Fixed exchange rates and trade

Klein, Michael W.; Shambaugh, Jay C.

doi:10.1016/j.jinteco.2006.01.001

Cited by 135 publications

(34 citation statements)

References 36 publications

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“…Table 3 suggest that a one-day change from US$ 20 million to US$ 40 million raises the Colombian exchange rate by approximately Col $ 2. This means (all caveats considered) that actual interventions of US$ 1000 million, the amount mentioned by Fratzscher (2012) for the G3 countries, increase the exchange rate in one day by approximately 5.50% (using an exchange rate of $ 1,817 36 See Villar and Rincón (2000) and Klein and Shambaugh (2006). 37 Echavarría, Vásquez, and Villamizar (2009) do not find a significant impact for The last two authors also show that there is a variable risk premium which could explain the result.…”

Section: Ivamentioning

confidence: 99%

The impact of pre-announced day-to-day interventions on the colombian exchange rate

Echavarría-Soto¹,

Melo‐Velandia²,

Téllez³

et al. 2013

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The adoption of a managed regime assumes that interventions are relatively successful. However, while some authors consider that foreign exchange interventions are ineffective, arguing that domestic and foreign assets are close substitutes, others advocate their use and maintain that their effects can even last for months. There is also a lack of consensus on the related question of how to intervene. Are dirty interventions more powerful than pre-announced ones? This paper compares the effects of day-to-day interventions with discretionary interventions by combining a Tobit-GARCH reaction function with an asymmetric power PGARCH(1,

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Section: Ivamentioning

confidence: 99%

The impact of pre-announced day-to-day interventions on the colombian exchange rate

Echavarría-Soto¹,

Melo‐Velandia²,

Téllez³

et al. 2013

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“…However, openness remains significant in our regressions. 35 In Panel B, we take logarithms for both dependent and independent variables. In this case, β 31 GDP per capita is calculated as GDP divided by the total population in each country.…”

Section: Empirical Supportmentioning

confidence: 99%

“…For instance, see Asseery and Peel (1991) and Koray and Lastrapes (1989). 10 For instance, see Klein and Shambaugh (2006), Corsetti, et al (2000), and Pastine (2002).…”

mentioning

confidence: 99%

Home Bias, Exchange Rate Disconnect, and Optimal Exchange Rate Policy

Jian

2007

SSRN Journal

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This paper examines how much the central bank should adjust the interest rate in response to real exchange rate fluctuations. The paper first demonstrates in a two-country Dynamic Stochastic General Equilibrium (DSGE) model, that the home bias in consumption is important to duplicate the exchange rate volatility and exchange rate disconnect documented in the data. When home bias is high, the shock to Uncovered Interest-rate Parity (UIP) can substantially drive up exchange rate volatility while leaving the volatility of real macroeconomic variables, such as GDP, almost untouched. The model predicts that the volatility of the real exchange rate relative to that of GDP increases with the extent of home bias. This relation is supported by the data. A second-order accurate solution method is employed to find the optimal operational monetary policy rule. Our model suggests that the monetary authority should not seek to vigorously stabilize exchange rate fluctuations. In particular, when the central bank does not take a strong stance against the inflation rate, exchange rate stabilization may induce substantial welfare loss. The model does not detect welfare gain from the international monetary cooperation, which extends Obstfeld and Rogoff's (2002) findings to a DSGE model.

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“…The gravity model for trade is probably one of the most successful empirical applications in international economics and has been used profusely, since the pioneering article by Tinbergen (1962), to analyse aspects of great importance such as: the impact on trade of the GATT/WTO system (Rose, 2004); regional trade agreements (Baier & Bergstrand, 2007); non-reciprocal trade agreements (Gil-Pareja et al, 2014); exchange rate systems (Klein & Shambaugh, 2006); or monetary unions (Rose, 2000).…”

Section: Introductionmentioning

confidence: 99%

The internationalisation of the Spanish food industry: the home market effect and European market integration

Serrano

García-Casarejos

Gil‐Pareja

et al. 2015

Span. j. agric. res.

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The objective of this study was to analyse, from a long-term perspective, the factors determining the process of the internationalisation of the Spanish agrifood industry. The paper concentrates on the empirical verification of the existence of a home market effect in the food and drink industries in Spain and on the effects on trade flows of integration into the European Union. With this aim in mind, we took into account the latest contributions to the estimation of the gravity equation for a sample of export flows from 13 agrifood subsectors between 1970 and 2012, with a destination of 175 markets. From the results of the study the existence of the "home market effect" stands out as the determining factor of the increasing process of internationalisation in the majority of the subsectors of the food industry. On this point, the presence of this effect is remarkable in the most dynamic industries, where the process of restructuring caused by the development of the internal market was more intense. Furthermore, the influence of the process of European integration has been shown by the literature to be a very important factor. Our results qualify in part the results of previous studies, since the positive effect appeared later than expected. The positive effects did not appear until the completion of the process of transition by the dismantling of the barriers established in the treaty of accession to the European Union.

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Fixed exchange rates and trade

Cited by 135 publications

References 36 publications

The impact of pre-announced day-to-day interventions on the colombian exchange rate

The impact of pre-announced day-to-day interventions on the colombian exchange rate

Home Bias, Exchange Rate Disconnect, and Optimal Exchange Rate Policy

The internationalisation of the Spanish food industry: the home market effect and European market integration

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