Modelling Central Bank Intervention Activity under Inflation Targeting
|
|
- Blaze Porter
- 5 years ago
- Views:
Transcription
1 MPRA Munich Personal RePEc Archive Modelling Cenral Bank Inervenion Aciviy under Inflaion Targeing Horvah, Roman Czech Naional Bank 0. May 2006 Online a hp://mpra.ub.uni-muenchen.de/4/ MPRA Paper No. 4, posed 07. November 2007 / 0:23
2 Modelling Cenral Bank Inervenion Aciviy under Inflaion Targeing Roman Horváh * Czech Naional Bank and Insiue of Economic Sudies, Charles Universiy ABSTRACT Using daily daa from he Czech Republic in //8-3/2/2002, we find ha foreign exchange inervenion aciviy is deermined by he degree of exchange rae misalignmen and lagged inervenion. Addiionally, inflaion argeing regime is a binding consrain of inervenion aciviy. JEL Classificaion: F3; F33 Keywords: Foreign exchange inervenion, cenral bank, inflaion argeing * Conacs: Roman Horváh, Czech Naional Bank, Na Prikope 28, 03 Prague, Czech Republic, Tel.: , fax: , roman.horvah@cnb.cz or roman.horvah@gmail.com I hank Rober F. Engle for helpful discussions. I also hank Ian Babeskii, Jarko Fidrmuc and Luboš Komárek for he help in obaining he daa used in his paper. All remaining errors are enirely my own. The views expressed here do no necessarily represen hose of he Czech Naional Bank.
3 . Inroducion Several sudies have recenly analyzed he deerminans of cenral bank s foreign exchange (FX) inervenion aciviy under flexible exchange raes (Almekinders and Eijffinger, 4, 6; Baillie and Oserberg, 7; Neely, 2002; Kim and Sheen, 2002; Frenkel, Pierdzioch and Sadmann, 2004; and Io and Yabu, 2006). Typically, hey find ha cenral bank (CB hereafer) inervenes in he FX marke, when he exchange rae is largely misaligned and/or excessively volaile. To our knowledge, CB inervenion lieraure does no explicily link FX inervenion behavior o CB s main arges, which is low inflaion and/or oupu close o is poenial. This is sriking, as CBs ypically do no formulae heir FX inervenion policy in an ad hoc manner (reacing only o informaion in exchange rae), bu raher in line wih heir moneary policy regime oriened owards achieving he arges. In his paper, we focus on assessing how moneary policy regime (inflaion argeing in our case) affecs CB s FX inervenion aciviy. We build on anecdoal evidence by Holub (2004), who proposes he crieria for assessing when FX inervenions are consisen wih he inflaion argeing regime. The crierion we analyze in his paper is simply ha he CB should ighen he moneary condiions when inflaion and oupu forecas is heading above is argeed value and vice versa. If CB inervenions are in line wih he aforemenioned crierion, we label i as consisen wih inflaion argeing (IT consisency hereafer). 2 See Sarno and Taylor (200) for comprehensive survey of FX inervenion lieraure. 2 See Holub (2004, p. 4) for evidence when CBs likely violaed his crierion. 2
4 As a resul, his paper aims o bridge he gap in evidence on he linkages beween FX inervenion aciviy and inflaion argeing regime using he daily daa from he Czech Republic. Firs, we consruc a simple indicaor of IT consisency based on deviaion of inflaion from is arge and oupu gap. Second, we esimae he deerminans of FX inervenion aciviy employing he measures of exchange rae misalignmen and volailiy and IT consisency. The paper is srucured as follows. Daa and empirical mehodology are described in secion 2. Resuls are presened in secion 3. Conclusion follows in secion Daa and Mehodology The sample period runs from //8 o 3/2/2002. We use daily daa on acual FX inervenions and CZK/EUR exchange rae (prior o CZK/EUR is rerieved from CZK/DEM and irrevocable fixing rae of DEM/EUR). We also employ monhly daa on ne inflaion, as he inflaion arge of he Czech Naional Bank (CNB) has been defined in erms of ne inflaion during he sample period. 3 Real GDP growh daa are available on a quarerly basis (HP filer is used o esimae poenial growh). 3 CNB sared argeing inflaion in 8. Excep inflaion developmens, he bank reacion funcion includes also oupu gap. Given he openness of Czech economy, he CNB may also reac o exchange rae developmens in case hey seriously jeopardize he inflaion prospecs. See Kolan and Navrail (2003) on inflaion argeing design in he Czech Republic. 3
5 As menioned above, we define he inflaion argeing consisency variable ( IT ) using he difference beween ne inflaion and inflaion arge and oupu gap esimae as follows: IT * * ( π π ) ( y y ) = α β (2) where π is he yearly ne inflaion, * π is he inflaion arge, y is acual GDP growh and * y is an esimae of poenial growh. α and β is deermined by principal componens. The raionale for using he curren values of inflaion and oupu gap insead of is forecass is uncerainy in fuure developmens in an economy undergoing massive srucural changes during he sample period. 4 Generally, we link FX inervenion aciviy o is lagged value (o address he persisence of inervenions), exchange rae developmens and he IT consisency. In line wih Io and Yabu (2006), we firs esimae he following probi model: MA ( INT = ) = Φ( + α ( s s ) + α ( s s ) + α ( s s ) α () P INT denoes a binary variable aking value of one, when he CNB inervenes in day ; zero oherwise. s is he CZK/EUR exchange rae. MA s represens he moving average of s using 36 days window. As a resul, α, α 2 and α 3 capure he shor-erm, medium-erm and long-erm movemens of exchange rae, respecively. The sign of 4 IT is inerpolaed linearly o daily values. Inerpolaion using differen procedures had infiniesimal effec on he resuls in he secion 4. Alernaively, we esimae shor-erm exchange rae volailiy using a GARCH model of and ake he esimaes of medium-erm exchange rae misalignmen from Babeskii and Eger (200) and Crespo-Cuaresma, Fidrmuc 4
6 α 2 and α 3 is expeced o be negaive, i.e. inervenion aciviy is inversely relaed o he deviaion of he exchange rae from is las monh value or is moving average. The sign of α is unconsrained (see Sarno and Taylor, 200), hough we expec i o be posiive, as he CNB sells he domesic currency, when he currency appreciaes. I is noeworhy ha he CNB conduced inervenion almos only agains he appreciaion of domesic currency (CNB inervened in 8 days selling he CZK, only 4 days buying he CZK ou of 242 sample days) 6. To invesigae if he inflaion argeing regime served as imporan consrain of CNB s FX inervenion aciviy, we nex esimae regression of he form: MA ( INT ) = Φ( β + β ( s s ) + β ( s s ) + β ( s s ) + β IT ) P = (2) Given our definiion of IT, we expec β 0 ; i.e. CNB is less likely o inervene 4 < agains he appreciaion of currency, when he difference beween he inflaion and is arge rises (analogously for oupu gap). To address he sensiiviy of resuls, we proceed in wo seps. Firs, following Frenkel e al. (2004), we define INT as he number of consecuive inervenion days. Using his alernaive indicaor, we esimae he idenical se of FX inervenion deerminans as in () and (2) by he negaive binomial model. Second, we esimae he following equaion by OLS: and MacDonald (200). The resuls, using hese alernaive specificaions, are similar o hose presened in his paper and are available on reques. 6 Given he fac ha he inervenion has been primarily oriened agains appreciaion of CZK, we do no op for he ordered probi model.
