Regime-switching in exchange rate policy and balance sheet effects
Regime-switching in exchange rate policy and balance sheet effects:

"The authors apply regime-switching methods to a monetarist model of exchange rates and identify well-defined intervention policy cycles. The policy response indices include a standard exchange market pressure-based index and a model-based volatility ratio that is endogenized relative to Japan,...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
1. Verfasser: Fiess, Norbert M. (VerfasserIn)
Format: Elektronisch E-Book
Sprache:English
Veröffentlicht: [Washington, D.C] World Bank 2005
Schriftenreihe:Policy research working paper 3653
Schlagworte:
Entwicklungsländer
Foreign exchange rates > Developing countries
Monetary policy > Developing countries
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Volltext
Zusammenfassung:"The authors apply regime-switching methods to a monetarist model of exchange rates and identify well-defined intervention policy cycles. The policy response indices include a standard exchange market pressure-based index and a model-based volatility ratio that is endogenized relative to Japan, assumed to be a "benchmark" floater. The authors find strong evidence that balance sheet effects, proxied by the stock ratio of external liabilities to assets, and economic performance, as measured by GDP and stock market indices, determine the cost of the regime shift. They use a panel of quarterly data from 1985 to 2004 for a sample of 15 countries, mostly in East Asia and Latin America. "--World Bank web site
Beschreibung:Includes bibliographical references. - Title from PDF file as viewed on 8/16/2005
Erscheinungsjahr in Vorlageform:[2005]
Weitere Ausgabe: Fiess, Norbert M: Regime-switching in exchange rate policy and balance sheet effects
Beschreibung:1 Online-Ressource

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