This paper evaluates under which conditions different Taylor-type rules lead to determinacy and expectational stability (E-stability) of rational expectations equilibrium in a simple "New Keynesian" small open economy model, developed by Gali and Monacelli (2005). In particular, we extend the...

In this article we test the relationship between per capita income differential and exchange rate differential between two different economic background countries. Recent researches have been done on the testing of international Fisher effect, Interest rate, GDP growth rate and purchasing power...

We examine the economic consequences of an interest-bearing design of the Central-Bank Digital Currency (CBDC), and extend the discussion to an open-economy context with trade and capital flows. We use a dynamic stochastic general equilibrium (DSGE) model to simulate a baseline scenario with...

Testing the international Trilemma traditionally relies on discretely classified exchange rate regimes. This simplification limits the implications drawn for middle-ground policies like managed floats or basket pegs, and inhibits inference on the empirical shape of the exchange rate stability --...

The minmax solution of foreign exchange rates is a consistent efficiency test for micro and macro efficiency. Deviations from the competitive equilibrium lead to persistent devaluation and output declines. The optimal fiscal and monetary policy is estimated with a minimum and shrinking variance...

Using daily data for 1995-99, this paper estimates a simple forward looking model of the exchange rate to show that foreign exchange interventions have, on the whole, had small but persistent effects on the yen-dollar rate. Contrary to conventional wisdom, sterilized interventions have mattered....

In this paper, I have investigated the out of sample forecast performance for a case study on the determination of the nominal exchange rate for USD vis-à-vis IN¬R under VEC, VAR (in first difference) and Bayesian VAR specification with the help of set of economic theories. The forecast...

Korean Abstract: 본고에서는 VAR 모형을 이용하여 물가의 파급단계별 환율전가율을 계측하는 한편 물가행태식모형을 통하여 소비자물가에 대한 장단기 및 동태적 환율전가계수를 추정하였다.VAR 모형 추정결과(외환위기 이후)를...

Korean Abstract: 이 연구는 원/달러 현물환 시장이 환율 자체의 시계열 정보뿐만 아니라 외국인의 주식/채권 순매수 정보를 처리하는 데 효율적인지 여부를 검정한다. 2000~08년 기간 중 연의 검정(Runs Test)과 외국인 유가증권...

Economic theory posits that in a fixed exchange rate regime with unrestricted capital flows, domestic interest rates must track closely those of the country to which the currency is pegged. This paper empirically tests this theory by investigating the sensitivity of interest rates in the Eastern...