7 INT MA ( s s 2 ) + γ 2 ( s s 2 ) + γ 2 ( s s ) + γ 4 IT + γ INT ε γ 0 + γ + (3) = INT is defined as in he equaion () and alernaively using he acual daily FX inervenion volume. 4. Resuls The monhly inervenion volumes and exchange rae developmens are presened in Figure. As apparen from Figure, here has been hree major inervenion episodes associaed primarily wih he sharp CZK/EUR appreciaion (he firs half of 8, end of, and mid 2002). Figure CZK/EUR exchange rae and inervenion volumes CZK/EUR mil. EUR /8 / /00 /0 /02 Time Source: Czech Naional Bank Noe: The lef scale measures he CZK/EUR exchange rae; he righ scale measures he monhly FX inervenion volume in he millions of euro. Table repors our resuls on he deerminans of FX inervenion aciviy. Typically, he CNB does no reac o day-o-day exchange rae volailiy and raher has been 6
8 concerned wih he medium o long-erm exchange rae developmens. This is in line wih he official bank saemens expressing ha inervenion have been conduced only when he CZK/EUR appreciaed excessively (see Holub, 2004). The resuls also sugges ha inflaion argeing regime is imporan consrain for FX inervenion aciviy. Concreely, he greaer is inflaion and oupu in comparison o heir argeed values, he less likely he CNB will inervene agains domesic currency appreciaion. 7 In addiion, here is also evidence ha FX inervenion aciviy is persisen, o a cerain exen (hough inervenion volumes are much less persisen). Table Esimaion Resuls Neg. Binomial Probi OLS - indicaor OLS - volume s s * (0.62) (0.) (0.44) (0.43) (0.06) (0.06) (0.) (0.) s s *** -0.8*** -0.8*** -0.4*** -0.0*** -0.24** -0.20*** -0.8*** MA s s (0.2) (0.8) (0.0) (0.0) (0.0) (0.0) (0.06) (0.06) -0.7*** -0.30*** -0.08* -0.3*** (0.07) (0.0) (0.04) (0.04) (0.0) (0.0) (0.02) (0.02) IT -0.6*** -0.36*** -0.0*** -0.03*** -0.07* -0.07* (0.4) (0.06) (0.0) (0.0) (0.04) (0.04) INT 0.2*** 0.08** (0.0) (0.03) No. of obs R-sqr Noe: McFadden s R-squared for he negaive binomial and probi model. Inervenion volume is in he billions of CZK. Robus sandard errors in parenhesis. ***, **, and * - denoes significance a percen, percen, and 0 percen, respecively. 7 The resuls using a monhly lag of IT o address he poenial endogeneiy are similar and available on reques. 7
9 . Conclusions In his paper, we sudy he deerminans of FX inervenion aciviy of he Czech Naional Bank. The novely of our approach is he examinaion of he role of inflaion argeing regime on his aciviy. Subjec o various sensiiviy ess, we find ha inflaion argeing regime is imporan consrain for he cenral bank inervenions. Besides, cenral bank reacs o he medium-erm exchange rae misalignmen. We also find ha inervenion aciviy is persisen, o a cerain exen. References Almekinders, G.J., Eijffinger, S.C.W., 4. Daily Bundesbank and Federal Reserve Inervenions: Are They a Reacion o Changes in he Level and Volailiy of he DM/$ Rae?, Empirical Economics, : -30. Almekinders, G.J., Eijffinger, S.C.W., 6. A Fricion Model of Daily Bundesbank and Federal Reserve Inervenion, Journal of Banking and Finance, 20: Babeski, I., Eger, B., 200. Equilibrium Exchange Raes in he Czech Republic: How Good Is Czech BEER?, Finance a uver - Czech Journal of Economics and Finance, : Baillie, R.T., W.P. Oserberg, 7. Why Do Cenral Banks Inervene?, Journal of Inernaional Money and Finance, 6: 0-. Crespo-Cuaresma, J., Fidrmuc, Jarko, MacDonald, R., 200. The Moneary Approach o Exchange Raes in he CEECs, Economics of Transiion, 2: Holub, T., Foreign Exchange Inervenions under Inflaion Targeing: The Czech Experience, Czech Naional Bank Research and Policy Noe, No./
10 Frenkel, M., Pierdzioch, Ch., Sadmann, G., Modelling he Inensiy of Foreign Exchange Inervenion Aciviy: an Exension, Economics Leers, 8: Io, T., Yabu, T., Wha Promoes Japan o Inervene in he Forex Marke? A New Approach o a Reacion Funcion, Journal of Inernaional Money and Finance, forhcoming. Kim, S., Sheen, J, The Deerminans of Foreign Exchange Inervenion by Cenral Banks: Evidence from Ausralia, Journal of Inernaional Money and Finance, 2: Kolan, V., Navrail, D., Inflaion Targeing as a Sabilizaion Rule: Is Design and Performance in he Czech Republic. Finance a uver - Czech Journal of Economics and Finance, 3: Neely, C.J., The Temporal Paern of Trading Rule Reurns and Cenral Bank Inervenion: Inervenion Does No Generae Technical Trading Rule Profis, Journal of Inernaional Economics, 8: Sarno, L., Taylor, M.P., 200. Official Inervenion in he Foreign Exchange Marke: Is I Effecive and, If So, How Does I Work?, Journal of Economic Lieraure, 3:
On the Impact of Inflation and Exchange Rate on Conditional Stock Market Volatility: A Re-Assessment
MPRA Munich Personal RePEc Archive On he Impac of Inflaion and Exchange Rae on Condiional Sock Marke Volailiy: A Re-Assessmen OlaOluwa S Yaya and Olanrewaju I Shiu Deparmen of Saisics, Universiy of Ibadan,
More informationa. If Y is 1,000, M is 100, and the growth rate of nominal money is 1 percent, what must i and P be?
