Some recent studies suggest the post-Bretton Woods period offers a sample that is far too short to reveal any significant evidence on purchasing power parity reversion in individual series of real exchange rates. This study shows that the post-Bretton Woods data contain substantial information...

After a long period of pegged, crawling or managed rates, Indonesia, Korea and Thailand have switched de jure to floating regimes after the 1997 Asian crisis. We focus on two issues: the volatility of exchange rates and the regime effect. Filters and GARCH type volatility models are applied to...

This paper examines the long-run validity of purchasing power parity (PPP) for four high-inflation countries. The method of Zivot and Andrews (1992) is employed to detect the time-series behavior of the exchange rates and consumer price indices of these countries. We find that these variables...

In this paper we test for the short-term impact of foreign exchange intervention on both the level of the yen/dollar exchange rate and the volatility in the yen/dollar markets. Using newly released data on Japanese foreign exchange intervention, our global GARCH estimation suggests that Japanese...

In this paper we test for the short-term impact of foreign exchange intervention on both the level of the yen/dollar exchange rate and the volatility in the yen/dollar markets. Using newly released data on Japanese foreign exchange intervention, our global GARCH estimation suggests that Japanese...

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 event-study approach. Both the time-series approach based...

The long run relationship between current account balance (CAB) and capital account balance (KAB) and the repercussions of capital account convertibility (KAC) on growth process of a country is a much debated issue. In particular, in the aftermath of the Southeast Asian crisis, the limitation of...

This research uses spectral methodology to study how the volatility of spot exchange rate misalignments changed as a result of (1) signing of the Plaza Accord and (2) introduction of the Euro. We study the deviations of Canadian Dollar/US Dollar, Japanese Yen/US Dollar and US Dollar/British...

Over the last two decades the intensity of credit standards' tightening during economic contractions has exceeded their easing during expansions among euro area banks. This mechanism is fed by the boom-bust cycle of credit that, as much research has shown, is linked to financial instability with...

Starting in the mid 1980s, the level and volatility of inflation decreased across industrial countries. The inflation stabilization can be explained by a shift in monetary policy or by a lucky period of low volatility in business cycle shocks. To test the "good luck hypothesis", we examine the...