Similar Search Results

Monetary policy independence in the ERM: was there any?

Edison, Hali J.; MacDonald, Ronald - Federal Reserve Board (Board of Governors of the … - 2000

Recently proposals for introducing greater exchange rate fixity into the behavior of key exchange rates have become fashionable. One proposal, for example, suggests that a target zone arrangement for the dollar, mark and yen would represent a desirable reform of the international monetary...

Persistent link: https://www.econbiz.de/10005712641

Taxation of capital gains on foreign exchange transactions and the non- neutrality of changes in anticipated inflation

Schinasi, Garry J. - Federal Reserve Board (Board of Governors of the … - 1986

In a two-country world with perfect capital markets and no taxes, the existence of purchasing power parity is fully consistent with interest party and the equalization of real interest rates across countries. In such a world, changes in anticipated inflation in either country will not alter the...

Persistent link: https://www.econbiz.de/10005712659

Output and the real exchange rate in developing countries: an application to Mexico

Kamin, Steven B.; Rogers, John H. - Federal Reserve Board (Board of Governors of the … - 1997

disentangle the possible factors underlying this correlation--(1) reverse causation from output to the real exchange rate, (2 … output, we conclude that even after sources of spurious correlation and reverse causation are controlled for, real …) spurious correlation with third factors such as capital account shocks, and (3) temporary contractionary effects of devaluation …

Persistent link: https://www.econbiz.de/10005712689

Purchasing power parity: three stakes through the heart of the unit root null

Higgins, Matthew; Zakrajsek, Egon - Federal Reserve Board (Board of Governors of the … - 2000

. First, we consider two panel unit root tests, based on transformations of country-specific statistics, which allow for …

Persistent link: https://www.econbiz.de/10005394052

An international arbitrage pricing model with PPP deviations

Levine, Ross - Federal Reserve Board (Board of Governors of the … - 1986

reduced form equations which can be used to examine such issues as capital market segmentation, currency substitution … stochastic differential equations which describe the dynamic paths of a vector of state variables, prices, and PPP deviations … equation of the risk premium is derived which will allow researchers to uncover the risk premium's economic determinants. …

Persistent link: https://www.econbiz.de/10005368178

Are banks market timers or market makers? Explaining foreign exchange trading profits

Ammer, John; Brunner, Allan D. - Federal Reserve Board (Board of Governors of the … - 1994

We analyze the foreign exchange trading earnings of large U.S commercial banks over the past several years. In particular, we use several approaches to try to determine to what extent these profits can be attributed either to position-taking by banks or to the provision of intermediation...

Persistent link: https://www.econbiz.de/10005368237

Tests of the foreign exchange risk premium using the expected second moments implied by option pricing

Lyons, Richard K. - Federal Reserve Board (Board of Governors of the … - 1986

This paper applies a new method to investigate the foreign exchange risk premium. The method is new in the sense that it utilizes the time-varying second moment expectations implied by foreign currency option pricing. The vast empirical literature on the risk premium generally neglects the role...

Persistent link: https://www.econbiz.de/10005368315

The profitability of U.S. intervention

Leahy, Michael P. - Federal Reserve Board (Board of Governors of the … - 1989

In this paper I address some of the issues associated with measuring the profits and losses from intervention and show that U.S intervention since the beginning of generalized floating in 1973 has earned positive economic profits for the U.S. monetary authorities. Profitability has been largest...

Persistent link: https://www.econbiz.de/10005368421

Determining foreign exchange risk and bank capital requirements

Leahy, Michael P. - Federal Reserve Board (Board of Governors of the … - 1991

correlation patterns of exchange rates. The third measure uses nonparametric methods to determine capital requirements. The third …

Persistent link: https://www.econbiz.de/10005368422

The use of the parallel market rate as a guide to setting the official exchange rate

Ghei, Nita; Kamin, Steven B. - Federal Reserve Board (Board of Governors of the … - 1996

This paper addresses the merits of using the parallel exchange rate as a guide to setting the official exchange rate. Ideally, policymakers would set the exchange rate at the level that would balance trade and sustainable capital flows--that level is referred to as the equilibrium exchange rate....

Persistent link: https://www.econbiz.de/10005368428

1
2
3
4
5
6
7
8
9
10
Next
Last