The Relationship Of The Exchange Risk Premium To Net Foreign Assets And Central Bank Intervention

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The Cost of Foreign Exchange Intervention

Author : Gustavo Adler
Publisher : International Monetary Fund
ISBN 13 : 148433230X
Total Pages : 37 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis The Cost of Foreign Exchange Intervention by : Gustavo Adler

Download or read book The Cost of Foreign Exchange Intervention written by Gustavo Adler and published by International Monetary Fund. This book was released on 2016-04-12 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The accumulation of large foreign asset positions by many central banks through sustained foreign exchange (FX) intervention has raised questions about its associated fiscal costs. This paper clarifies conceptual issues regarding how to measure these costs both from an ex-post and an ex-ante (relevant for decision making) perspective, and estimates both marginal and total costs for 73 countries over the period 2002-13. We find ex-ante marginal costs for the median emerging market economy (EME) in the inter-quartile range of 2-5.5 percent per year; while ex-ante total costs (of sustaining FX positions) in the range of 0.2-0.7 percent of GDP per year for light interveners and 0.3-1.2 percent of GDP per year for heavy interveners. These estimates indicate that fiscal costs of sustained FX intervention (via expanding central bank balance sheets) are not negligible.

Market Volatility and Foreign Exchange Intervention in EMEs

Author : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
Publisher :
ISBN 13 : 9789291319626
Total Pages : 0 pages
Book Rating : 4.3/5 (196 download)

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Book Synopsis Market Volatility and Foreign Exchange Intervention in EMEs by : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico

Download or read book Market Volatility and Foreign Exchange Intervention in EMEs written by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework

Author : Romain Lafarguette
Publisher : International Monetary Fund
ISBN 13 : 1513569406
Total Pages : 33 pages
Book Rating : 4.5/5 (135 download)

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Book Synopsis Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework by : Romain Lafarguette

Download or read book Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework written by Romain Lafarguette and published by International Monetary Fund. This book was released on 2021-02-12 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.

Risk Management of Sovereign Assets and Liabilities

Author : Mr.D. F. I. Folkerts-Landau
Publisher : International Monetary Fund
ISBN 13 : 1451979614
Total Pages : 54 pages
Book Rating : 4.4/5 (519 download)

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Book Synopsis Risk Management of Sovereign Assets and Liabilities by : Mr.D. F. I. Folkerts-Landau

Download or read book Risk Management of Sovereign Assets and Liabilities written by Mr.D. F. I. Folkerts-Landau and published by International Monetary Fund. This book was released on 1997-12-01 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: In an environment of sizable and volatile capital flows and integrated international capital markets, large and unhedged net external sovereign liabilities expose countries to swings in international asset prices and to potential speculative currency attacks. The paper argues that an essential step in reducing emerging market vulnerability to such external shocks is to reform the institutional arrangements governing asset and liability management policies, so as to promote a transparent, publicly accountable, and professional incentive structure.

International Reserves and Foreign Currency Liquidity

Author : International Monetary Fund. Statistics Dept.
Publisher : International Monetary Fund
ISBN 13 : 1484350162
Total Pages : 258 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis International Reserves and Foreign Currency Liquidity by : International Monetary Fund. Statistics Dept.

Download or read book International Reserves and Foreign Currency Liquidity written by International Monetary Fund. Statistics Dept. and published by International Monetary Fund. This book was released on 2015-01-07 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: This update of the guidelines published in 2001 sets forth the underlying framework for the Reserves Data Template and provides operational advice for its use. The updated version also includes three new appendices aimed at assisting member countries in reporting the required data.

