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Capital Flows and Exchange Rate Volatility : Singapore'S Experience

Kapur, Basant K. - 2021

Singapore%u2019s experience with international capital flows over the past two decades or so has been a rather %u2013 … system and equities market, and operating on a Currency Board (CB) system (although with some differences from Singapore … time. We next discuss Singapore%u2019s policy background and early experience, and in the light of Hong Kong%u2019s …

Persistent link: https://www.econbiz.de/10013218342

The Yen and its East Asian Neighbors, 1980-1995 : Cooperation or Competition?

Takagi, Shinji - 2021

closely with a depreciating yen, suggesting the countries' emphasis on export promotion. The Singapore dollar, on the other …

Persistent link: https://www.econbiz.de/10013246656

The U.S. Current Account Deficit and the Expected Share of World Output

Engel, Charles M.; Rogers, John H. - 2021

We investigate the possibility that the large current account deficits of the U.S. are the outcome of optimizing behavior. We develop a simple long-run world equilibrium model in which the current account is determined by the expected discounted present value of its future share of world GDP...

Persistent link: https://www.econbiz.de/10013249706

Explaining the Effects of Government Spending Shocks on Consumption and the Real Exchange Rate

Ravn, Morten O. - 2007

Using panel structural VAR analysis and quarterly data from four industrialized countries, we document that an increase in government purchases leads to an expansion in output and private consumption, a deterioration in the trade balance, and a depreciation of the real exchange rate (i.e., a...

Persistent link: https://www.econbiz.de/10012776197

Exchange Rate Changes and Inflation in Post-Crisis Asian Economies : VAR Analysis of the Exchange Rate Pass-Through

Ito, Takatoshi - 2006

Macroeconomic consequences of a large currency depreciation among the crisis-hit Asian economies had varied from one country to another. Inflation did not soar in most Asian countries, including Thailand and Korea, after the exchange rate depreciated during the crisis. Indonesia, however,...

Persistent link: https://www.econbiz.de/10012779646

Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data

Faust, Jon; Rogers, John H.; Swanson, Eric T.; Wright, … - 2021

This paper proposes a new approach to identifying the effects of monetary policy shocks in an international vector autoregression. Using high-frequency data on the prices of Fed Funds futures contracts, we measure the impact of the surprise component of the FOMC-day Federal Reserve policy...

Persistent link: https://www.econbiz.de/10013226543

Sources of Real Exchange Rate Fluctuations : How Important are Nominal Shocks?

Clarida, Richard; Galí, Jordi - 2021

This paper investigates empirically and attempts to identify the sources of real exchange rate fluctuations since the collapse of Bretton Woods. The paper's first two sections survey and extend earlier, non-structural empirical work on this subject by Campbell and Clarida (1987), Meese and...

Persistent link: https://www.econbiz.de/10013237263

Some Empirical Evidence on the Effects of Monetary Policy Shocks on Exchange Rates

Eichenbaum, Martin; Evans, Charles L. - 2021

This paper presents new empirical evidence on the effects of monetary policy shocks on U.S. exchange rates, both nominal and real. Three measures of monetary policy shocks are considered: orthogonalized shocks to the Federal Funds rate, the ratio of Non Borrowed to Total Reserves and the Romer...

Persistent link: https://www.econbiz.de/10013243942

Cointegration and Consumption Risks in Asset Returns

Bansal, Ravi - 2007

We argue that the cointegrating relation between dividends and consumption, a measure of long run consumption risks, is a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks disappear, and the asset's beta is dominated by long run...

Persistent link: https://www.econbiz.de/10012776939

Optimal Value and Growth Tilts in Long-Horizon Portfolios

Jurek, Jakub W. - 2006

We develop an analytical solution to the dynamic portfolio choice problem of an investor with power utility defined over wealth at a finite horizon who faces an investment opportunity set with time-varying risk premia, real interest rates and inflation. The variation in investment opportunities...

Persistent link: https://www.econbiz.de/10012782413

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