Front Matter Page
Western Hemisphere Department
Authorized for distribution by Charles Kramer
Contents
Abstract
I. Introduction
A. Methodology and Data
B. Selecting Dates for the Decomposition
C. Fitting Forward Curves to Zero-coupon Rates
D. Obtaining a Measure of “News”
E. Calculating the Portion of the “News” Related to Interest Rate Differentials
F. Calculating the Portion of the “News” Related to Expected Monetary Policy
II. Results
A. UIP Decomposition Applied to Longer Periods during the Crisis
B. UIP Decomposition Applied to Our Selection of Dates
III. Conclusions
Figures
1. Bilateral Exchange Rate Movements during the Financial Crisis
2. Bilateral Exchange Rates During Current Recession
3. Exchange Rate Volatility, 3/1/2007–4/20/2010
4. Exchange Rates and Percent Changes, 1/1/2007–5/24/2010
5. Brazil – U.S. Exchange Rate Profile, 10/3/2008–10/6/2008
6. Brazil UIP Analysis 10/6/2008
7. Brazil UIP Decomposition into Components, 10/6/2008
8. Log Exchange Rate Movement Over the Crisis
9. Trough to PEAK to Current Exchange Rates and Policy Rates
Tables
1. Exchange Rate Troughs and Peaks January 1, 2007–April 1, 2010
2. Decomposition Tables for Selected Dates
Australia
Brazil
Canada
European Monetary Union
Mexico
New Zealand
United Kingdom
3. Decomposition Tables for Trough-Peak-Current Dates
Australia
Brazil
Canada
Chile
European Monetary Union
Mexico
New Zealand
United Kingdom