Strained Relations

Author : Michael D. Bordo
Publisher : University of Chicago Press
ISBN 13 : 022605151X
Total Pages : 453 pages
Book Rating : 4.2/5 (26 download)

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Book Synopsis Strained Relations by : Michael D. Bordo

Download or read book Strained Relations written by Michael D. Bordo and published by University of Chicago Press. This book was released on 2015-03-02 with total page 453 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the twentieth century, foreign-exchange intervention was sometimes used in an attempt to solve the fundamental trilemma of international finance, which holds that countries cannot simultaneously pursue independent monetary policies, stabilize their exchange rates, and benefit from free cross-border financial flows. Drawing on a trove of previously confidential data, Strained Relations reveals the evolution of US policy regarding currency market intervention, and its interaction with monetary policy. The authors consider how foreign-exchange intervention was affected by changing economic and institutional circumstances—most notably the abandonment of the international gold standard—and how political and bureaucratic factors affected this aspect of public policy.

The Effectiveness of Central-bank Intervention

Author : Hali J. Edison
Publisher :
ISBN 13 : 9780881653076
Total Pages : 76 pages
Book Rating : 4.6/5 (53 download)

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Book Synopsis The Effectiveness of Central-bank Intervention by : Hali J. Edison

Download or read book The Effectiveness of Central-bank Intervention written by Hali J. Edison and published by . This book was released on 1993 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Flexible Exchange Rates for a Stable World Economy

Author : Joseph E. Gagnon
Publisher : Peterson Institute
ISBN 13 : 0881326356
Total Pages : 301 pages
Book Rating : 4.8/5 (813 download)

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Book Synopsis Flexible Exchange Rates for a Stable World Economy by : Joseph E. Gagnon

Download or read book Flexible Exchange Rates for a Stable World Economy written by Joseph E. Gagnon and published by Peterson Institute. This book was released on 2011 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatile exchange rates and how to manage them are a contentious topic whenever economic policymakers gather in international meetings. This book examines the broad parameters of exchange rate policy in light of both high-powered theory and real-world experience. What are the costs and benefits of flexible versus fixed exchange rates? How much of a role should the exchange rate play in monetary policy? Why don't volatile exchange rates destabilize inflation and output? The principal finding of this book is that using monetary policy to fight exchange rate volatility, including through the adoption of a fixed exchange rate regime, leads to greater volatility of employment, output, and inflation. In other words, the "cure" for exchange rate volatility is worse than the disease. This finding is demonstrated in economic models, in historical case studies, and in statistical analysis of the data. The book devotes considerable attention to understanding the reasons why volatile exchange rates do not destabilize inflation and output. The book concludes that many countries would benefit from allowing greater flexibility of their exchange rates in order to target monetary policy at stabilization of their domestic economies. Few, if any, countries would benefit from a move in the opposite direction.

Understanding Interdependence

Author : Peter B. Kenen
Publisher : Princeton University Press
ISBN 13 : 0691231133
Total Pages : 566 pages
Book Rating : 4.6/5 (912 download)

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Book Synopsis Understanding Interdependence by : Peter B. Kenen

Download or read book Understanding Interdependence written by Peter B. Kenen and published by Princeton University Press. This book was released on 2021-06-08 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drawing together new papers by some of today's leading figures in international economics and finance, Understanding Interdependence surveys the current state of knowledge on the international monetary system and, by implication, defines the research horizon for the future. Covering topics including the behavior of exchange rates, the choice of exchange-rate regime, current-account adjustment in classical and Keynesian models, the extent and effects of capital mobility, international debt, the stabilization and reform of the formerly planned economies, European monetary union, and international policy coordination, the book underscores the importance of these subjects and identifies lessons for policymakers. The contributors to the volume are Michael Bruno, Ralph C. Bryant, Richard N. Cooper, Michael P. Dooley, Barry Eichengreen, Stanley Fischer, Charles A. E. Goodhart, Peter Hooper, Peter B. Kenen, Paul R. Krugman, Henri Lorie, Jaime Marquez, Ronald I. McKinnon, Michael Mussa, Maurice Obstfeld, John Odling-Smee, Assaf Razin, Dani Rodrik, Mark P. Taylor, and John Williamson.

