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Real Exchange Rates and Productivity Growth in the United States and Japan
Marston, Richard C. - 1986
United States relative to Japan. High productivity growth in the traded sector of the Japanese economy results in a … continuous fall in the prices of traded goods relative to nontraded goods in Japan. In order to keep U.S. traded goods …
Persistent link: https://www.econbiz.de/10012477152
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Determinants of the Japan Premium : Actions Speak Louder Than Words
Peek, Joe - 1999
U.S. and U.K. competitors. This so-called Japan premium' provides a market indicator of investor anxiety about the … ability of Japanese banks to repay loans. We examine the determinants of the Japan premium and find that government … Japanese government, such as injections of funds into the banking system, tended to have an effect on the size of the Japan …
Persistent link: https://www.econbiz.de/10012471539
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Market-specific and Currency-specific Risk During the Global Financial Crisis : Evidence from the Interbank Markets in Tokyo and London
Fukuda, Shin-ichi - 2011
This paper explores how international money markets reflected credit and liquidity risks during the global financial crisis. After matching the currency denomination, we investigate how the Tokyo Interbank Offered Rate (TIBOR) was synchronized with the London Interbank Offered Rate (LIBOR)...
Persistent link: https://www.econbiz.de/10012461695
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Is Numerairology the Future of Monetary Economics? Unbundling numeraire and medium of exchange through a virtual currency and a shadow exchange rate
Buiter, Willem H. - 2007
The paper discusses some fundamental problems in monetary economics associated with the determination and role of the numeraire. The issues are introduced by formalising a proposal, attributed to Eisler, to remove the zero lower bound on nominal interest rates by unbundling the numeraire and...
Persistent link: https://www.econbiz.de/10012465817
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Long-run Income and Interest Elasticities of Money Demand in the United States
Hoffman, Dennis - 1989
This study investigates the stability of long-run log-linear demand functions for narrowly defined monetary aggregates (M1, Monetary Base) in the U.S. during the post World War II period. The hypotheses that the individual time series which appear in such equations (real M1, real Monetary Base,...
Persistent link: https://www.econbiz.de/10012476104
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The Federal Funds Market, Pre- and Post-2008
Swanson, Eric T. - National Bureau of Economic Research - 2022
This chapter provides an overview of the federal funds market and how the equilibrium federal fund rate is determined. I devote particular attention to comparing and contrasting the federal funds market before and after 2008, since there were several dramatic changes around that time that...
Persistent link: https://www.econbiz.de/10012938731
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What Hurts Most? G-3 Exchange Rate or Interest Rate Volatility
Reinhart, Carmen M. - 2001
With many emerging market currencies tied to the U.S. dollar either implicitly or explicitly, movements in the exchange values of the currencies of major countries have the potential to influence the competitive position of many developing countries. According to some analysts, establishing...
Persistent link: https://www.econbiz.de/10012470183
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Modeling and Forecasting Realized Volatility
Andersen, Torben G. - 2001
This paper provides a general framework for integration of high-frequency intraday data into the measurement forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting financial asset return volatilities, correlations, and...
Persistent link: https://www.econbiz.de/10012470566
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G3 Exchange Rate Relationships : A Recap of the Record and a Review of Proposals for Change
Clarida, Richard H. - 1999
This paper is a recap of G3 exchange rate relationships since the collapse of Bretton Woods and an analysis of recent proposals for changing the way the G3 countries currently conduct exchange rate policy. We seek to understand these proposals in the context of the status quo monetary policies...
Persistent link: https://www.econbiz.de/10012471348
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Japan's Big Bang and the Transformation of Financial Markets
Ito, Takatoshi - 1999
A first step in the 'big bang' markets was the deregulation of the foreign exchange market on April 1, 1998. This paper examines how the bid-ask spread and conditional volatility in the yen/dollar foreign exchange market changed around the time of the deregulation. Intra-day data are analyzed...
Persistent link: https://www.econbiz.de/10012471543