The paper aims to develop understanding of why and how central banks have intervened in foreign exchange markets, and whether intervention was (i) coordinated, (ii) sterilized, and (iii) effective. The experience in the G-3 context is compared with the past EMS experience. In addition to foreign...

Little is known about the adequacy of changes in reserves as a proxy for intervention despite its use in computing exchange market pressure index. This paper demonstrates the co-movement between monthly reserves changes and intervention is governed by intervention amount, the frequency of the...

Fujiki (2003, 2006) extends the Freeman (1996) model to a two-country model, and demonstrates that elastic money supplies in foreign exchange markets yield efficiency gains in monetary equilibrium, and that several institutional designs achieve the desired elastic money supplies equally. This...

This paper finds that limited exchange rate flexibility in the form of "fear of appreciation" significantly slows adjustment of current account imbalances, providing novel support for Friedman's conjecture regarding exchange-rate flexibility. We present a new stylized fact: floaters have faster...

This paper develops a new econometric framework to estimate and classify exchange rate regimes. They are classified into four distinct categories: fixed exchange rates, BBC (band, basket and crawl), managed floating, and freely floating. The procedure captures the patterns of exchange rate...

Tiny changes in the American monetary policy can have dramatic effects on the rest of the world because of dollar's double role of national and international currency. This is the Triffin dilemma. The paper shows how it works through three examples: price of commodities, dollarization, and the...

The paper examines the relationship between central bank interventions in the dollar-deutschmark market and the profitability of technical trading for the period 1979-1992. While previous work on this topic focused on the interventions of the Fed, we include data on Bundesbank interventions and...

In this study we compare the quality and information content of risk neutral densities obtained by various methods. We consider a non-structural method, based on a mixture of log-normal densities, and the semi-nonparametric ones, based on an Hermite approximation of Abken, Madan, Milne, and...