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Foreign exchange market

About: Foreign exchange market is a research topic. Over the lifetime, 6661 publications have been published within this topic receiving 153384 citations. The topic is also known as: forex & FX.


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Journal ArticleDOI
TL;DR: In this paper, the authors investigated whether there was contagion through the foreign exchange market in the Asian crisis and determined the contribution of contagion to the crisis, and they found evidence of contagions from Thailand to Indonesia and Malaysia with 13 and 21 percent of the pressure on the respective currencies attributable to contagion.
Abstract: This paper investigates whether there was contagion through the foreign exchange market in the Asian crisis, and, if so, determines the contribution of contagion to the crisis. More specifically, we examine whether the effect of the exchange market pressure (EMP) of Thailand, the origin of the crisis, on the EMP of four Asian crisis countries increased during the crisis. Instead of measuring contagion by the commonly used correlation coefficients, we apply regression analysis. To control for the impact of macroeconomic fundamentals, we construct a time-varying indicator measuring the fragility of each economy. Additionally, we control for spillovers and common external shocks. We find evidence of contagion from Thailand to Indonesia and Malaysia, with 13 and 21 percent of the pressure on the respective currencies attributable to contagion. For Korea and the Philippines there is no evidence of contagion.

39 citations

Journal ArticleDOI
TL;DR: The directional spillover effects and connectedness for both return and volatility of nine US dollar exchange rates of globally most traded currencies under the influence of trade policy uncertainty over the study period ranging from December 1993 to July 2019 are found.

39 citations

Journal ArticleDOI
TL;DR: This article reviewed the exchange rate policies adopted in the early years of transition, paying attention to the dilemmas concerning the degree of convertibility, the initial choice of exchange rate regime and the required scale of devaluation.
Abstract: This paper reviews the exchange rate policies adopted in the early years of transition, paying attention to the dilemmas concerning the degree of convertibility, the initial choice of exchange rate regime and the required scale of devaluation. The initial liberalization and devaluation were then followed by a period of real exchange rate appreciation, which was accompanied by improving export performance; this second phase has policy implications that are briefly discussed. Throughout, a key constraint is the inability of the central bank to target simultaneously monetary aggregates, interest rates and the exchange rate. In the presence of large capital inflows the authorities have to manage the exchange rate and domestic monetary policy in order to keep inflation acceptably low while maintaining international competitiveness.

39 citations

BookDOI
TL;DR: This paper examined whether a country's exchange rate regime has any impact on inflation and growth performance in transition economies, and developed an empirical framework that addressed some of the main problems plaguing empirical work.
Abstract: To examine whether a country's exchange rate regime has any impact on inflation and growth performance in transition economies, the authors develop an empirical framework that addresses some of the main problems plaguing empirical work in this strand of the literature: the Lucas critique, the endogeneity of the exchange rate regime, and the sample selection problem. Empirical results demonstrate that the exchange rate regime does affect inflation performance. the results suggest that: 1) Transition countries with intermediate arrangements might reduce inflation if they were to adopt a fixed regime. 2) Switching from a floating regime to an intermediate regime might not reduce inflation. 3) An unanticipated float--when a country whose fundamentals make it unlikely to adopt another regime adopts a floating regime--results in lower inflation. Based on their results, it is not possible to infer more about one particular exchange rate regime being superior to another in terms of growth performance. But empirical findings do underscore the different effects that policy variables--and other variables influencing economic activity--have on growth under different exchange-rate arrangements.

39 citations

Posted Content
Mikko Spolander1
TL;DR: In this article, a model-consistent approach is used to measure exchange market pressure and central bank intervention policy in a system of floating currency and partly sterilized foreign exchange interventions.
Abstract: This study contributes to the measurement of exchange market pressure and central bank intervention policy in a system of floating currency and partly sterilized foreign exchange interventions. A model-consistent approach is used. The measures of exchange market pressure and degree of intervention in the foreign exchange market are derived in the context of an empirically oriented small open economy monetary model with rational expectations. Monetary and foreign exchange policies are explicitly defined and foreign exchange interventions are allowed to be partly sterilized. Finally, the model is applied to Finnish data in order to analyse the pressure on the markka, which was floating during the period 1992?1996, and the Bank of Finland's reaction to that pressure. In contrast to most other empirical studies using various proxy variables, actual intervention data is used. According to the estimation results, the inclusion of the monetary policy reaction function and especially the sterilization of foreign exchange intervention makes the values of the measures of exchange market pressure and intervention policy more realistic and hence easier to interpret. This means that the fact that foreign exchange interventions are at least partly sterilized in the main industrial countries should be taken into account when exchange market pressure and central bank intervention policy are measured. This has not been done in other studies using a model-consistent approach. When the Bank of Finland's reaction to exchange market pressure is analysed, the results seem to suggest that the Bank let the markka float quite freely, reduced its intervention activity gradually as exchange market pressure diminished, and considered markka appreciation more desirable than depreciation during the markka float.

39 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
2023158
2022202
2021157
2020171
2019209
2018198