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FX funding risks and exchange rate volatility : Korea’s case

Ree, Jack Joo K.; Yoon, Kyoungsoo; Park, Hail - 2012

This paper examines how exchange rate volatility and Korean banks' foreign exchange liquidity mismatches interacted …

Persistent link: https://www.econbiz.de/10009679020

The IMF's Reserves Template and Nominal Exchange Rate Volatility

Gonzalez-Garcia, Jesus - 2006

nominal exchange rate volatility are investigated for 48 countries. Estimation of panel data models indicates that nominal … exchange rate volatility decreases following dissemination of reserves template data while the effects of indebtedness and … reserve adequacy on volatility exhibit statistically significant changes …

Persistent link: https://www.econbiz.de/10014400175

Can Higher Reserves Help Reduce Exchange Rate Volatility?

Nowak, M. - 2004

This paper studies the role of an increase in foreign exchange reserves in reducing currency volatility for emerging … introduced in the regressions to account for other factors affecting exchange rate volatility (monetary and external indicators … exchange rate regime, since the regime can affect both the level of reserves and exchange rate volatility. The results provide …

Persistent link: https://www.econbiz.de/10014402047

International capital flow pressures

Goldberg, Linda S.; Krogstrup, Signe - 2018

This paper presents a new measure of capital flow pressures in the form of a recast Exchange Market Pressure index. The measure captures pressures that materialize in actual international capital flows as well as pressures that result in exchange rate adjustments. The formulation is...

Persistent link: https://www.econbiz.de/10011809564

Unveiling the effects of foreign exchange intervention : a panel approach

Adler, Gustavo; Lisack, Noëmie; Mano, Rui - 2015

We study the effect of foreign exchange intervention on the exchange rate relying on an instrumental-variables panel approach. We find robust evidence that intervention affects the level of the exchange rate in an economically meaningful way. A purchase of foreign currency of 1 percentage point...

Persistent link: https://www.econbiz.de/10011374754

A Markov-Switching Approach to Measuring Exchange Market Pressure

Kumah, Francis Y. - 2007

This paper characterizes exchange market pressure as a nonlinear Markov-switching phenomenon, and examines its dynamics in response to money growth and inflation over three regimes. The empirical results identify episodes of exchange market pressure in the Kyrgyz Republic and confirm the...

Persistent link: https://www.econbiz.de/10014400211

Data Consistency in IMF Publications : Country Staff Reports Versus International Financial Statistics

Cady, John - 2005

Data published in IMF country staff reports and International Financial Statistics (IFS) may differ for identical variables and, at times, users may be unaware of the reasons for these differences and lack the information needed to permit reconciliation. Such discrepancies stem principally from...

Persistent link: https://www.econbiz.de/10014401027

Do Reserve Portfolios Respond to Exchange Rate Changes Using a Portfolio Rebalancing Strategy? : An Econometric Study Using COFER Data

Lim, Ewe-Ghee - 2007

This paper tests whether reserve portfolios respond to exchange rate changes with a portfolio rebalancing strategy, which requires the purchase of depreciating currencies and sale of appreciating ones. The paper finds empirical support for the strategy, in particular that dollar...

Persistent link: https://www.econbiz.de/10014401243

Are Emerging Asia’s Reserves Really too High?

Ruiz-Arranz, Marta - 2008

Empirical analysis does not suggest that reserves are ""too high"" in the majority of Asian countries, though China may be a special case. Much of the reserve increase in Asia can be explained by an optimal insurance model under which reserves provide a steady source of liquidity to cushion the...

Persistent link: https://www.econbiz.de/10014401997

Exchange Rates, Country Preferences, and Gold

Isard, Peter - 1992

This paper provides indirect tests of the hypothesis that exchange rate movements may be largely coterminus with changes in preferences for holding claims on different countries. It is argued that changes in country preferences will be reflected systematically in the price of gold and, hence,...

Persistent link: https://www.econbiz.de/10014398473

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