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Exchange Rate and Output Dynamics Between Japan and Korea

Kang, Sammo; Kim, Soyoung; Wang, Yunjong; Yoon, Deok Ryong - 2003

Japan and Korea are close countries in terms of economic interaction as well as geography. To quantify the impact of …

Persistent link: https://www.econbiz.de/10010295371

Has the link between the spot and forward exchange rates broken down? Evidence from rolling cointegration tests

Kutan, Ali M.; Zhou, Su - 2002

In a recent survey, Engel (1996) reported conflicting results about the cointegration relationship between the spot and forward exchange rates. Applying rolling cointegration tests to the mark, yen, and Swiss franc with respect to the U.S. dollar for the post-80 period, we find that the...

Persistent link: https://www.econbiz.de/10010301206

Purchasing power parity: Granger causality tests for the yen-dollar exchange rate

Schnabl, Gunther; Baur, Dirk - 2001

The paper analyses the causality between the Japanese-US relative export prices and the yen-dollar exchange rate. It explains why the Japanese yen proved strong even during the economic slump of the 1990s. The paper suggests that the appreciation of the Japanese yen forced the Japanese...

Persistent link: https://www.econbiz.de/10010305044

Weak economy and strong currency: The origins of the strong yen in the 1990's

Schnabl, Gunther - 2001

During the 1990's the Japanese yen proved astonishingly strong despite the persisting recession. This paper tracks the origins of the high yen. It analyses the influence of interest rates, prices and foreign exchange policy on the yen-dollar exchange rate. It comes to the conclusion that real...

Persistent link: https://www.econbiz.de/10010305081

Exchange rate dynamics, expectations, and monetary policy

Chen, Qianying - 2011

This paper re-investigates the implications of monetary policy rules on changes in exchange rate, in a risk-adjusted, uncovered interest parity model with unrestricted parameters, emphasizing the importance of modeling market expectations of monetary policy. I use consensus forecasts as a proxy...

Persistent link: https://www.econbiz.de/10010305998

The Stabilizing Properties of Floating Exchange Rates: Some International Evidence

Bergvall, Anders - 2002

This paper analyzes the stabilizing properties of alternative monetary policy regimes. In practice there is a choice between two broad types of monetary policy regimes: a fixed exchange rate regime or a floating exchange rate regime. In this paper I compare exchange rate targeting with different...

Persistent link: https://www.econbiz.de/10010321739

How successful are exchange rate communication and interventions? Evidence from time-series and event-study approaches

Fratzscher, Marcel - 2005

The paper analyses whether communication and actual interventions in FX markets are successful in moving exchange rates over the medium- to long-run. It compares empirical evidence based on time-series analysis with that obtained from an eventstudy approach. Both the time-series approach based...

Persistent link: https://www.econbiz.de/10011604574

A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility

Hillebrand, Eric; Schnabl, Gunther - 2006

left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous …

Persistent link: https://www.econbiz.de/10011604696

Currency Futures and Currency Crises

Röthig, Andreas - 2004

, Canada, Japan, Korea and Switzerland in terms of the US dollar. The empirical results indicate that there is a positive …

Persistent link: https://www.econbiz.de/10010262985

A role model for China?: exchange rate flexibility and monetary policy in Japan

Schnabl, Gunther; Danne, Christian - 2007

Few papers have tried to project how Chinese monetary policy will behave under flexible exchange rates. As Japan … policy after the shift of Japan from a fixed to a floating exchange rate regime. The econometric estimations allow for regime … soften the appreciation pressure by interest rate cuts have led Japan into the liquidity trap. …

Persistent link: https://www.econbiz.de/10010264171

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