This paper uses data-rich estimation techniques to study monetary policy in an open economy. We apply the techniques to a small, forward-looking model and explore the importance of the exchange rate in the monetary policy rule. This approach allows us to discern whether a monetary authority...

This study has found an empirical support of Purchasing Power Parity (PPP) theory for an East Asia transition economy – Cambodia. It is based on the results of cointegration among KHR/USD, Cambodia CPI, and world CPI over the monthly period May 2001-February 2009. This finding is useful...

Between 2002 and 2008, the Canadian dollar appreciated in real terms against the US dollar by 60 percent. This large change in real exchange rates between such major trading partners as Canada and the US is almost unprecedented. This paper explores the historical background to the movement of...

This paper analyzes the implications of a production technology in developed countries (DC) characterized by the share of imported raw materials coming from the less developed countries (LDC). We focus on the question of how this richer productive structure affects the international transmission...

In theory, nominal exchange rate movements can lead to “expenditure switching” when they generate changes in the relative prices of goods across countries. This paper explores whether the expenditure-switching role of exchange rates has changed in the current episode of significant global...

This paper develops a model for understanding end-user order flow in the FX market. The model addresses several puzzling findings. First, the estimated price-impact of flow from different end-user segments is, dollar-for-dollar, quite different. Second, order flow from segments traditionally...

This paper provides an overview of the recent literature on Foreign Exchange Market Microstructure. Its aim is not to survey the literature, but rather to provide an introductory tour to the main theoretical ideas and empirical results. The central theoretical idea is that trading is an integral...

This paper compares the true, ex-ante forecasting performance of a micro-based model against both a standard macro model and a random walk. In contrast to existing literature, which is focused on longer horizon forecasting, we examine forecasting over horizons from one day to one month (the...

Three of the most important recent facts in global macroeconomics - the sustained rise in the US current account deficit, the stubborn decline in long run real rates, and the rise in the share of US assets in global portfolio - appear as anomalies from the perspective of conventional wisdom and...

This paper examines short-run determinants of the U.S. dollar/Malaysian ringgit (USD/MYR) exchange rate based on a simultaneous-equation model. Applying the EGARCH model, the paper finds that the USD/MYR exchange rate is positively associated with the Malaysian real government Treasury bill...