Macroeconomics for Professionals

Author : Leslie Lipschitz
Publisher : Cambridge University Press
ISBN 13 : 1108568467
Total Pages : 312 pages
Book Rating : 4.1/5 (85 download)

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Book Synopsis Macroeconomics for Professionals by : Leslie Lipschitz

Download or read book Macroeconomics for Professionals written by Leslie Lipschitz and published by Cambridge University Press. This book was released on 2019-01-23 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding macroeconomic developments and policies in the twenty-first century is daunting: policy-makers face the combined challenges of supporting economic activity and employment, keeping inflation low and risks of financial crises at bay, and navigating the ever-tighter linkages of globalization. Many professionals face demands to evaluate the implications of developments and policies for their business, financial, or public policy decisions. Macroeconomics for Professionals provides a concise, rigorous, yet intuitive framework for assessing a country's macroeconomic outlook and policies. Drawing on years of experience at the International Monetary Fund, Leslie Lipschitz and Susan Schadler have created an operating manual for professional applied economists and all those required to evaluate economic analysis.

Does Central Bank Intervention Increase the Volatility of Foreign Exchange Rates?

Author : Kathryn M. Dominguez
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Does Central Bank Intervention Increase the Volatility of Foreign Exchange Rates? by : Kathryn M. Dominguez

Download or read book Does Central Bank Intervention Increase the Volatility of Foreign Exchange Rates? written by Kathryn M. Dominguez and published by . This book was released on 1993 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the abandonment of the Bretton Woods system of fixed exchange rates in the early 1970s, exchange rates have displayed a surprisingly high degree of time-conditional volatility. This volatility can be explained statistically using autoregressive conditional heteroscedasticity models, but there remains the question of the economic source of this volatility. Central bank intervention policy may provide part of the explanation. Previous work has shown that central banks have relied heavily on intervention policy to influence the level of exchange rates, and that these operations have, at times, been effective. This paper investigates whether central bank interventions have also influenced the variance of exchange rates. The results from daily and weekly GARCH models of the $/DM and $/Yen rates over the period 1985 to 1991 indicate that publicly known Fed intervention generally decreased volatility over the full period. Further, results indicate that intervention need not be publicly known for it to influence the conditional variance of exchange rate changes. Secret intervention operations by both the Fed and the Bundesbank generally increased exchange rates volatility over the period.

The Cost of Foreign Exchange Intervention

Author : Gustavo Adler
Publisher : International Monetary Fund
ISBN 13 : 1484323076
Total Pages : 37 pages
Book Rating : 4.4/5 (843 download)

DOWNLOAD NOW!

Book Synopsis The Cost of Foreign Exchange Intervention by : Gustavo Adler

Download or read book The Cost of Foreign Exchange Intervention written by Gustavo Adler and published by International Monetary Fund. This book was released on 2016-04-08 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The accumulation of large foreign asset positions by many central banks through sustained foreign exchange (FX) intervention has raised questions about its associated fiscal costs. This paper clarifies conceptual issues regarding how to measure these costs both from an ex-post and an ex-ante (relevant for decision making) perspective, and estimates both marginal and total costs for 73 countries over the period 2002-13. We find ex-ante marginal costs for the median emerging market economy (EME) in the inter-quartile range of 2-5.5 percent per year; while ex-ante total costs (of sustaining FX positions) in the range of 0.2-0.7 percent of GDP per year for light interveners and 0.3-1.2 percent of GDP per year for heavy interveners. These estimates indicate that fiscal costs of sustained FX intervention (via expanding central bank balance sheets) are not negligible.

Does Foreign Exchange Intervention Work?

Author : Kathryn M. Dominguez
Publisher : Peterson Institute for International Economics
ISBN 13 :
Total Pages : 196 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Does Foreign Exchange Intervention Work? by : Kathryn M. Dominguez

Download or read book Does Foreign Exchange Intervention Work? written by Kathryn M. Dominguez and published by Peterson Institute for International Economics. This book was released on 1993 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: How much impact on exchange rates do central banks have when they buy and sell currencies? According to many analysts, such intervention has no independent impact. This book challenges the conventional wisdom, demonstrating that such intervention can be an effective and extremely important tool for policymakers. Using previously unavailable daily intervention data from the US Federal Reserve and German Bundesbank, the authors show that even "sterilized" intervention -intervention that entails no corresponding changes in monetary policy- has a significant effect. A key element is whether the intervention is known to the public: widespread market awareness of the activity adds substantially to its payoff. Authors Dominguez and Frankel draw implications for intervention policy and its role in international economic policy coordination.

