F4 - Macroeconomic Aspects of International Trade and Finance
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Shift Contagion in Asset Markets
The authors develop a new methodology to investigate how crises cause the relationship between financial variables to change. Two possible sources of increased co-movement between markets during high-variance episodes are considered: larger common shocks operating through standard market linkages, and a structural change in the propagation of shocks between markets, called "shift contagion." -
Modélisation et prévision du taux de change réel effectif américain
This study describes a simple model for predicting the real U.S. exchange rate. Starting with a large number of error-correction models, the authors choose the one giving the best out-of-sample forecasts over the period 1992Q3–2002Q1. -
Nominal Rigidity, Desired Markup Variations, and Real Exchange Rate Persistence
This paper develops and estimates a dynamic general-equilibrium sticky-price model that accounts for real exchange rate persistence. -
Does Exchange Rate Policy Matter for Growth?
Previous studies on whether the nature of the exchange rate regime influences a country's medium-term growth performance have been based on a tripartite classification scheme that distinguishes between pegged, intermediate, and flexible exchange rate regimes. -
Currency Fluctuations, Liability Dollarization, and the Choice of Exchange Rate Regimes in Emerging Markets
Traditional models of exchange rate regimes ignore the destabilizing effects of sharp and unanticipated exchange rate movements. -
The Resolution of International Financial Crises: Private Finance and Public Funds
Over the past year and a half, the Bank of England and the Bank of Canada have been developing a framework for the resolution of international financial crises that aligns incentives for all parties to deal with a crisis and preserve the integrity of the international financial system. The framework is built on principles, not rules. -
On Commodity-Sensitive Currencies and Inflation Targeting
Two aspects of the recent monetary history of Canada, Australia, and New Zealand stand out: the sensitivity of their dollars to prices of resource-based commodities, and inflation targeting. This paper explores various aspects of these phenomena. -
Private Capital Flows, Financial Development, and Economic Growth in Developing Countries
An important issue in the debate over the desirability of freer capital mobility for developing countries is whether capital flows have significant effects on economic growth. Proponents of capital account liberalization cite the growth-promoting attributes of capital inflows as a key benefit of financial integration for developing countries. -
Real Effects of Collapsing Exchange Rate Regimes: An Application to Mexico
This paper examines the impact of a collapsing exchange rate regime on output in an open economy in which shocks to capital flows and exports predominate. A sticky-price rational expectations model is used to compare the variability of output under the collapsing regime to that under alternative fixed and flexible regimes. Output is found to […]