Problem Se 4 ECN 101 Inermediae Macroeconomics SOLUTIONS Numerical Quesions 1. Assume ha he demand for real money balance (M/P) is M/P = 0.6-100i, where is naional income and i is he nominal ineres rae.
More informationOutput: The Demand for Goods and Services
IN CHAPTER 15 how o incorporae dynamics ino he AD-AS model we previously sudied how o use he dynamic AD-AS model o illusrae long-run economic growh how o use he dynamic AD-AS model o race ou he effecs
More informationMacroeconomics II A dynamic approach to short run economic fluctuations. The DAD/DAS model.
Macroeconomics II A dynamic approach o shor run economic flucuaions. The DAD/DAS model. Par 2. The demand side of he model he dynamic aggregae demand (DAD) Inflaion and dynamics in he shor run So far,
More informationStock Market Behaviour Around Profit Warning Announcements
Sock Marke Behaviour Around Profi Warning Announcemens Henryk Gurgul Conen 1. Moivaion 2. Review of exising evidence 3. Main conjecures 4. Daa and preliminary resuls 5. GARCH relaed mehodology 6. Empirical
More informationMONETARY POLICY AND LONG TERM INTEREST RATES IN GERMANY *
MONETARY POLICY AND LONG TERM INTEREST RATES IN GERMANY * Ger Peersman Bank of England Ghen Universiy Absrac In his paper, we provide new empirical evidence on he relaionship beween shor and long run ineres
More informationMONETARY POLICY IN MEXICO. Monetary Policy in Emerging Markets OECD and CCBS/Bank of England February 28, 2007
MONETARY POLICY IN MEXICO Moneary Policy in Emerging Markes OECD and CCBS/Bank of England February 8, 7 Manuel Ramos-Francia Head of Economic Research INDEX I. INTRODUCTION II. MONETARY POLICY STRATEGY
More informationInternational transmission of shocks:
Inernaional ransmission of shocks: A ime-varying FAVAR approach o he Open Economy Philip Liu Haroon Mumaz Moneary Analysis Cener for Cenral Banking Sudies Bank of England Bank of England CEF 9 (Sydney)
More informationThe Death of the Phillips Curve?
The Deah of he Phillips Curve? Anhony Murphy Federal Reserve Bank of Dallas Research Deparmen Working Paper 1801 hps://doi.org/10.19/wp1801 The Deah of he Phillips Curve? 1 Anhony Murphy, Federal Reserve
More information1 Purpose of the paper
Moneary Economics 2 F.C. Bagliano - Sepember 2017 Noes on: F.X. Diebold and C. Li, Forecasing he erm srucure of governmen bond yields, Journal of Economerics, 2006 1 Purpose of he paper The paper presens
More informationEstimating Earnings Trend Using Unobserved Components Framework
Esimaing Earnings Trend Using Unobserved Componens Framework Arabinda Basisha and Alexander Kurov College of Business and Economics, Wes Virginia Universiy December 008 Absrac Regressions using valuaion
More informationA Note on Missing Data Effects on the Hausman (1978) Simultaneity Test:
A Noe on Missing Daa Effecs on he Hausman (978) Simulaneiy Tes: Some Mone Carlo Resuls. Dikaios Tserkezos and Konsaninos P. Tsagarakis Deparmen of Economics, Universiy of Cree, Universiy Campus, 7400,
More informationThe macroeconomic effects of fiscal policy in Greece
The macroeconomic effecs of fiscal policy in Greece Dimiris Papageorgiou Economic Research Deparmen, Bank of Greece Naional and Kapodisrian Universiy of Ahens May 22, 23 Email: dpapag@aueb.gr, and DPapageorgiou@bankofgreece.gr.
More informationThe relation between U.S. money growth and inflation: evidence from a band pass filter. Abstract
The relaion beween U.S. money growh and inflaion: evidence from a band pass filer Gary Shelley Dep. of Economics Finance; Eas Tennessee Sae Universiy Frederick Wallace Dep. of Managemen Markeing; Prairie
More informationFinal Exam Answers Exchange Rate Economics
Kiel Insiu für Welwirhschaf Advanced Sudies in Inernaional Economic Policy Research Spring 2005 Menzie D. Chinn Final Exam Answers Exchange Rae Economics This exam is 1 ½ hours long. Answer all quesions.
