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Assessing Target Zone Credibility

Assessing Target Zone Credibility »

Source: Assessing Target Zone Credibility : Mean Reversion and Devaluation Expectations in the EMS

Volume/Issue: 1991/96

Series: IMF Working Papers

Author(s): Lars Svensson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1991

ISBN: 9781451949964

Keywords: exchange rate, exchange rates, foreign exchange, exchange risk, foreign exchange risk

The paper presents estimates of devaluation expectations for six EMS currencies relative to the Deutsche mark, for the period March 1979-May 1990. The estimation method is simple and operational, and consistently g...

An Assessment of External Price Competitiveness for Mozambique

An Assessment of External Price Competitiveness for Mozambique »

Source: An Assessment of External Price Competitiveness for Mozambique

Volume/Issue: 2009/165

Series: IMF Working Papers

Author(s): Francis Vitek

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2009

ISBN: 9781451873122

Keywords: External price competitiveness, exchange rate assessment, macroeconomic balance approach, equilibrium real exchange rate approach, external sustainability approach, exchange rate, effective exchange rate, real effective exchange rate, current account balance,

This paper conducts an assessment of external price competitiveness for Mozambique. A variety of indicators suggest that Mozambique has recently lost external price competitiveness with respect to its major trading...

Bank Asset Quality in Emerging Markets

Bank Asset Quality in Emerging Markets »

Source: Bank Asset Quality in Emerging Markets : Determinants and Spillovers

Volume/Issue: 2012/71

Series: IMF Working Papers

Author(s): Reinout De Bock , and Alexander Demyanets

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2012

ISBN: 9781475502237

Keywords: Macro-financial linkages, Nonperforming loans, Exchange rate, Panel regressions, capital inflows, net capital flows, exchange rates, Bank Asset Quality in Emerging Markets, Financial Markets and the Macroeconomy, International Finance: General

This paper assesses the vulnerability of emerging markets and their banks to aggregate shocks. We find significant links between banks' asset quality, credit and macroeconomic aggregates. Lower economic growth, an...

The Behavior of Currencies during Risk-off Episodes1

The Behavior of Currencies during Risk-off Episodes1 »

Source: The Behavior of Currencies during Risk-off Episodes

Volume/Issue: 2013/8

Series: IMF Working Papers

Author(s): Reinout De Bock , and Irineu de Carvalho Filho

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 January 2013

ISBN: 9781557755308

Keywords: Risk-off episodes, safe haven currencies, exchange rate, currency markets, capital flows, global financial crisis,

Episodes of increased global risk aversion, also known as risk-off episodes, have become more frequent and severe since 2007. During these episodes, currency markets exhibit recurrent patterns, as the Japanese yen,...

Consumption Smoothing and Exchange Rate Volatility

Consumption Smoothing and Exchange Rate Volatility »

Source: Consumption Smoothing and Exchange Rate Volatility

Volume/Issue: 1995/108

Series: IMF Working Papers

Author(s): Bart Turtelboom

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1995

ISBN: 9781451853049

Keywords: exchange rate, exchange rates, net foreign asset, foreign asset, real exchange rate

This paper analyzes exchange rate behavior in a model where consumers trade goods to diversify shocks to their income. A model with traded and nontraded goods is simulated in a multilateral context based upon histo...

The Credibility of Nordic Exchange Rate Bands: 1987-1991

The Credibility of Nordic Exchange Rate Bands: 1987-1991 »

Source: The Credibility of Nordic Exchange Rate Bands : 1987-1991

Volume/Issue: 1992/3

Series: IMF Working Papers

Author(s): Sami Geadah , Lars Svensson , and Tapio Saavalainen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1992

ISBN: 9781451841817

Keywords: exchange rate, exchange rate band, forward exchange, foreign exchange

The credibility of the exchange rate bands in the Nordic countries during 1987-91 is examined with two tests. The results suggest that the credibility of Finland’s exchange rate band within a twelve-month ho...

Determinants of the Spread in a Two-Tier Foreign Exchange Market

Determinants of the Spread in a Two-Tier Foreign Exchange Market »

Source: Determinants of the Spread in a Two-Tier Foreign Exchange Market

Volume/Issue: 1988/67

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 July 1988

ISBN: 9781451961348

Keywords: exchange rates, exchange rate, foreign exchange, exchange markets

The literature on two-tier foreign exchange markets has concentrated on relating various shocks to the spread between the exchange rates relevant to the two tiers of the exchange market. In some earlier work we fou...

Deviations of Exchange Rates from Purchasing Power Parity

Deviations of Exchange Rates from Purchasing Power Parity »

Source: Deviations of Exchange Rates from Purchasing Power Parity : A Story Featuring Two Monetary Unions

Volume/Issue: 1998/69

Series: IMF Working Papers

Author(s): Ronald MacDonald , and Tamim Bayoumi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 1998

ISBN: 9781451960846

Keywords: Exchange rates, stationarity, real exchange rates, exchange rate, real exchange rate, international financial

We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Striking...

Equilibrium Exchange Rates

Equilibrium Exchange Rates »

Source: Equilibrium Exchange Rates : Assessment Methodologies

Volume/Issue: 2007/296

Series: IMF Working Papers

Author(s): Peter Isard

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2007

ISBN: 9781451868593

Keywords: Equilibrium exchange rates, exchange rates, exchange rate, real exchange rate, real exchange rates, foreign exchange,

The paper describes six different methodologies that have been used to assess the equilibrium values of exchange rates and discusses their limitations. It applies several of the approaches to data for the United St...

Estimation of the Equilibrium Real Exchange Rate for South Africa1

Estimation of the Equilibrium Real Exchange Rate for South Africa1 »

Source: Estimation of the Equilibrium Real Exchange Rate for South Africa

Volume/Issue: 2003/44

Series: IMF Working Papers

Author(s): Ronald MacDonald , and Luca Ricci

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2003

ISBN: 9781451846430

Keywords: equilibrium real exchange rate, exchange rate, real exchange rate, effective exchange rate, real effective exchange rate, Open Economy Macroeconomics,

Based on the Johansen cointegration estimation methodology, much of the long-run behavior of the real effective exchange rate of South Africa can be explained by real interest rate differentials, GDP per capita (bo...