Risk Management for Central Bank Foreign Reserves

Author : European Central Bank
Publisher :
ISBN 13 :
Total Pages : 376 pages
Book Rating : 4.:/5 (319 download)

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Book Synopsis Risk Management for Central Bank Foreign Reserves by : European Central Bank

Download or read book Risk Management for Central Bank Foreign Reserves written by European Central Bank and published by . This book was released on 2004 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The International Transmission of Inflation

Author : Michael R. Darby
Publisher : University of Chicago Press
ISBN 13 : 0226136434
Total Pages : 744 pages
Book Rating : 4.2/5 (261 download)

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Book Synopsis The International Transmission of Inflation by : Michael R. Darby

Download or read book The International Transmission of Inflation written by Michael R. Darby and published by University of Chicago Press. This book was released on 2008-04-15 with total page 744 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation became the dominant economic, social, and political problem of the industrialized West during the 1970s. This book is about how the inflation came to pass and what can be done about it. Certain to provoke controversy, it is a major source of new empirical information and theoretical conclusions concerning the causes of international inflation. The authors construct a consistent data base of information for eight countries and design a theoretically sound model to test and evaluate competing hypotheses incorporating the most recent theoretical developments. Additional chapters address an impressive variety of issues that complement and corroborate the core of the study. They answer such questions as these: Can countries conduct an independent monetary policy under fixed exchange rates? How closely tied are product prices across countries? How are disturbances transmitted across countries? The International Transmission of Inflation is an important contribution to international monetary economics in furnishing an invaluable empirical foundation for future investigation and discussion.

Covered Interest Parity Deviations: Macrofinancial Determinants

Author : Mr.Eugenio M Cerutti
Publisher : International Monetary Fund
ISBN 13 : 1484395212
Total Pages : 36 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis Covered Interest Parity Deviations: Macrofinancial Determinants by : Mr.Eugenio M Cerutti

Download or read book Covered Interest Parity Deviations: Macrofinancial Determinants written by Mr.Eugenio M Cerutti and published by International Monetary Fund. This book was released on 2019-01-16 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial drivers of the variation in CIP deviations have also become significant. The variation in CIP deviations seems to be associated with multiple factors, not only regulatory changes. Most of these do not display a uniform importance across currency pairs and time, and some are associated with possible temporary considerations (such as asynchronous monetary policy cycles).

Strained Relations

Author : Michael D. Bordo
Publisher : University of Chicago Press
ISBN 13 : 022605148X
Total Pages : 453 pages
Book Rating : 4.2/5 (26 download)

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Book Synopsis Strained Relations by : Michael D. Bordo

Download or read book Strained Relations written by Michael D. Bordo and published by University of Chicago Press. This book was released on 2015-03-02 with total page 453 pages. Available in PDF, EPUB and Kindle. Book excerpt: Michael Bordo, Owen Humpage, and Anna Schwartz explore the evolution of exchange-market policyprimarily foreign-exchange interventionin the United States. Based on decades of research with unique, heretofore confidential, data consisting of all official US foreign-exchange transactions conducted through the Federal Reserve Bank of New York between 1962 and 1995, "Strained Relations" is fundamentally a study of institutional learning and adaptation under changing circumstances, most notably the abandonment of the international gold standard. The authors narrate the economic developments, the political environment, and the bureaucratic issues that fostered this evolution. They use many economic studies of foreign-exchange-market intervention, but the book is not a survey of the voluminous literature or empirical analysis; it is primarily a historical narrative. A fact-based history of the modern dollar with the unifying perspective of how the US has tried to influence how much the dollar is worth abroad while balancing the priority of keeping inflation low at home, "Strained Relations" is an intriguing story of gold, secrets, and economic intervention."