More informationForecasting and Monetary Policy Analysis in Emerging Economies: The case of India (preliminary)
Forecasing and Moneary Policy Analysis in Emerging Economies: The case of India (preliminary) Rudrani Bhaacharya, Pranav Gupa, Ila Panaik, Rafael Porillo New Delhi 19 h November This presenaion should
More informationThis specification describes the models that are used to forecast
PCE and CPI Inflaion Differenials: Convering Inflaion Forecass Model Specificaion By Craig S. Hakkio This specificaion describes he models ha are used o forecas he inflaion differenial. The 14 forecass
More informationAsymmetry and Leverage in Stochastic Volatility Models: An Exposition
Asymmery and Leverage in Sochasic Volailiy Models: An xposiion Asai, M. a and M. McAleer b a Faculy of conomics, Soka Universiy, Japan b School of conomics and Commerce, Universiy of Wesern Ausralia Keywords:
More informationBank of Japan Review. Performance of Core Indicators of Japan s Consumer Price Index. November Introduction 2015-E-7
Bank of Japan Review 5-E-7 Performance of Core Indicaors of Japan s Consumer Price Index Moneary Affairs Deparmen Shigenori Shirasuka November 5 The Bank of Japan (BOJ), in conducing moneary policy, employs
More informationFORECASTING WITH A LINEX LOSS: A MONTE CARLO STUDY
Proceedings of he 9h WSEAS Inernaional Conference on Applied Mahemaics, Isanbul, Turkey, May 7-9, 006 (pp63-67) FORECASTING WITH A LINEX LOSS: A MONTE CARLO STUDY Yasemin Ulu Deparmen of Economics American
More informationThe Relationship between Money Demand and Interest Rates: An Empirical Investigation in Sri Lanka
The Relaionship beween Money Demand and Ineres Raes: An Empirical Invesigaion in Sri Lanka R. C. P. Padmasiri 1 and O. G. Dayarana Banda 2 1 Economic Research Uni, Deparmen of Expor Agriculure 2 Deparmen
More informationDocumentation: Philadelphia Fed's Real-Time Data Set for Macroeconomists First-, Second-, and Third-Release Values
Documenaion: Philadelphia Fed's Real-Time Daa Se for Macroeconomiss Firs-, Second-, and Third-Release Values Las Updaed: December 16, 2013 1. Inroducion We documen our compuaional mehods for consrucing
More informationANSWER ALL QUESTIONS. CHAPTERS 6-9; (Blanchard)
ANSWER ALL QUESTIONS CHAPTERS 6-9; 18-20 (Blanchard) Quesion 1 Discuss in deail he following: a) The sacrifice raio b) Okun s law c) The neuraliy of money d) Bargaining power e) NAIRU f) Wage indexaion
More informationIntroduction. Enterprises and background. chapter
NACE: High-Growh Inroducion Enerprises and background 18 chaper High-Growh Enerprises 8 8.1 Definiion A variey of approaches can be considered as providing he basis for defining high-growh enerprises.
More informationEconomics 602 Macroeconomic Theory and Policy Problem Set 9 Professor Sanjay Chugh Spring 2012
Deparmen of Applied Economics Johns Hopkins Universiy Economics 602 Macroeconomic Theory and Policy Prolem Se 9 Professor Sanjay Chugh Spring 2012 1. Sock, Bonds, Bills, and he Financial Acceleraor. In
More informationOPTIMUM FISCAL AND MONETARY POLICY USING THE MONETARY OVERLAPPING GENERATION MODELS
Kuwai Chaper of Arabian Journal of Business and Managemen Review Vol. 3, No.6; Feb. 2014 OPTIMUM FISCAL AND MONETARY POLICY USING THE MONETARY OVERLAPPING GENERATION MODELS Ayoub Faramarzi 1, Dr.Rahim
More informationFinancial Econometrics Jeffrey R. Russell Midterm Winter 2011
Name Financial Economerics Jeffrey R. Russell Miderm Winer 2011 You have 2 hours o complee he exam. Use can use a calculaor. Try o fi all your work in he space provided. If you find you need more space
More informationWatch out for the impact of Scottish independence opinion polls on UK s borrowing costs
Wach ou for he impac of Scoish independence opinion polls on UK s borrowing coss Cosas Milas (Universiy of Liverpool; email: cosas.milas@liverpool.ac.uk) and Tim Worrall (Universiy of Edinburgh; email:
More information*Corresponding author Keywords: CNH, Currency Intervention Index, Central Bank Reaction Function, Exchange Rate Intervention.
