nep-ifn New Economics Papers
on International Finance
Issue of 2006‒03‒05
twenty-six papers chosen by
Yi-Nung Yang
Chung Yuan Christian University

  1. Beyond Purchasing Power Parity: Nominal exchange rates, output shocks and non linear/asymmetric equilibrium adjustment in Central Europe By Michael Arghyrou; Virginie Boinet; Christopher Martin
  2. The Purchasing Power Parity Persistence Paradigm: Evidence from Black Currency Markets By Mario Cerrato; Neil Kellard; Nicholas Sarantis
  3. New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market By Kleopatra Nikolaou; Lucio Sarno
  4. Real Exchange Rates in Growing Economies: How Strong Is the Role of the Nontradables Sector? By Ken Miyajima
  5. Multiple breaks in lending rate pass-through A cross country study for the euro area By Gianluca Di Lorenzo; Giuseppe Marotta
  6. Regime Switching and Artificial Neural Network Forecasting of the Cyprus Stock Exchange Daily Returns By Georgios Kouretas; Eleni Constantinou; Robert Georgiades; Avo Kazandjian
  7. Risk management for an internationally diversified portfolio By Francesco Menoncin
  8. European parliament electoral turnout in Post-Communist Europe. By Christine Fauvelle-Aymar; Mary Stegmaier
  9. The Feasibility of a Fixed Exchange Rate Regime for New EU-members Evidence from Real Exchange Rates By Clemens J M Kool; Tom Van Veen; Bertrand Chandelon; Katharina Raabe
  10. Financial Dollarization in Latin America By Robert Rennhack; Masahiro Nozaki
  11. The Impact of Foreign Interest Rates on the Economy: The Role of the Exchange Rate Regime By Julian di Giovanni; Jay C. Shambaugh
  12. Optimal real exchange rate targeting: a stochastic analysis By Francesco Menoncin; Marco Tronzano
  13. A Fair Exchange? Theory and Practice of Calculating Equilibrium Exchange Rates By Tamim A. Bayoumi; Hamid Faruqee; Jaewoo Lee
  14. La crise monétaire turque de 2000/2001 : analyse de l'échec du plan de stabilisation par le change du FMI. By Jérôme Héricourt; Julien Reynaud
  15. Revisiting the Martingale hypothesis for exchange rates By Young-Sook Lee; Tae-Hwan Kim; Paul Newbold
  16. The Empirics of Foreign Exchange Intervention in Emerging Market Countries The Cases of Mexico and Turkey By Roberto Guimaraes; Cem Karacadag
  17. Estimating China's "Equilibrium" Real Exchange Rate By Steven Vincent Dunaway; Xiangming Li
  18. Interpreting Real Exchange Rate Movements in Transition Countries By Mark de Broeck; Torsten Sløk
  19. Strengthening IMF Crisis Prevention By Jonathan David Ostry; Jeromin Zettelmeyer
  20. Financial Sector Projections and Stress Testing in Financial Programming: A New Framework By Antonio Garcia Pascual; Ritu Basu; Nada Choueiri
  21. The Stock-Flow Approach to the Real Exchange Rate of CEE Transition Economies: By Kirsten Lommatzsch; Balazs Egert; Amina Lahreche-Revil
  22. American in the Shadows: Harry Dexter White and the Design of the International Monetary Fund By James M. Boughton
  23. International Reserves: Precautionary vs. Mercantilist Views, Theory, and Evidence By Jaewoo Lee; Joshua Aizenman
  24. On the Optimality of Delay in 'Monetary Policy as a Process of Search' By Doyle, Matthew
  25. Toward an Effective Supervision of Partially Dollarized Banking Systems By Antonio Garcia Pascual; Jorge Cayazzo; Socorro Heysen; Eva Gutierrez
  26. Money Demand and Inflation in Madagascar By Koffie Ben Nassar

  1. By: Michael Arghyrou (Cardiff Business School); Virginie Boinet (Brunel Business School); Christopher Martin (Brunel Business School)
    Date: 2005–09–03
  2. By: Mario Cerrato (London Metropolitan University); Neil Kellard (University of Essex); Nicholas Sarantis (London Metropolitan University)
    Date: 2005–09–03
  3. By: Kleopatra Nikolaou (University of Warwick); Lucio Sarno (Centre for Economic Policy Research)
    Date: 2005–09–03
  4. By: Ken Miyajima
    Keywords: Real effective exchange rates , Economic growth , Productivity , Accounting ,
    Date: 2005–12–22
  5. By: Gianluca Di Lorenzo; Giuseppe Marotta
    Abstract: A new approach to search for structural breaks in the retail lending rA new approach is proposed for searching multiple unknown breaks, possibly associated with EMU, in the short term business lending rate pass-through. Multiple breaks are detected in five out of nine countries of the euro area. The last break occurs much before the start of EMU for France, several months after that event for Austria, Italy and Germany. Long run pass-throughs decrease (except for France) sizably below one (except for the Netherlands); heterogeneity in the monetary transmission increases across countries. These results raise doubts on claims of a more effective monetary policy under EMU.
