Adjustments of Capital Account Restrictions and Exchange Rate Regimes in East Asia

Yoshino, Naoyuki; Kaji, Sahoko; Asonuma, Tamon

doi:10.2139/ssrn.2589433

Cited by 2 publications

(2 citation statements)

References 27 publications

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“…The empirical analysis is undertaken by deploying the generalized autoregressive conditional heteroscedasticity (GARCH) model. In the econometric model specification for individual country, country-specific monetary policy regimes are taken into consideration, such as the period of inflation targeting, managed float of exchange rates and cross-border capital control, as they have direct implications for the behaviour of domestic inflation (Frankel, 2003; Benati, 2008; Bratsiotis, Madsen, & Martin, 2015; Yoshino, Kaji, & Asonuma, 2015). Using year-on-year monthly consumer price inflation over the period of M01, 1958 to M02, 2016 for the sample countries, first, a quantitative assessment for short-run conditional volatility is explored in order to examine if the magnitudes of volatilities are different between the two groups of economies.…”

Section: Introductionmentioning

confidence: 99%

Empirical Regularities of Inflation Volatility: Evidence from Advanced and Developing Countries

Banerjee¹

2017

South Asian Journal of Macroeconomics and Public Finance

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How does volatility of inflation differ across the economies? Addressing this research question, the article undertakes an empirical exercise on monthly consumer price inflation over the sample period of M01, 1958 to M02, 2016 for 41 countries using the generalized autoregressive conditional heteroscedasticity (GARCH) (1, 1) model. The country-level analysis shows a modest difference of conditional volatility of inflation between the advanced and developing economies. However, this difference increases after controlling the country-specific traits by fixed effect panel estimation using generalized methods of moments on the estimated GARCH series. It is observed that, in the long run, the conditional variability of inflation is nearly three and half times greater in developing countries compared to advanced countries. JEL Classification: E10, E30, E31

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Section: Introductionmentioning

confidence: 99%

Empirical Regularities of Inflation Volatility: Evidence from Advanced and Developing Countries

Banerjee¹

2017

South Asian Journal of Macroeconomics and Public Finance

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“…See Yoshino, et al (forthcoming) for adjustments of capital account restrictions and exchange rate regimes in East Asia.…”

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confidence: 99%

Dynamic Analysis of the Exchange Rate Regime: Policy Implications for Emerging Countries in East Asia

Yoshino

Kaji

Asonuma

2015

Review Development Economics

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This paper discusses exchange rate policies in East Asia. In particular, we explore whether actual policies that have been implemented by East Asian countries after the Asian Financial Crisis follow or deviate from theoretically “desirable” policies over the medium and long terms. On theoretical analysis, we show the relative superiority of a basket‐peg regime with the basket weight rule when compared with a floating regime implementing the interest rate rule or money supply rule. For countries that currently adopt a fixed exchange rate regime, they would be better off shifting toward either a basket‐peg or a floating regime over the medium term. A shift to a basket peg is more preferred when compared with a shift to a floating regime when the exchange rate fluctuations are large.

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Adjustments of Capital Account Restrictions and Exchange Rate Regimes in East Asia

Cited by 2 publications

References 27 publications

Empirical Regularities of Inflation Volatility: Evidence from Advanced and Developing Countries

Empirical Regularities of Inflation Volatility: Evidence from Advanced and Developing Countries

Dynamic Analysis of the Exchange Rate Regime: Policy Implications for Emerging Countries in East Asia

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