This paper presents evidence on the accuracy of press reports regarding the foreign exchange market interventions conducted by the Bank of Japan (BoJ) between January 1995 and December 1999. We find that the reports of interventions in the financial press are a relatively inaccurate indicator...

Previous studies have mainly used reports in the financial press to analyze the link between the interventions of the Bank of Japan (BoJ) and exchange rate volatility. We use official intervention data for the period 1993-2000 that were released only recently by the BoJ and find that the...

We use the event-study methodology to analyze the effectiveness of the foreign exchange market interventions conducted by the Swiss National Bank (SNB) during the period from 1986 through 1995. We find some evidence that the interventions of the SNB had an impact on exchange rate dynamics. The...

Komplexe Aktien- und Wechselkurstrajektorien werden im Rahmen eines nichtlinearen dynamischen makroökonomischen Modells mit träger Outputanpassung am Gütermarkt und heterogener Erwartungsbildung auf den Assetmärkten abgeleitet. Die Implikationen des Aufeinandertreffens von Chartisten und...

Chartist and fundamentalist models have proven to be capable of replicating stylized facts on speculative markets. In general, this is achieved by specifying nonlinear interactions of otherwise linear asset price expectations of the respective trader groups. This paper investigates whether or...

The paper derives a valuation formula for the real option of a firm to undertake an irreversible investment in a foreign economy based on the endogenous dynamics of a stochastic macroeconomic framework with sluggish price adjustment. The option valuation formula is implemented to analyze the...

This paper elaborates on the link between financial market volatility and real economic activity. Using monthly data for Germany from 1968 to 1998, we specify GARCH models to capture the variability of stock market prices, of the real exchange rate, and of a long-term and of a short-term rate of...

Capital flight has characterized the transformation process in Russia. Inflows of foreign direct investment have been minor and have been preceeded by inflows of portfolio capital. The paper shows that uncertainty about macroeconomic stabilization exhibits a strong negative effect on the volume...

This paper discusses whether the implementation of a tax on short-term capital flows can make the transition economies of Central and Eastern Europe less vulnerable to adverse external shocks and to sudden withdrawals of foreign capital. The following section outlines the main arguments which...

Freier internationaler Kapitalverkehr kann eine Reihe von positiven Effekten auf die wirtschaftliche Entwicklung haben. Kapital wird in die produktivsten Investitionsprojekte gelenkt, Investitionsrisiken werden gestreut, neue Technologien verbreitet, und effiziente Finanzsysteme können sich...