Empirical Study On The Effects Of Monetary Policy On The Exchange Rates
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| Author | : Joonho Chung |
| Publisher | : |
| Total Pages | : 254 |
| Release | : 1998 |
| Genre | : Monetary policy |
| ISBN | : |
This paper empirically investigates the dynamic effects of monetary policy and uncertainty in monetary policy on U.S. dollar exchange rates using a vector autoregression (VAR) methodology. The federal funds rate (FFR) is considered a measure of U.S. monetary policy over the period 1984:3-1996:5 during which the Fed followed a consistent regime of targeting the FFR. The time-varying conditional standard deviation of FFR generated by a first order of autoregressive conditional heteroskedasticity (ARCH) model is used as a measure of uncertainty in U.S. monetary policy. Contractionary shocks to U.S. monetary policy are found to lead to persistent appreciation in both nominal and real dollar exchange rates, a pattern that is inconsistent with the simple overshooting hypothesis proposed by Dornbusch (1976). Increased uncertainty in U.S. monetary policy is found to lead to persistent appreciation in both spot and forward dollar exchange rates. It is found that shocks to uncertainty in monetary policy explain substantial portion of the variation in the dollar exchange rate against major currencies. Comparable results on the effects of the uncertainty in monetary policy are obtained for the United Kingdom. These results support the prediction of intertemporal asset pricing models with cash-in-advance constraints.
| Author | : David G. Dickinson |
| Publisher | : Psychology Press |
| Total Pages | : 316 |
| Release | : 2002 |
| Genre | : Business & Economics |
| ISBN | : 9780415251358 |
Max Fry was known internationally for his research on international and domestic financial issues. This book draws together contributions from a range of academic and policy-making friends and colleagues.
| Author | : Atish R. Ghosh |
| Publisher | : MIT Press |
| Total Pages | : 252 |
| Release | : 2002 |
| Genre | : Business & Economics |
| ISBN | : 9780262072403 |
An empirical study of exchange rate regimes based on data compiled from 150 member countries of the International Monetary Fund over the past thirty years. Few topics in international economics are as controversial as the choice of an exchange rate regime. Since the breakdown of the Bretton Woods system in the early 1970s, countries have adopted a wide variety of regimes, ranging from pure floats at one extreme to currency boards and dollarization at the other. While a vast theoretical literature explores the choice and consequences of exchange rate regimes, the abundance of possible effects makes it difficult to establish clear relationships between regimes and common macroeconomic policy targets such as inflation and growth. This book takes a systematic look at the evidence on macroeconomic performance under alternative exchange rate regimes, drawing on the experience of some 150 member countries of the International Monetary Fund over the past thirty years. Among other questions, it asks whether pegging the exchange rate leads to lower inflation, whether floating exchange rates are associated with faster output growth, and whether pegged regimes are particularly prone to currency and other crises. The book draws on history and theory to delineate the debate and on standard statistical methods to assess the empirical evidence, and includes a CD-ROM containing the data set used.
| Author | : Paul de Grauwe |
| Publisher | : World Scientific |
| Total Pages | : 585 |
| Release | : 2014 |
| Genre | : Business & Economics |
| ISBN | : 9814513199 |
The book covers problems relating to international macroeconomics and international finance. The first part develops new approaches to exchange rate modeling. The second part is a collection of papers on the theory and empirical analysis of monetary unions. The third part contains criticism of the mainstream macroeconomic models and proposes alternative modeling approaches.
| Author | : Mr.Andres Arias Leiva |
| Publisher | : International Monetary Fund |
| Total Pages | : 36 |
| Release | : 2005-02-01 |
| Genre | : Business & Economics |
| ISBN | : 1451860528 |
Based on the observed behavior of monetary aggregates and exchange rates, we classify inflation-stabilization episodes into two categories: de facto exchange rate-based stabilizations (ERBS) and non-ERBS. Unlike the standard de jure ERBS studied in the literature, de facto ERBS encompass cases in which the central bank intervenes in the foreign exchange market but does not preannounce the use of an exchange rate anchor. The number of the de facto ERBS is twice as large as that of de jure ERBS. Output dynamics during disinflation do not differ significantly between these two groups. We conclude that empirical studies on the effects of exchange rate anchors must seek to disentangle the effects of their announcement from those related to their role in the remonetization process.