    Keywords: Interest rates; Monetary policy; Economic and Monetary Union; Cointegration analysis; Structural breaks
    JEL: E43 E52 E58 F36
    Date: 2006–02
  6. By: Georgios Kouretas (University of Crete); Eleni Constantinou (The Philips College, Cyprus); Robert Georgiades (The Philips College, Cyprus); Avo Kazandjian (The Philips College, Cyprus)
    Date: 2005–09–03
  7. By: Francesco Menoncin
    Abstract: In a simple framework where we have: (i) a stochastic domestic interest rate, (ii) a stochastic exchange rate, (iii) both a domestic and a foreign riskless asset, and (iv) both a domestic and a foreign risky asset, we explicitly compute the optimal asset allocation for an investor who wants to maximize the expected (CRRA) utility of his final wealth. This explicit solution allows us the widely investigate the behaviour of the optimal portfolio hedging component with respect to all the parameters in the model. In particular, we show a numerical simulation for investigating the hedging strategy against the exchange rate risk.
  8. By: Christine Fauvelle-Aymar (LAEP); Mary Stegmaier (Department of Economics, University of Virginia)
    Abstract: The relatively low voter turnout rates in the June 2004 European Parliamentary elections in many of the post-communist states surprised observers. While the average turnout rate for these new-EU member states barely surpassed 30%, turnout exhibited much variance at the national and sub-national levels. In this article, we study the determinants of European Parliamentary election voter turnout rates in the post-communist countries at the regional level. Our central hypothesis is that regional turnout rates may be related to regional economic conditions and that in areas experiencing economic hardship, turnout will be lower. We also assess the extent that EU attitudes matter for turnout. A unique data set, compiled at the NUTS-3 statistical region level, is employed to test these hypotheses.
    Keywords: Economics of voting, participation, European Parliamentary election, post-communist countries.
    JEL: D72
    Date: 2006–01
  9. By: Clemens J M Kool (University of Utrecht); Tom Van Veen (University of Maastricht); Bertrand Chandelon (University of Maastricht); Katharina Raabe (University of Maastricht)
    Date: 2005–09–03
  10. By: Robert Rennhack; Masahiro Nozaki
    Keywords: Dollarization , Latin America , Monetary policy , Credit , Flexible exchange rates , Exchange rate depreciation ,
    Date: 2006–01–19
  11. By: Julian di Giovanni; Jay C. Shambaugh
    Keywords: Exchange rate regimes , Interest rates , Economic growth , Monetary policy , Economic models ,
    Date: 2006–02–10
  12. By: Francesco Menoncin; Marco Tronzano
    Abstract: This paper extends the literature on real exchange rate targeting inside a stochastic optimization framework where the real exchange rate displays long run mean reversion while temporarily reflecting a “liquidity effect”. When real exchange rate volatility is constant, an active stabilization rule is welfare increasing with respect to non intervention only beyond a given volatility threshold. Moreover, the welfare gains are larger the lower is the degree of mean reversion. Under a stochastic volatility assumption, the policy maker’s intertemporal discount rate has instead a major influence, and real exchange rate targeting is welfare increasing only if the policymaker is sufficiently farsighted.