016 3rd Inernaional Conference on Advanced Educaion and Managemen (ICAEM 016) ISBN: 978-1-60595-380-9 Exchange Rae Inervenion by Cenral Bank: Based on he Influence of he Hong Kong Offshore RMB Exchange
More informationSupplement to Chapter 3
Supplemen o Chaper 3 I. Measuring Real GD and Inflaion If here were only one good in he world, anchovies, hen daa and prices would deermine real oupu and inflaion perfecly: GD Q ; GD Q. + + + Then, he
More informationEmpirical analysis on China money multiplier
Aug. 2009, Volume 8, No.8 (Serial No.74) Chinese Business Review, ISSN 1537-1506, USA Empirical analysis on China money muliplier SHANG Hua-juan (Financial School, Shanghai Universiy of Finance and Economics,
More informationMacroeconomic Surprises and International Financial Market Returns
Inernaional Journal of Business and Social Science Volume 8 Number 8 Augus 2017 Macroeconomic Surprises and Inernaional Financial Marke Reurns Kyung-Chun Mun School of Business Truman Sae Universiy 100
More informationCOOPERATION WITH TIME-INCONSISTENCY. Extended Abstract for LMSC09
COOPERATION WITH TIME-INCONSISTENCY Exended Absrac for LMSC09 By Nicola Dimiri Professor of Economics Faculy of Economics Universiy of Siena Piazza S. Francesco 7 53100 Siena Ialy Dynamic games have proven
More information2. Quantity and price measures in macroeconomic statistics 2.1. Long-run deflation? As typical price indexes, Figure 2-1 depicts the GDP deflator,
1 2. Quaniy and price measures in macroeconomic saisics 2.1. Long-run deflaion? As ypical price indexes, Figure 2-1 depics he GD deflaor, he Consumer rice ndex (C), and he Corporae Goods rice ndex (CG)
More informationInformation in the term structure for the conditional volatility of one year bond returns
Informaion in he erm srucure for he condiional volailiy of one year bond reurns Revansiddha Basavaraj Khanapure 1 This Draf: December, 2013 1 Conac: 42 Amsel Avenue, 318 Purnell Hall, Newark, Delaware,
More informationAnticipation Effects in Fiscal
Anicipaion Effecs in Fiscal Ramey QJE (211) .5.4.5.6.7 1 Defense Spending During Korean War Defense Spending During Vienam War 1948 1949 195 1951 1952 1953 1954 1955 1964 1965 1966 1967 1968 1969 197 -.1
More informationMacroeconomics. Typical macro questions (I) Typical macro questions (II) Methodology of macroeconomics. Tasks carried out by macroeconomists
Macroeconomics Macroeconomics is he area of economics ha sudies he overall economic aciviy in a counry or region by means of indicaors of ha aciviy. There is no essenial divide beween micro and macroeconomics,
More informationRevisiting exchange rate puzzles
Revisiing exchange rae puzzles Charles Engel and Feng Zhu Absrac Engel and Zhu (207) revisi a number of major exchange rae puzzles and conduc empirical ess o compare he behaviour of real exchange raes
More informationNational saving and Fiscal Policy in South Africa: an Empirical Analysis. by Lumengo Bonga-Bonga University of Johannesburg
Naional saving and Fiscal Policy in Souh Africa: an Empirical Analysis by Lumengo Bonga-Bonga Universiy of Johannesburg Inroducion A paricularly imporan issue in Souh Africa is he exen o which fiscal policy
More informationDoes Inflation Targeting Anchor Long-Run Inflation Expectations?
Does Inflaion Targeing Anchor Long-Run Inflaion Expecaions? Evidence from Long-Term Bond Yields in he Unied Saes, Unied Kingdom, and Sweden Refe S. Gürkaynak, Andrew T. Levin, and Eric T. Swanson Bilken
More informationSubdivided Research on the Inflation-hedging Ability of Residential Property: A Case of Hong Kong
Subdivided Research on he -hedging Abiliy of Residenial Propery: A Case of Hong Kong Guohua Huang 1, Haili Tu 2, Boyu Liu 3,* 1 Economics and Managemen School of Wuhan Universiy,Economics and Managemen
More informationCHAPTER CHAPTER18. Openness in Goods. and Financial Markets. Openness in Goods, and Financial Markets. Openness in Goods,
Openness in Goods and Financial Markes CHAPTER CHAPTER18 Openness in Goods, and Openness has hree disinc dimensions: 1. Openness in goods markes. Free rade resricions include ariffs and quoas. 2. Openness
More informationLiquidity and Exchange Rates: An Empirical Investigation
Liquidiy and Exchange aes: An Empirical Invesigaion Charles Engel Seve Pak Yeung Wu Universiy of Wisconsin January 2, 209 (firs draf, November 208) Absrac We find srong empirical evidence ha economic fundamenals
More informationCapital Strength and Bank Profitability
Capial Srengh and Bank Profiabiliy Seok Weon Lee 1 Asian Social Science; Vol. 11, No. 10; 2015 ISSN 1911-2017 E-ISSN 1911-2025 Published by Canadian Cener of Science and Educaion 1 Division of Inernaional
More informationINSTITUTE OF ACTUARIES OF INDIA
INSIUE OF ACUARIES OF INDIA EAMINAIONS 23 rd May 2011 Subjec S6 Finance and Invesmen B ime allowed: hree hours (9.45* 13.00 Hrs) oal Marks: 100 INSRUCIONS O HE CANDIDAES 1. Please read he insrucions on
More informationLIDSTONE IN THE CONTINUOUS CASE by. Ragnar Norberg
LIDSTONE IN THE CONTINUOUS CASE by Ragnar Norberg Absrac A generalized version of he classical Lidsone heorem, which deals wih he dependency of reserves on echnical basis and conrac erms, is proved in
More informationReturn-Volume Dynamics of Individual Stocks: Evidence from an Emerging Market
Reurn-Volume Dynamics of Individual Socks: Evidence from an Emerging Marke Cein Ciner College of Business Adminisraion Norheasern Universiy 413 Hayden Hall Boson, MA 02214 Tel: 617-373 4775 E-mail: c.ciner@neu.edu
More informationThe Global Factor in Neutral Policy Rates
The Global acor in Neural Policy Raes Some Implicaions for Exchange Raes Moneary Policy and Policy Coordinaion Richard Clarida Lowell Harriss Professor of Economics Columbia Universiy Global Sraegic Advisor
More informationPricing FX Target Redemption Forward under. Regime Switching Model
In. J. Conemp. Mah. Sciences, Vol. 8, 2013, no. 20, 987-991 HIKARI Ld, www.m-hikari.com hp://dx.doi.org/10.12988/ijcms.2013.311123 Pricing FX Targe Redempion Forward under Regime Swiching Model Ho-Seok
More informationUnemployment and Phillips curve
Unemploymen and Phillips curve 2 of The Naural Rae of Unemploymen and he Phillips Curve Figure 1 Inflaion versus Unemploymen in he Unied Saes, 1900 o 1960 During he period 1900 o 1960 in he Unied Saes,
More informationLi Gan Guan Gong Michael Hurd. April, 2006
Ne Inergeneraional Transfers from an Increase in Social Securiy Benefis Li Gan Guan Gong Michael Hurd April, 2006 ABSTRACT When he age of deah is uncerain, individuals will leave bequess even if hey have
More informationMonetary policy and multiple equilibria in a cash-in-advance economy
Economics Leers 74 (2002) 65 70 www.elsevier.com/ locae/ econbase Moneary policy and muliple equilibria in a cash-in-advance economy Qinglai Meng* The Chinese Universiy of Hong Kong, Deparmen of Economics,
More informationVolatility Spillovers between Stock Market Returns and Exchange Rate Changes: the New Zealand Case
Volailiy Spillovers beween Sock Marke eurns and Exchange ae Changes: he New Zealand Case Choi, D.F.S., V. Fang and T.Y. Fu Deparmen of Finance, Waikao Managemen School, Universiy of Waikao, Hamilon, New
More informationOn the Relationship between Time-Varying Price dynamics of the Underlying. Stocks: Deregulation Effect on the Issuance of Third-Party Put Warrant
On he Relaionship beween Time-Varying Price dynamics of he Underlying Socks: Deregulaion Effec on he Issuance of Third-Pary Pu Warran Yi-Chen Wang * Deparmen of Financial Operaions, Naional Kaohsiung Firs
More informationWORKING PAPER SERIES 7. Balázs Égert and Luboš Komárek: Foreign Exchange Interventions and Interest Rate Policy in the Czech Republic: Hand in Glove?
