Optimal monetary policy in a small open economy: The case of Korea
Keywords: E52; F31; Korea; Monetary policy; Small open economy; Taylor rule; Welfare;
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Effects of exchange rate depreciation on commercial bank failures in Indonesia
Keywords: F31; G21; E44Exchange rate depreciation; Bank failure; Indonesia
Business cycles with staggered prices and international trade in intermediate inputs
Keywords: E32; F31; F41Multiple stages of production; International trade in intermediate goods; Staggered prices; International quantity correlations; Exchange rates
Day-of-the-week effect in the Taiwan foreign exchange market
Keywords: F31; G14; G15; Day-of-the-week effect; Stochastic dominance theory; Efficient set;
Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets
Keywords: C22; F31; G15; Volatility feedback; Time-varying jump intensity; Volatility clustering; Leverage effect; Leptokurtosis;
US-Swiss term structures and exchange rate dynamics
Keywords: F31; E43; G12; G15; Exchange rates; Term structure of interest rates; Home Bias; Forward Premium Puzzle;
What prompts Japan to intervene in the Forex market? A new approach to a reaction function
Keywords: F31; E58; G15; Central bank intervention; Foreign exchange rates; Ordered probit; Political cost;
Daily Rp/USD stochastic volatility and the policy implication lesson
Keywords: C22; F31; G15; G19; Exchange rate; Stochastic volatility;
Asymmetric responses of East Asian currencies to the US dollar depreciation for reducing the US current account deficits
Keywords: F32; F31; F47; US dollar depreciation; Investment-saving balance; International trade flows; Vector autoregression (VAR); Co-movements with US dollar;
Spot-forward cointegration, structural breaks and FX market unbiasedness
Keywords: F31; G15; C52Forward rates; Market unbiasedness; Structural breaks
Macroeconomic shocks, structural change and real exchange rates: Evidence from historical data
Keywords: F31; E44; C32; Real exchange rates; Macroeconomic fluctuations; Structural change;
Long-run real exchange rate determinants: Evidence from eight new EU member states, 1993-2003
Keywords: C33; F31; F41; Euro adoption; Bilateral real exchange rates; Misalignments; Balassa-Samuelson; Panel cointegration;
Do Asian investors rebalance their portfolios and what are the consequences?
Keywords: E44; E58; F31; Portfolio rebalancing; Reserve management; Asia;
The Yen, the US dollar, and the trade weighted basket of currencies: Does the choice of anchor currencies matter in identifying incidences of speculative attacks?
Keywords: F31; F41; Currency crisis; Exchange market pressure; Extreme value theory;
Using self-organizing maps to adjust for intra-day seasonality
Keywords: C22; F31; G14; Self-organizing maps; Currency market; Intra-day seasonality; High frequency data;
Herding and the information content of trades in the Australian dollar market
Keywords: F31; F33; G14; G15Microstructure; Foreign exchange markets; Price impact; Asymmetric information; Transparency; Trading volume; Herding
Dual foreign currency markets and the role of expectations: Evidence from the Pacific Basin countries
Keywords: F31; F33Black market premium; Generated regressors; Cointegration analysis; Anticipated shocks; Expectations; Portfolio balance models
Modeling exchange rate passthrough after large devaluations
Keywords: F31; Exchange rate; Devaluations; Passthrough; Sticky prices;
The central bank and speculators in the foreign exchange market under asymmetric information: A strategic approach and evidence
Keywords: F31; G14Central bank intervention; Foreign exchange rate; Asymmetric information
The effects of exchange rate fluctuations on economic activity in Turkey
Keywords: Exchange rate fluctuations; Asymmetry; Supply and demand channels; Policy implications; F41; F31; E32; E31;
Intraday exchange rate volatility: ARCH, news and seasonality effects
Keywords: F31; G14GARCH; Intraday volatility; Public news arrivals; Trading volume
Monetary policy in the New-Keynesian model: An application to the Euro Area
Keywords: F31; F41; G15Fiscal policy; Monetary policy
The overvaluation of Renminbi undervaluation
Keywords: F31; F41; Absolute purchasing power parity; Exchange rates; Real income; Capital controls; Currency misalignment;
The spirit of capitalism, asset pricing and growth in a small open economy
Keywords: F31; F43; G12; International catching-up; Asset pricing; Exchange rates; Spirit of capitalism; Stochastic general equilibrium models;
Home bias in global bond and equity markets: The role of real exchange rate volatility
Keywords: F30; F31; G11; G15; Home bias; Exchange rate volatility; Risk; Portfolio investment; Global financial markets; Capital flows;
Are twin currency and debt crises special?
