Staff working papers

• Expenditure-Switching Effect and the Choice of Exchange Rate Regime

  Staff Working Paper 2007-54 Wei Dong

  The author investigates the quantitative importance of the expenditure-switching effect by developing and estimating a structural sticky-price model nesting both producer currency pricing (PCP) and local currency pricing (LCP) settings.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rate regimes, International topics JEL Code(s): F, F3, F4

• Testing Uncovered Interest Parity: A Continuous-Time Approach

  Staff Working Paper 2007-53 Antonio Diez de los Rios, Enrique Sentana

  Nowadays researchers can choose the sampling frequency of exchange rates and interest rates.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Exchange rates JEL Code(s): F, F3, F31, G, G1, G15

• Where Does Price Discovery Occur in FX Markets?

  Staff Working Paper 2007-52 Chris D'Souza

  Trades in foreign exchange markets are initiated around the world and around the clock. This study illustrates that trades are more informative when initiated in a local country or in major foreign exchange centers like London and New York.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): F, F3, F31, G, G1, G15