system and the important roles of monetary and fiscal policy. We find that the dynamic path of the UK and Euro members is stable and that UK monetary policy is in line with that of its Euro zone neighbours in a way that would be close to that expected if the UK were already a member of the Euro zone.
Опубликовано на портале: 16-12-2007Cindy Moons, Harry Garretsen, Bas van Aarle, Jorge Fornero Journal of Policy Modeling. 2007. Vol. 29. No. 6. P. 879-902.
This paper analyzes monetary policy in a stylized New-Keynesian model. A number of issues are focused upon: (i) optimal monetary policy under commitment or discretion versus ad-hoc monetary policy based on simple rules, (ii) the effects of fiscal policies and foreign variables on monetary policy, (iii) the effects of fiscal deficit and interest rate smoothing objectives and the role of forward-backward linkages in the model. The model is estimated for the Euro Area. Using simulations of the estimated model, it is analyzed how these aspects might affect monetary policy of the ECB and macroeconomic fluctuations in the Euro Area.
Опубликовано на портале: 16-12-2007Bartosz Maćkowiak Journal of Economic Dynamics and Control. 2007. Vol. 31. No. 10. P. 3321-3347.
This paper explains a currency crisis as an outcome of a switch in how monetary policy and fiscal policy are coordinated. The paper develops a model of an open economy in which monetary policy starts active, fiscal policy starts passive and, in a particular state of nature, monetary policy switches to passive and fiscal policy switches to active. The probability of the regime switch is endogenous and changes over time together with the state of the economy. The regime switch is preceded by a sharp increase in interest rates and causes a jump in the exchange rate. The model predicts that currency composition of public debt affects dynamics of macroeconomic variables. Furthermore, the model is consistent with evidence from recent currency crises, in particular small seigniorage revenues.
The Optimal Level of International Reserves for Emerging Market Countries: Formulas and Applications [статья]
Опубликовано на портале: 13-12-2007Olivier Jeanne, Romain Ranciere IMF, Working Paper. 2006. No. 06/229.
The paper presents a model of the optimal level of international reserves for a small open economy that is vulnerable to sudden stops in capital flows. Reserves allow the country to smooth domestic absorption in response to sudden stops, but yield a lower return than the interest rate on the country’s long-term debt. We derive a formula for the optimal level of reserves, and show that plausible calibrations can explain reserves of the order of magnitude observed in many emerging market countries. However, the recent buildup of reserves in Asia seems in excess of what would be implied by an insurance motive against sudden stops.
Опубликовано на портале: 13-12-2007Julian Berengaut, Katrin Elborgh-Woytek IMF, Working Paper. 2006. No. 06/226.
Against the background of the theory of optimum currency areas, the paper analyzes possible sequences for establishing a currency union (CU) in the Middle East and Central Asia region. Between the corner solutions of independent currencies for all countries in the region and a CU comprising all countries, a large number of combinations of member countries in the CU is possible. The analysis aims to determine the composition of potential CUs as a function of the country initiating the CU, an exogenously determined number of currencies in the region, and the weight attached to the particular selection criteria. Within this framework, the study seeks to establish whether some countries are consistently selected at early stages of the process, while others join only at later stages.
Опубликовано на портале: 13-12-2007Amadou N. R. Sy IMF ,Working Paper. 2006. No. 06/214.
This study assesses the degree of financial integration in the West African Economic and Monetary Union (WAEMU). The structure of the financial sector and its institutional arrangements indicate that financial integration is well advanced in some aspects. Common and foreign ownership of banks is very high and cross-border transactions are frequent in the government securities markets. Common institutions help achieve a high degree of similarity of rules. There is nonetheless scope for further financial integration as indicated by persistent deviations from the law of one price, limited cross-border bank transactions, and differences in treatment. Policy measures could therefore help achieve greater financial convergence.
Опубликовано на портале: 03-12-2007Lorenzo Bini Smaghi Journal of Policy Modeling. 2007. Vol. 29. No. 5. P. 711-727 .
In the article I discuss some possible explanations for two features of financial globalization over recent years; first, the fact that expected returns have fallen significantly in advanced countries, even though economic growth has accelerated; and second, the fact that capital is flowing from poor to rich countries rather than the other way round, a phenomenon known in the literature as the “Lucas Paradox”. The “incomplete” nature of globalization, notably the persistent differences in institutional quality between North and South, might explain both puzzles as well as the emergence of global imbalances. Alternative explanations based on a fall in risk premia and accommodative monetary policy conditions fit the facts less well. I then discuss the implications for monetary policy.