Keywords: F31; F33; F34; F41Currency crises; Debt crises; Twin crises; Emerging markets
Multilateral aggregation-theoretic monetary aggregation over heterogeneous countries
Keywords: C43; C82; E41; E51; F31; Monetary aggregation; Aggregation over countries; Heterogeneous agents; Multilateral aggregation; EMU;
Real exchange rates, imperfect substitutability, and imperfect competition
Keywords: F31; PPP puzzle; Imperfect substitution;
The impact of central bank intervention on exchange-rate forecast heterogeneity
Keywords: F31; C42; Central bank intervention; Foreign exchange markets; Survey expectations; Market micro-structure;
Fed intervention, dollar appreciation, and systematic risk
Keywords: F31; G12; G13; G15; Foreign-exchange intervention; Asset pricing models; Foreign-exchange market efficiency; Portfolio balance channel; Signaling channel;
Central bank interventions, communication and interest rate policy in emerging European economies
Keywords: F31; FX intervention; Central bank intervention; Communication; Verbal intervention; Interest rate moves; Event study; Central and Eastern Europe; Turkey;
Heterogeneity in the persistence of relative prices: What do the Japanese cities tell us?
Keywords: F31; E31; C22; Consumer price subindices; Half-life; Japanese cities; Persistence; PPP; Relative prices;
Real equilibrium exchange rate in China is the renminbi undervalued?
Keywords: F31; F33; Renminbi; Balassa effect; BEER; FEER;
Can the new open economy macroeconomic model explain exchange rate fluctuations?
Keywords: Exchange rate volatilities; Measures of fit; New open economy macroeconomics; Spectral density; Taylor rule; E52; F31;
Balance sheets, exchange rate policy, and welfare
Keywords: F31; F41; Balance sheets; Exchange rate policy; Financial accelerator; Liability dollarization; Second-order approximation; Welfare;
Stochastic skew in currency options
Keywords: G12; G13; F31; C52Currency options; Foreign exchange dynamics; Stochastic skew; Stochastic volatility; Time-changed Lévy processes
Informative trading or just costly noise? An analysis of Central Bank interventions
Keywords: E58; F31; G15; Sterilized Central Bank intervention; Market microstructure; Foreign exchange; Information; Inventory;
Pricing-to-market, limited participation and exchange rate dynamics
Keywords: E32; F41; F31; Nominal exchange rate overshooting; Real exchange rate; Pricing-to-market; Limited participation; New Open Economy Macroeconomics;
Financial stability: A worthy goal, but how feasible?
Keywords: E52; E58; F31; Financial stability; Monetary policy; Bubbles;
Floating exchange rates and inflation in Germany: Are external shocks really irrelevant?
Keywords: E50; F31; F41; Flexible exchange rates; Monetary policy; Cointegration;
Equilibrium and efficiency of exchange rates in a silver-based monetary system-the cases of India and Iran
Keywords: E42; F31; G14; Arbitrage; Efficient market hypothesis; Silver standard; Exchange rate;
Elasticity of risk aversion and international trade
Keywords: F21; F31; Exchange rate risk; Trade; Elasticity of risk aversion; Mean-variance model; Devaluation;
Global imbalances and exchange rate adjustment
Keywords: F21; F31; F32Current account imbalance; Global imbalance; Exchange rate adjustment
On the speed of adjustment in ESTAR models when allowance is made for bias in estimation
Keywords: F31; C22; C51; ESTAR; Bias; Bootstrapping;
Borderplex menu evidence for the law of one price
Keywords: F31; Foreign exchange; Exchange rates; Restaurant prices; Borders;
Does the prediction horizon matter for the forward premium anomaly? Evidence from panel data
Keywords: C23; F31; Forward premium puzzle; Out-of-sample forecast; Uncovered interest parity;
The importance of nontradable goods' prices in cyclical real exchange rate fluctuations
Keywords: F31; Real exchange rate; Consumer price index; Producer price index;
Black market exchange rate and the productivity bias hypothesis
Keywords: F31; Black market rate; PPP; Productivity bias;
On the robustness of cointegration tests when assessing market efficiency
Keywords: C15; C22; C32; F31; G14; Foreign exchange; Unbiasedness; Cointegration; Monte Carlo;
Exchange rates and order flow in the long run
Keywords: F31; F37; G14; G15; Cointegration; Foreign exchange rates; Order flow; Microstructure;