The effectiveness of Japanese interventions over the past decade depended in large part on the frequency and size of the transactions. Prior to June 1995, Japanese interventions only had value as a forecast that the previous day's yen appreciation or depreciation would moderate during the...

We present empirical evidence that the Thai exchange rate is driven in part by international investors' cross-border portfolio rebalancing decisions. Our results are based on two comprehensive, daily-frequency datasets of foreign exchange and equity market capital flows undertaken by nonresident...

Explaining exchange rates has long been an important but vexing issue in international economics and finance. In recent years, a number of studies have shown that investors' private information plays a central role in determining exchange rates. We demonstrate in this paper that the private...

This volume is a collection of the speeches, presentations and papers from a conference on "The International Financial Crisis and Policy Challenges in Asia and the Pacific". The event was co-hosted by the People's Bank of China (PBC) and the Bank for International Settlements (BIS) to mark the...

We present empirical evidence that the Thai baht's value is driven in part by investors' cross-border equity portfolio rebalancing decisions. Our results are based on comprehensive datasets of FX and stock market transactions undertaken by nonresident investors in Thailand in 2005 and 2006....

We demonstrate empirically that not all capital flows influence exchange rates equally: Capital flows induced by foreign investors' stock market transactions have both an economically significant and a permanent impact on exchange rates, whereas capital flows induced by foreign investors'...

Since the seminal work of Mandelbrot (1963), alpha-stable distributions with infinite variance have been regarded as a more realistic distributional assumption than the normal distribution for some economic variables, especially financial data. After providing a brief survey of theoretical...