WORKING PAPER SERIES 7 Balázs Éger and Luboš Komárek: Foreign Exchange Inervenions and Ineres Rae Policy in he Czech Republic: Hand in Glove? WORKING PAPER SERIES Foreign Exchange Inervenions and Ineres
More informationEstimating Time-Varying Policy Neutral Rate in Real Time
Esimaing Time-Varying Policy Neural Rae in Real Time Roman Horváh* Czech Naional Bank and Insiue of Economic Sudies, Charles Universiy This version: December 0, 006 ABSTRACT This paper examines policy
More informationMacroeconomic Variables Effect on US Market Volatility using MC-GARCH Model
Journal of Applied Finance & Banking, vol. 4, no. 1, 2014, 91-102 ISSN: 1792-6580 (prin version), 1792-6599 (online) Scienpress Ld, 2014 Macroeconomic Variables Effec on US Marke Volailiy using MC-GARCH
More informationA NOTE ON BUSINESS CYCLE NON-LINEARITY IN U.S. CONSUMPTION 247
Journal of Applied Economics, Vol. VI, No. 2 (Nov 2003), 247-253 A NOTE ON BUSINESS CYCLE NON-LINEARITY IN U.S. CONSUMPTION 247 A NOTE ON BUSINESS CYCLE NON-LINEARITY IN U.S. CONSUMPTION STEVEN COOK *
More informationIdentifying the Effects of Monetary Policy Shock on Output and Prices in Thailand
MPRA Munich Personal RePEc Archive Idenifying he Effecs of Moneary Policy Shock on Oupu and Prices in Thailand Komain Jiranyakul Naional Insiue of Developmen Adminisraion December 2016 Online a hps://mpra.ub.uni-muenchen.de/75708/
More informationShould Central Banks React to Exchange Rate Movements? An Analysis of the Robustness of Simple Policy Rules under Exchange Rate Uncertainty
This version: July 31, 3 Firs version: November 9, Commens are welcome Should Cenral Banks Reac o Exchange Rae Movemens? An Analysis of he Robusness of Simple Policy Rules under Exchange Rae Uncerainy
More informationReconciling Gross Output TFP Growth with Value Added TFP Growth
Reconciling Gross Oupu TP Growh wih Value Added TP Growh Erwin Diewer Universiy of Briish Columbia and Universiy of New Souh Wales ABSTRACT This aricle obains relaively simple exac expressions ha relae
More informationSpeculator identification: A microstructure approach
Speculaor idenificaion: A microsrucure approach Ben Z. Schreiber* Augus 2011 Absrac This paper suggess a mehodology for idenifying speculaors in FX markes by examining boh he speculaive characerisics of
More informationCHAPTER CHAPTER26. Fiscal Policy: A Summing Up. Prepared by: Fernando Quijano and Yvonn Quijano
Fiscal Policy: A Summing Up Prepared by: Fernando Quijano and vonn Quijano CHAPTER CHAPTER26 2006 Prenice Hall usiness Publishing Macroeconomics, 4/e Olivier lanchard Chaper 26: Fiscal Policy: A Summing
More informationExtreme Risk Value and Dependence Structure of the China Securities Index 300
MPRA Munich Personal RePEc Archive Exreme Risk Value and Dependence Srucure of he China Securiies Index 300 Terence Tai Leung Chong and Yue Ding and Tianxiao Pang The Chinese Universiy of Hong Kong, The
More informationComparison of back-testing results for various VaR estimation methods. Aleš Kresta, ICSP 2013, Bergamo 8 th July, 2013
Comparison of back-esing resuls for various VaR esimaion mehods, ICSP 3, Bergamo 8 h July, 3 THE MOTIVATION AND GOAL In order o esimae he risk of financial invesmens, i is crucial for all he models o esimae
More informationVolume 31, Issue 1. Pitfall of simple permanent income hypothesis model
Volume 31, Issue 1 ifall of simple permanen income hypohesis model Kazuo Masuda Bank of Japan Absrac ermanen Income Hypohesis (hereafer, IH) is one of he cenral conceps in macroeconomics. Single equaion
More informationUzawa(1961) s Steady-State Theorem in Malthusian Model
MPRA Munich Personal RePEc Archive Uzawa(1961) s Seady-Sae Theorem in Malhusian Model Defu Li and Jiuli Huang April 214 Online a hp://mpra.ub.uni-muenchen.de/55329/ MPRA Paper No. 55329, posed 16. April
More informationMeasuring the Effects of Exchange Rate Changes on Investment in Australian Manufacturing Industry
Measuring he Effecs of Exchange Rae Changes on Invesmen in Ausralian Manufacuring Indusry Auhor Swif, Robyn Published 2006 Journal Tile The Economic Record DOI hps://doi.org/10.1111/j.1475-4932.2006.00329.x
More informationImportance of the macroeconomic variables for variance. prediction: A GARCH-MIDAS approach
Imporance of he macroeconomic variables for variance predicion: A GARCH-MIDAS approach Hossein Asgharian * : Deparmen of Economics, Lund Universiy Ai Jun Hou: Deparmen of Business and Economics, Souhern
More informationUNSW Business School Working Paper
UNSW Business School Working Paper UNSW Business School Research Paper No. 2015 ECON 4 Oupu Growh and Inflaion across Space and Time W.Erwin Diewer Kevin J. Fox This paper can be downloaded wihou charge
More informationProblem Set 1 Answers. a. The computer is a final good produced and sold in Hence, 2006 GDP increases by $2,000.
