Showing 1 - 10 of 522
Anchoring of inflation expectations is of paramount importance for central banks' ability to deliver stable inflation and minimize price dispersion. Relying on daily interest rates and inflation forecasts from major financial institutions in the United States, we calculate monetary policy...
Persistent link: https://www.econbiz.de/10012392613
Rational speculation in foreign exchange trading is often assumed to dampen exchange rate fluctuations by bringing the market back to fundamentals. Nevertheless, information congestion provides incentives for traders to follow positive feedback strategies which result in persistent and volatile...
Persistent link: https://www.econbiz.de/10014398036
We re-examine the monetary approach to the exchange rate from a number of perspectives, using monthly data on the deutschemark-dollar exchange rate. Using the Campbell-Shiller technique for testing present value models, we reject the restrictions imposed upon the data by the forward-looking...
Persistent link: https://www.econbiz.de/10014395316
Exchange rate reforms in developing countries have often aimed at floating the exchange rate in an attempt to unify the official and parallel markets for foreign exchange. This paper examines the anticipatory dynamics associated with such reforms. The analysis shows that if the future unified...
Persistent link: https://www.econbiz.de/10014398500
This paper investigates international co-movement in bond yields by testing for uncovered interest parity (UIP). Existing work is supplemented by focusing on long instead of short-term interest rates and by employing exchange rate expectations derived from purchasing power parity (PPP) instead...
Persistent link: https://www.econbiz.de/10014400703
The paper models an adjustable peg exchange rate arrangement as a policy rule with an escape clause under which the timing and magnitudes of realignments are the outcomes of policy optimization decisions. Under the assumptions that market participants are rational, risk averse, and fully...
Persistent link: https://www.econbiz.de/10014395996
This paper presents a brief survey of the empirical literature on survey-based exchange rate expectations. The literature in general supports the presence of a non-zero risk premium and rejects the hypothesis of rational expectations. The crucial result is that, while short-run expectations tend...
Persistent link: https://www.econbiz.de/10014396356
The composition of Japan's current account balance has changed over time, with an increasing income balance primarily … reflecting a growing net foreign asset position and higher corporate saving. A comparison of Japan's income balance with peer … countries highlights: (i) relatively high yields on FDI assets, and (ii) very low FDI liabilities in Japan. Panel estimation is …
Persistent link: https://www.econbiz.de/10012517939
Japan's efforts to reflate the domestic economy and achieve the inflation target. This paper takes a closer look at …
Persistent link: https://www.econbiz.de/10012102082
This paper reexamines some unsettled theoretical and empirical issues regarding the relationship between nominal exchange rates and interest rate differentials and provides a model for the behavior of exchange rates in the long run, where interest rates are determined in the bond market. The...
Persistent link: https://www.econbiz.de/10014400414