Showing papers in "Journal of International Money and Finance in 2010"

TL;DR: This article investigated how the trilemma policy mix affects economic performance in developing countries and found that greater monetary independence can dampen output volatility, while greater exchange rate stability is associated with greater output volatility.

TL;DR: In this article, the authors investigated the dependence structure between the equity market and the foreign exchange market by using copulas and found that there exists significant symmetric upper and lower tail dependence between the two financial markets, and the dependence remains significant but weaker after the launch of the euro.

TL;DR: The authors analyzes foreign reserve accumulation as a second best policy in economies with learning-by-investing externalities that arise disproportionately from the tradable sector and shows that reserve accumulation always increases growth in their framework, but the net welfare effects depend on the balance between the static losses from lower tradable absorption and the dynamic gains from higher growth.

TL;DR: In this article, the authors developed tests for unit roots that account jointly for structural breaks and non-linear adjustment induced by transaction costs, and applied these tests to a set of 15 OECD countries' RERs and were able to reject the null of a unit root in 14 cases.

TL;DR: The authors applied the same tests to a sample of 14 emerging market currencies and found that the bias in their forward rates is smaller than for advanced country currencies, which suggests that a time-varying exchange risk premium may not be the explanation for traditional findings of bias.

TL;DR: In this article, the authors provide new answers based on a novel panel data set of capital controls, disaggregated by asset class and by inflows/outflows, covering 74 countries during 1995-2005.

TL;DR: In this paper, the authors analyzed the relationship between explicit deposit insurance coverage and banks' risk-taking and found that the coverage that maximizes market discipline depends on country-specific characteristics of bank governance.

TL;DR: In this paper, the authors argue that sticky prices represent a key determinant of exchange rate pass-through and propose a simple theoretical model that can be used to account for the determinants of exchange-rate passthrough to consumer prices.

TL;DR: In this paper, the authors analyze equilibrium determinacy in a sticky price model in which the pass-through from policy rates to retail interest rates is sluggish and potentially incomplete, and empirically characterize and compare the interest rate passthrough process in the euro area and the U.S.

TL;DR: The authors empirically examined whether trade and financial market openness matter for the impact on and transmission to stock prices of monetary policy shocks in Canada and the United States, and they found that these differences are largely driven by differences in financial market open-ness.

TL;DR: In this article, the authors found that on average domestic company foreign exchange exposure is not significantly different from the exposures faced by multinational firms, and that the level of domestic firm exposure is negatively related to firm size and asset turnover, and positively related to the market to book ratio and financial leverage.

TL;DR: In this article, a dynamic heterogeneous agent model is proposed to explain the dynamics of exchange rates during the EMS period, and the model outperforms the random walk and the static heterogeneous agents' model in out-of-sample forecasting in the large majority of country-horizon combinations.

TL;DR: In this article, the authors explore the possibility of structural breaks in the daily realized volatility of the Deutschemark/Dollar, Yen/D dollar and Yen/Deutschemark spot exchange rates with observed long memory behavior.

TL;DR: In this paper, the authors extended the standard intertemporal model of the current account to allow for non-Ricardian household behavior and derived testable cross-equation restrictions for the current-account and investment by drawing on the distinction between country-specific and global innovations to productivity.

TL;DR: This article found that the U.S. sub-prime crisis may have been merely a trigger for a global bank run and for disillusionment with a risky business model that already had spread around the world.

TL;DR: The authors showed that after a supersanction was imposed, a country improved its fiscal discipline and the ex ante default probabilities on new issues fell dramatically and the country spent no additional time in default.

TL;DR: In this article, a two-factor model with global and regional market shocks as factors was developed to test contagion in 14 European countries for a set of 14 countries and found that the model outperformed more restricted versions of the factor specifications.

TL;DR: The authors conducted an empirical investigation to assess the extent of de facto sterilization and capital mobility using monthly data between mid 2000 and late 2008 and found that China has been able to successfully sterilize a large portion of these reserve increases thus making it a reserve sink such as Germany was under the Bretton Wood system.

TL;DR: In this paper, an empirical investigation of the hypotheses that exchange rate uncertainty may have an impact on both the volume and variability of trade flows by considering a broad set of industrial countries' bilateral real trade flows over the period 1980-1998 is presented.

TL;DR: In this paper, a NATREX model for two large economies, the Eurozone and the United States, was developed for explaining the medium-long term dynamics of the real exchange rate in a number of industrial countries.

TL;DR: In this paper, the authors study the growth effects of exposure to foreign currency debt using data from two periods of international financial integration (1880-1913 and 1973-2002) for over 45 countries.

TL;DR: In this article, a stable long run money demand relationship was identified, where recursively estimated parameters are almost stable in addition, the corresponding error correction model survives a wide array of specification tests, including procedures for nonlinearities and parameter instability, and is not expected to lead to a rise in inflation.

TL;DR: In this paper, a flexible time-varying copula model is proposed to model the conditional correlation between exchange rates and is applied to Euro/US dollars and Japanese Yen/US dollar.

TL;DR: In this article, the authors study the effect of international financial integration on economic development when the quality of governance may be compromised by corruption and conclude that corruption is always bad for economic development, but its effect is worse if the economy is open than if it is closed.

TL;DR: In this paper, a measure of bank's intermediation quality using bank-specific efficiency estimates and focus on the regions of one economy only: Germany was proposed and shown to have a significantly positive effect on economic growth.

TL;DR: In this paper, the sustainability of the US current account (CA) deficit by means of unit-root tests was analyzed using a non-linear ESTAR model and the results showed that the nonlinear model outperformed the linear and random walk models in terms of forecast performance.

TL;DR: In this paper, the authors show that there is likely an optimal intermediate degree of central bank transparency that improves the quality of private sector inflation forecasts, but beyond the optimum people might start to attach too much weight to the conditionality of their forecasts, and/or get confused by the large and increasing amount of information they receive.

TL;DR: In this article, the authors used bank-level data from 2000 to 2009 to examine the effectiveness in promoting bank lending of a key element of the QEP, the Bank of Japan's injections of liquidity into the interbank market, and identify a robust, positive, and statistically significant effect of bank liquidity positions on lending, especially for weaker banks.

TL;DR: In this article, the authors identify a stable long-run money demand relationship in Euro area monetary growth has exceeded its target since 2001 and find evidence in favour of stable long run money demand function in contrast to the bulk of the literature.

TL;DR: The authors proposed a simple structural model of exchange rate determination which is inspired by the analytical framework recently forward by Bacchetta and van Wincoop (2006) and allows disentangling the portfolio-balance and information effects of order flow on exchange rates.