| Author | : Ronald MacDonald |
| Publisher | : Routledge |
| Total Pages | : 278 |
| Release | : 2002-09-26 |
| Genre | : Business & Economics |
| ISBN | : 1134838212 |
'In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.' "Journal of International Economics"
| Author | : Naoyuki Yoshino |
| Publisher | : Oxford University Press, USA |
| Total Pages | : 345 |
| Release | : 2019 |
| Genre | : Business & Economics |
| ISBN | : 0198838107 |
Barely two decades after the Asian financial crisis Asia was suddenly confronted with multiple challenges originating outside the region: the 2008 global financial crisis, the European debt crisis, and finally developed economies' implementation of unconventional monetary policies. The implementation of quantitative easing, ultra-low interest rate policies, and negative interest rate policies by a number of large central banks has given rise to concerns over financial stability and international capital flows. Macroeconomic Shocks and Unconventional Monetary Policy: Impacts on Emerging Markets explains how shocks stemming from the global financial crisis have affected macroeconomic and financial stability in emerging Asia. Macroeconomic Shocks and Unconventional Monetary Policy: Impacts on Emerging Markets brings together the most up-to-date knowledge impacts of recent macroeconomic shocks on Asia's real economy; the spillover effects of macroeconomic shocks on financial markets and flows in Asia; and key challenges for monetary, exchange rate, trade and macro prudential policies of developing Asian economies. It is authored by experts in the field of international macroeconomics from leading academic institutions, central banks, and international organizations including the International Monetary Fund, the Bank for International Settlement, and the Asian Development Bank Institute.
| Author | : Mr.Jeronimo Zettelmeyer |
| Publisher | : INTERNATIONAL MONETARY FUND |
| Total Pages | : 45 |
| Release | : 2000-08-01 |
| Genre | : Business & Economics |
| ISBN | : 9781451856170 |
This paper studies the impact effect of monetary policy shocks—identified by the reaction of three month market interest rates to policy announcements—on the exchange rate in Australia, Canada, and New Zealand during the 1990s. The main results are that (1) on average, a 100 basis point contractionary shock will appreciate the exchange rate by 2-3 percent on impact; (ii) seemingly “perverse” reactions of the exchange rate to monetary policy are mainly attributable to reverse causality; (iii) in a few instances, there were true “perverse” reactions of exchange rates to policy— generally, appreciations following expansionary shocks.
| Author | : Rebecca Driver |
| Publisher | : Routledge |
| Total Pages | : 436 |
| Release | : 2013-04-15 |
| Genre | : Business & Economics |
| ISBN | : 1134261985 |
Combining thorough scholarship with illuminating real-world examples, this edited collection provides insights on the causes and consequences of movements in both exchange rates and external assets and has a strong focus on the policy implications of operating in an open economy, particularly the choice of exchange rate and monetary policy, exchange rate intervention and policies on capital mobility.
| Author | : Y. Barroux |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 252 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 9401578524 |
Patrick Artus and Yves Barroux The Applied Econometric Association organised an international conference on "Monetary and Financial Models" in Geneva in January 1987. The purpose of this book is to make available to the public a choice of the papers that were presented at the conference. The selected papers all deal with the setting of monetary targets and the effects of monetary policy on the economy as well as with the analysis of the financial behaviours of economic agents. Other papers presented at the same conference but dealing with the external aspects of monetary policy (exchange rate policy, international coordination of economic policies, international transmission of business cycles, . . . ) are the matter of a distinct publication. The papers put together to make up this book either are theoretical research contributions or consist of applied statistical or econometric work. It seemed to be more logical to start with the more theoretical papers. The topics tackled in the first two parts of the book have in common the fact that they appeared just recently in the field of economic research and deal with the analysis of the behaviour of Central Banks. They analyse this behaviour so as to be able to exhibit its major determinants as well as revealed preferences of Central Banks: this topic comes under the caption "optimal monetary policy and reaction function of the monetary authorities".
