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The credibility of Hong Kong's currency board system: Looking through the prism of MS-VAR models with time-varying transition probabilities
Blagov, Boris; Funke, Michael - 2014
so employs a Markov regime-switching VAR model to describe and analyse the time-varying credibility of Hong Kong … enables us to determine which changes in macroeconomic variables can trigger switches between the low and high credibility …. We find strong evidence of regime switching behaviour that portrays the timevarying nature of credibility in the …
Persistent link: https://www.econbiz.de/10012148732
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Does the nominal exchange rate regime affect the real interest parity condition?
Dreger, Christian - 2008
The real interest partity (RIP) condition combines two cornerstones in international finance, uncovered interest parity (UIP) and ex ante purchasing power parity (PPP). The extent of deviation from RIP is therefore an indicator of the lack of product and financial market integration. This paper...
Persistent link: https://www.econbiz.de/10010291771
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How optimal are the extremes? Latin American exchange rate policies during the Asian crisis
Ffrench-Davis, Ricardo; Larraín, Guillermo - 2002
in the band’s credibility, associated to policy mismanagement and an over-appreciation in the biennium before the crisis …
Persistent link: https://www.econbiz.de/10010279196
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Does the nominal exchange rate regime affect the long Run properties of real exchange rates?
Dreger, Christian; Girardin, Eric - 2007
This paper examines whether the behaviour of the real exchange rate is associated with a particular regime for the nominal exchange rate, like fixed and flexible exchange rate arrangements. The analysis is based on 16 annual real exchange rates and covers a long time span, 1870-2006. Four...
Persistent link: https://www.econbiz.de/10010264984
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Trilemma policy convergence patterns and output volatility
Aizenman, Joshua; Ito, Hiro - 2012
We examine the open macroeconomic policy choices of developing economies from the perspective of the economic 'trilemma' hypothesis. We construct an index of divergence of the three trilemma policy choices, and evaluate its patterns in recent decades. We find that the three dimensions of the...
Persistent link: https://www.econbiz.de/10010288150
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Time-varying credibility, anchoring and the Fed's inflation target
Diegel, Max - 2022
This paper analyzes the time-varying credibility of the Fed's inflation target in an empirical macro model with … across monetary policy regimes. I find that imperfect credibility is pronounced during the Volcker Disinflation and to a …
Persistent link: https://www.econbiz.de/10013477187
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De facto currency baskets of China and East Asian economies: The rising weights
Fang, Ying; Huang, Shicheng; Niu, Linlin - 2012
We employ Bayesian method to estimate a time-varying coefficient version of the de facto currency basket model of Frankel and Wei (2007) for the RMB of China, using daily data from February 2005 to July 2011. We estimate jointly the implicit time-varying weights of all 11 currencies in the...
Persistent link: https://www.econbiz.de/10012148657
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Global business cycles: convergence or decoupling?
Kose, M. Ayhan; Otrok, Christopher M.; Prasad, Eswar S. - 2008
This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups: industrial countries, emerging markets, and other developing economies. Using a dynamic factor model, we then decompose...
Persistent link: https://www.econbiz.de/10010298739
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How interdependent are Eastern European economies and the Euro area?
Prettner, Catherine; Prettner, Klaus - 2014
This article investigates the interrelations between the Euro area and five Central and Eastern European economies. Using an open economy framework, we derive theoretical restrictions to be imposed on the cointegration space of a structural vector error correction model. We employ generalized...
Persistent link: https://www.econbiz.de/10010332138
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Fiscal stimulus in times of high debt: reconsidering multipliers and twin deficits
Nickel, Christiane; Tudyka, Andreas - 2013
We investigate the impact of fiscal stimuli at different levels of the government debt-to-GDP-ratio for a sample of 17 European countries from 1970 to 2010. This is implemented in an interacted panel VAR framework in which all coefficient parameters are allowed to change continuously with the...
Persistent link: https://www.econbiz.de/10011605558