This paper uses a microstructure approach to analyze the effectiveness of capital controls introduced in Brazil to counter an appreciation of the Real. Based on a rich data set from the Brazilian foreign exchange market, we estimate a reduced-form VAR to characterize the interaction of the...

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...

In this paper we empirically investigate the relationship between capital flows and exchange rates in India based on a new index of real effective exchange rates for the Indian Rupiah. Instead of using consumer price indices we deflate exchange rates by MSCI asset price indices. The...

Foreign exchange rates, asset prices and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. This paper provides new empirical evidence from an index of exchange-rate adjusted cross-country asset price ratios, which...

Although the ERM II rules allow the Danish krone to fluctuate against the euro within an official target zone of 4.5%, most of the time the exchange rate has remained in a narrow range around its unconditional mean. Estimating a Smooth Transition Autoregression Target Zone (STARTZ) model...

In this paper we extend the standard shock spillover model of Bekaert and Harvey (1997), Baele (2003) and Ng (2000) to account for asymmetries of return and volatility spillover effects from the US equity market into Canada and Mexico. Unlike previous research, we model the conditional...

This paper uses a dynamic general equilibrium optimizing two-country model to analyze how the formation of exchange rate expectations shapes the effects of monetary policy shocks in open economies. The model implies that the short-run output effects of permanent monetary policy shocks diminish...

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...

This Kiel Policy Brief demonstrates the calculation of a new stock market index informing about the price competitiveness of a country's assets vis-à-vis its foreign competitors. In line with the portfolio balance approach we empirically identify net foreign holdings of a country's assets as...

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...