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Author:Frankel, Jeffrey A. 

Conference Paper
Crisis, contagion, and country funds: effects on East Asia and Latin America

Proceedings

Working Paper
Is Japan creating a yen bloc in East Asia and the Pacific?

Pacific Basin Working Paper Series , Paper 92-09

Working Paper
A test of the existence of the risk premium in the foreign exchange market vs. the hypothesis of perfect substitutability

International Finance Discussion Papers , Paper 149

Working Paper
Currency crashes in emerging markets: an empirical treatment

We use a panel of annual data for over one hundred developing countries from 1971 through 1992 to characterize currency crashes. We define a currency crash as a large change of the nominal exchange rate that is also a substantial increase in the rate of change of the nominal depreciation. We examine the composition of the debt as well as its level, and a variety of other macroeconomic, external and foreign factors. Our factors are significantly related to crash incidence, especially output growth, the rate of change of domestic credit, and foreign interest rates. A low ratio of FDI to debt is ...
International Finance Discussion Papers , Paper 534

Working Paper
Yen bloc or dollar bloc: exchange rate policies of the East Asian economies

Pacific Basin Working Paper Series , Paper 93-01

Working Paper
Who drives real interest rates around the Pacific Rim: the US or Japan?

This paper investigates the relative influence of US and Japanese real interest rates in the determination of local Pacific Rim rates, where influence is defined by the presence of common stochastic trends. Furthermore, the degree to which long run real interest parity holds is examined. The cointegration testing methodology of Johansen (1988) is adopted for this analysis, which allows for multiple cointegrating vectors. The results indicate that Hong Kong, Malaysia and Taiwan are linked with both the US and Japan (in terms of cointegration and positive covariation), while only Singapore is ...
Pacific Basin Working Paper Series , Paper 95-02

Conference Paper
International nominal targeting (INT): a proposal for overcoming obstacles to policy coordination

Proceedings , Issue Nov

Working Paper
A technique for extracting a measure of expected inflation from the interest rate term structure

International Finance Discussion Papers , Paper 148

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