  13. By: Tamim A. Bayoumi; Hamid Faruqee; Jaewoo Lee
    Keywords: Exchange rates , Economic models ,
    Date: 2005–12–21
  14. By: Jérôme Héricourt (CES-TEAM); Julien Reynaud (CES-TEAM)
    Abstract: This article empirically investigates the failure of the Exchange Rate-Based Stabilisation Program started in Turkey in January 2000, under the IMF supervision. For that purpose, a Vectorial Error Correction Model integrating an uncovered interest rate parity modeling short term deviations is estimated. We use an unusual daily database to take into account the everyday commitment of monetary authorities for the crawling exchange rate. The results show the inability of the central bank to sustain the program, despite its seeming flexibility. Indeed, the monetary instrument apparently left to the central bank, namely the monetary base, was actually mainly market-determined.
    Keywords: Exchange rate crisis, monetary policy, exchange rate-based stabilization program, Turkey, VECM.
    JEL: E42 E52 F31
    Date: 2006–01
  15. By: Young-Sook Lee (University of Wales Swansea); Tae-Hwan Kim (University of Nottingham); Paul Newbold (Yonsei University)
    Date: 2005–09–03
  16. By: Roberto Guimaraes (International Monetary Fund); Cem Karacadag (International Monetary Fund)
    Date: 2005–09–03
  17. By: Steven Vincent Dunaway; Xiangming Li
    Date: 2005–11–02
  18. By: Mark de Broeck; Torsten Sløk
    Abstract: Prepayment required for individual copies. An annual subscription is $375.00 a year. It includes 12 monthly shipments and priority mail delivery. The Stock No. for the subscription is WPEA.
    Keywords: Real effective exchange rates , Transition economies ,
  19. By: Jonathan David Ostry; Jeromin Zettelmeyer
    Keywords: Fund , Crisis prevention , Exchange rate policy surveillance ,
    Date: 2005–11–08
  20. By: Antonio Garcia Pascual; Ritu Basu; Nada Choueiri
    Keywords: Financial sector , Financial programs , Financial institutions , Exchange rate policy surveillance , Fund ,
    Date: 2006–02–08
  21. By: Kirsten Lommatzsch (German Institute of Economic Research); Balazs Egert (University of Paris); Amina Lahreche-Revil
    Date: 2005–09–03
  22. By: James M. Boughton
    Keywords: Fund , International monetary system , White, Harry Dexter , Exchange rate regimes , Capital controls , Capital flows ,
    Date: 2006–01–19
  23. By: Jaewoo Lee; Joshua Aizenman
    Keywords: Foreign exchange reserves , Financial crisis , Demand , Capital account , Economic models ,
    Date: 2005–10–27
  24. By: Doyle, Matthew
    Abstract: Caplin and Leahy (1996) show that, when central bankers learn about the economy by observing its response to policy shock, cautious monetary policy may be ineffectual as private agents correctly anticipate that today's interest rate cuts are likely to be followed by future cuts. The central banker has to account for this strategic response of private agents to small interest rate cuts by acting more aggressively than would otherwise be the case. Caplin and Leahy, however, do not examine whether or not this strategic behavior on the part of private agents represents a constraint on the ability of monetary policy to implement optimal investment outcomes. The purpose of this paper is to show that the kinds of strategic interactions between investors and the central banker highlighted by Caplin and Leahy affect only the policy rule and do not influence the investment outcome in equilibrium.
    Keywords: Monetary Policy, Strategic Delay
    JEL: E5
    Date: 2006–02–22
  25. By: Antonio Garcia Pascual; Jorge Cayazzo; Socorro Heysen; Eva Gutierrez
    Keywords: Bank supervision , Financial stability , Exchange risk , Risk premium , Dollarization , Banking systems , Credit , Liquidity ,
    Date: 2006–02–08
  26. By: Koffie Ben Nassar
    Keywords: Demand for money , Madagascar , Inflation , Prices , Money markets , Exchange rates , Interest rates , Economic models ,
    Date: 2005–12–30

This nep-ifn issue is ©2006 by Yi-Nung Yang. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, please include this notice.
General information on the NEP project can be found at For comments please write to the director of NEP, Marco Novarese at <>. Put “NEP” in the subject, otherwise your mail may be rejected.
NEP’s infrastructure is sponsored by the School of Economics and Finance of Massey University in New Zealand.