Social Analysis 10 Spring 2006 Problem Se 1 Answers Quesion 1 a. The compuer is a final good produced and sold in 2006. Hence, 2006 GDP increases by $2,000. b. The bread is a final good sold in 2006. 2006
More informationMay 2007 Exam MFE Solutions 1. Answer = (B)
May 007 Exam MFE Soluions. Answer = (B) Le D = he quarerly dividend. Using formula (9.), pu-call pariy adjused for deerminisic dividends, we have 0.0 0.05 0.03 4.50 =.45 + 5.00 D e D e 50 e = 54.45 D (
More informationCentral Bank Intervention and Exchange Rate Volatility (Empirically Testing Conflicting Results)
Cenral Bank Inervenion and Exchange Rae Volailiy (Empirically Tesing Conflicing Resuls) Econ 11C Term Paper Professor Ai-Ru Cheng 1/16/07 by Sanchia Mukherjee Vladyslav Sushko 1 Table of Conens: 1. Inroducion...
More informationDo market-based inflation expectations matter for interest rate decisions? 1
Do marke-based inflaion expecaions maer for ineres rae decisions? 1 Jérôme Coffine 2, Jean-Séphane Mésonnier 3, Axel Lang 4 This version : 19 February 2009 Absrac We examine o wha exen cenral bankers pay
More informationMonetary Policy Rules and Inflation Targets in Emerging Economies: Evidence for Mexico and Israel
Moneary Policy Rules and Inflaion Targes in Emerging Economies: Evidence for Mexico and Israel Rebeca I. Muñoz Torres Universiy of Leiceser January 2005 Absrac This sudy analyses he main deerminans of
More informationUncovered Interest Parity and Monetary Policy Freedom in Countries with the Highest Degree of Financial Openness
www.ccsene.org/ijef Inernaional Journal of Economics and Finance Vol. 3, No. 1; February 11 Uncovered Ineres Pariy and Moneary Policy Freedom in Counries wih he Highes Degree of Financial Openness Yuniaro
More informationSTABLE BOOK-TAX DIFFERENCES, PRIOR EARNINGS, AND EARNINGS PERSISTENCE. Joshua C. Racca. Dissertation Prepared for Degree of DOCTOR OF PHILOSOPHY
STABLE BOOK-TAX DIFFERENCES, PRIOR EARNINGS, AND EARNINGS PERSISTENCE Joshua C. Racca Disseraion Prepared for Degree of DOCTOR OF PHILOSOPHY UNIVERSITY OF NORTH TEXAS Augus 0 APPROVED: Teresa Conover,
More informationJuan Paez-Farrell Cardiff University. Abstract
Undersanding moneary policy in Cenral European counries using Taylor-ype rules: he case of he Visegrad four Juan Paez-Farrell Cardiff Universiy Absrac This paper assesses o wha exen simple Taylor-ype moneary
More informationExam 1. Econ520. Spring 2017
Exam 1. Econ520. Spring 2017 Professor Luz Hendricks UNC Insrucions: Answer all quesions. Clearly number your answers. Wrie legibly. Do no wrie your answers on he quesion shees. Explain your answers do
More informationNon-Traded Goods and Real Exchange Rate Volatility in a Two-Country DSGE Model
Inernaional Journal of Economics and Finance; Vol. 7, No. 2; 205 ISSN 96-97X E-ISSN 96-9728 Published by Canadian Cener of Science and Educaion Non-Traded Goods and Real Exchange Rae Volailiy in a Two-Counry
More informationDo fund investors destabilize the Chinese stock market?
Do fund invesors desabilize he Chinese sock marke? Maozu LU a, Yun ZHU b Absrac In his paper, we sudy he relaion beween fund flow and marke volailiy a aggregae level using daily daa and provide empirical
More informationThe effect of inflation on stock prices of listed companies in Tehran stock exchange 1
Available online a www.worldscienificnews.com WSN 40 (016) 35-47 EISSN 39-19 The effec of inflaion on sock prices of lised companies in Tehran sock exchange 1 ABSTRACT Freyedon Ahmadi Assisan Professor,
More informationPortfolio investments accounted for the largest outflow of SEK 77.5 billion in the financial account, which gave a net outflow of SEK billion.
