Regime-switching in exchange rate policy and balance sheet effects [electronic resource] / Norbert Fiess, Rashmi Shankar.
Material type:
TextSeries: Policy research working papers ; 3653. | World Bank e-LibraryPublication details: [Washington, D.C. : World Bank, 2005]Subject(s): Foreign exchange rates -- Developing countries | Monetary policy -- Developing countriesAdditional physical formats: Fiess, Norbert M.: Regime-switching in exchange rate policy and balance sheet effects.LOC classification: HG3881.5.W57Online resources: Click here to access online Also available in print.Abstract: "The authors apply regime-switching methods to a monetarist model of exchange rates and identify well-defined intervention policy cycles. The policy response indices include a standard exchange market pressure-based index and a model-based volatility ratio that is endogenized relative to Japan, assumed to be a "benchmark" floater. The authors find strong evidence that balance sheet effects, proxied by the stock ratio of external liabilities to assets, and economic performance, as measured by GDP and stock market indices, determine the cost of the regime shift. They use a panel of quarterly data from 1985 to 2004 for a sample of 15 countries, mostly in East Asia and Latin America. "--World Bank web site.
Title from PDF file as viewed on 8/16/2005.
Includes bibliographical references.
"The authors apply regime-switching methods to a monetarist model of exchange rates and identify well-defined intervention policy cycles. The policy response indices include a standard exchange market pressure-based index and a model-based volatility ratio that is endogenized relative to Japan, assumed to be a "benchmark" floater. The authors find strong evidence that balance sheet effects, proxied by the stock ratio of external liabilities to assets, and economic performance, as measured by GDP and stock market indices, determine the cost of the regime shift. They use a panel of quarterly data from 1985 to 2004 for a sample of 15 countries, mostly in East Asia and Latin America. "--World Bank web site.
Also available in print.
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