While virtually all modern currency crisis models recognise that the decision to abandon an exchange rate peg depends on how tenaciously policy makers are willing to defend it, they seldom model how this is done. We incorporate both the mechanics of speculation and of a defence policy against...

International oil producers have discovered commercially recoverable petroleum reserves of around 11 billion barrels that promise to transform Guyana's agricultural and mining economy into an oil powerhouse, while hopefully helping to diversify the non-oil economy. Oil production presents a...

If there is exchange market pressure (EMP), monetary authorities can use the interest rate and official interventions to offset this depreciation tendency, or they can let the exchange rate change. We introduce a new approach to derive how these three variables should be combined to measure EMP....

Well developed financial markets are a necessary condition for a currency to play a role as a reserve currency. The introduction of the euro greatly improved the functioning of euro financial markets. This paper investigates whether euro financial markets have developed sufficiently to...

This paper studies foreign exchange risk premium using the uncovered interest rate parity framework in a single country context. The analysis is performed using weekly data on foreign and domestic currency deposits in Armenian banking system. The paper provides the results of the simple tests of...

In this paper a new approach relying on news wire reports is used to capture all the transparency elements in the exchange rate intervention policy of the Bank of Japan during the period 1991-2004. As suggested by Enoch (1998), we distinguish three types of transparency: ex ante transparency,...

This paper empirically investigates the main determinants of secret interventions in the foreign exchange (FX) market. Using the recent experience of the Bank of Japan, we estimate a model that explains the share of secret to reported interventions in the FX market. Two sets of determinants are...

Using a new approach relying on news wire reports, we estimate the proportion of secret interventions (i.e., unreported official interventions) in the foreign exchange markets that have been conducted by the three major central banks since 1985. We therefore revisit the estimation of conditional...

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...

This paper analyzes whether specific methods of conducting central bank interventions increase the likelihood of achieving its objectives. Using daily Bundesbank and Fed intervention data covering the entire post-Plaza period, the issue is addressed by estimating binary choice models over the...