Author:
Publisher: World Bank Publications
ISBN:
Category :
Languages : en
Pages : 36
Book Description
Heglme-switching in Exchange Rate Policy and Balance Sheet Effects
Author:
Publisher: World Bank Publications
ISBN:
Category :
Languages : en
Pages : 36
Book Description
Publisher: World Bank Publications
ISBN:
Category :
Languages : en
Pages : 36
Book Description
Regime-switching in Exchange Rate Policy and Balance Sheet Effects
Author: Norbert M. Fiess
Publisher: World Bank Publications
ISBN:
Category : Devaluation of currency
Languages : en
Pages : 44
Book Description
Publisher: World Bank Publications
ISBN:
Category : Devaluation of currency
Languages : en
Pages : 44
Book Description
Regime-Switching in Exchange Rate Policy and Balance Sheet Effects
Author: Norbert Fiess
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The authors apply regime-switching methods to a monetarist model of exchange rates and identify well-defined intervention policy cycles. The policy response indices include a standard exchange market pressure-based index and a model-based volatility ratio that is endogenized relative to Japan, assumed to be a "benchmark" floater. The authors find strong evidence that balance sheet effects, proxied by the stock ratio of external liabilities to assets, and economic performance, as measured by GDP and stock market indices, determine the cost of the regime shift. They use a panel of quarterly data from 1985 to 2004 for a sample of 15 countries, mostly in East Asia and Latin America.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The authors apply regime-switching methods to a monetarist model of exchange rates and identify well-defined intervention policy cycles. The policy response indices include a standard exchange market pressure-based index and a model-based volatility ratio that is endogenized relative to Japan, assumed to be a "benchmark" floater. The authors find strong evidence that balance sheet effects, proxied by the stock ratio of external liabilities to assets, and economic performance, as measured by GDP and stock market indices, determine the cost of the regime shift. They use a panel of quarterly data from 1985 to 2004 for a sample of 15 countries, mostly in East Asia and Latin America.