BALANCE OF PAYMENTS DATE: 27-11-27 PUBLISHER: Saisics Sweden Balance of Paymens and Financial Markes (BFM) Maria Falk +46 8 6 94 72, maria.falk@scb.se Camilla Bergeling +46 8 6 942 6, camilla.bergeling@scb.se
More informationUncovered interest parity and policy behavior: new evidence
Economics Leers 69 (000) 81 87 www.elsevier.com/ locae/ econbase Uncovered ineres pariy and policy behavior: new evidence Michael Chrisensen* The Aarhus School of Business, Fuglesangs Alle 4, DK-810 Aarhus
More informationExchange Rate Models Are Not as Bad as You Think
Exchange Rae Models Are No as Bad as You Think Charles Engel Universiy of Wisconsin and NBER Nelson C. Mark Universiy of Nore Dame and NBER Kenneh D. Wes Universiy of Wisconsin and NBER April 10, 2007
More informationMoney, Income, Prices, and Causality in Pakistan: A Trivariate Analysis. Fazal Husain & Kalbe Abbas
Money, Income, Prices, and Causaliy in Pakisan: A Trivariae Analysis Fazal Husain & Kalbe Abbas I. INTRODUCTION There has been a long debae in economics regarding he role of money in an economy paricularly
More information(1 + Nominal Yield) = (1 + Real Yield) (1 + Expected Inflation Rate) (1 + Inflation Risk Premium)
5. Inflaion-linked bonds Inflaion is an economic erm ha describes he general rise in prices of goods and services. As prices rise, a uni of money can buy less goods and services. Hence, inflaion is an
More informationSMALL MENU COSTS AND LARGE BUSINESS CYCLES: AN EXTENSION OF THE MANKIW MODEL
SMALL MENU COSTS AND LARGE BUSINESS CYCLES: AN EXTENSION OF THE MANKIW MODEL 2 Hiranya K. Nah, Sam Houson Sae Universiy Rober Srecher, Sam Houson Sae Universiy ABSTRACT Using a muli-period general equilibrium
More informationThe Effect of a Discount Rate on Price Change Behavior: An Empirical Analysis. Robert Stretcher 1. and. Hiranya K Nath 2. February 2004 (Preliminary)
The Effec of a Discoun Rae on Price Change Behavior: An Empirical Analysis Rober Srecher and Hiranya K Nah February 4 (Preliminary) Absrac: This paper examines if here is any empirical evidence o suppor
More informationMoney in a Real Business Cycle Model
Money in a Real Business Cycle Model Graduae Macro II, Spring 200 The Universiy of Nore Dame Professor Sims This documen describes how o include money ino an oherwise sandard real business cycle model.
More informationThe Intraday Behavior of Information Misreaction across Investor Categories in the Taiwan Options Market
The Inraday Behavior of Informaion Misreacion across Invesor Caegories in he Taiwan Opions Marke Chuang-Chang Chang a, Pei-Fang Hsieh b, Chih-Wei Tang c,yaw-huei Wang d a c Deparmen of Finance, Naional
More informationChapter 7 Monetary and Exchange Rate Policy in a Small Open Economy
George Alogoskoufis, Inernaional Macroeconomics, 2016 Chaper 7 Moneary and Exchange Rae Policy in a Small Open Economy In his chaper we analyze he effecs of moneary and exchange rae policy in a shor run
More informationThe Reliability of Output Gap Estimates in Canada
The Reliabiliy of Oupu Gap Esimaes in Canada Jean-Philippe Cayen 1 and Simon van Norden 2 1 Bank of Canada jcayen@bankofcanada.ca 2 HEC (Monréal) and CIRANO simon.van-norden@hec.ca In his paper, we measure,
More informationInventory Investment. Investment Decision and Expected Profit. Lecture 5
Invenory Invesmen. Invesmen Decision and Expeced Profi Lecure 5 Invenory Accumulaion 1. Invenory socks 1) Changes in invenory holdings represen an imporan and highly volaile ype of invesmen spending. 2)
More informationLecture 23: Forward Market Bias & the Carry Trade
Lecure 23: Forward Marke Bias & he Carry Trade Moivaions: Efficien markes hypohesis Does raional expecaions hold? Does he forward rae reveal all public informaion? Does Uncovered Ineres Pariy hold? Or
More informationWhat is Driving Exchange Rates? New Evidence from a Panel of U.S. Dollar Bilateral Exchange Rates
Wha is Driving Exchange Raes? New Evidence from a Panel of U.S. Dollar Bilaeral Exchange Raes Jean-Philippe Cayen Rene Lalonde Don Colei Philipp Maier Bank of Canada The views expressed are he auhors and
More informationOn Phase Shifts in a New Keynesian Model Economy. Joseph H. Haslag. Department of Economics. University of Missouri-Columbia. and.
On Phase Shifs in a New Keynesian Model Economy Joseph H. Haslag Deparmen of Economics Universiy of Missouri-Columbia and Xue Li Insiue of Chinese Financial Sudies & Collaboraive Innovaion Cener of Financial
More informationTwo ways to we learn the model
Two ways o we learn he model Graphical Inerface: Model Algebra: The equaion you used in your SPREADSHEET. Corresponding equaion in he MODEL. There are four core relaionships in he model: you have already
More informationInflation, its Volatility and the Inflation-Growth Tradeoff in India 1
ASARC Working Paper 203/06 Inflaion, is Volailiy and he Inflaion-Growh Tradeoff in India Raghbendra Jha and Varsha S. Kulkarni Ausralian Naional Universiy Indiana Universiy Bloomingon USA ABSTRACT This
More informationVOLATILITY CLUSTERING, NEW HEAVY-TAILED DISTRIBUTION AND THE STOCK MARKET RETURNS IN SOUTH KOREA
64 VOLATILITY CLUSTERING, NEW HEAVY-TAILED DISTRIBUTION AND THE STOCK MARKET RETURNS IN SOUTH KOREA Yoon Hong, PhD, Research Fellow Deparmen of Economics Hanyang Universiy, Souh Korea Ji-chul Lee, PhD,
More information