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Working Paper
Common shocks and currency crises
This paper attempts to determine the extent to which common external shocks explain simultaneous currency crises. We define crises on a country by country basis using a new criterion that takes into account variations in the volatility of exchange rates over time and across countries. Using a Poisson regression model, we find that over the post-Bretton woods period, a small number of common external shocks can explain between sixty to eighty percent of the variation in the total number of crises over time, depending upon the set of countries one looks at. Our findings provide one explanation ...
Journal Article
Dealing with currency speculation in the Asian Pacific Basin
Journal Article
GATS and banking in the Pacific Basin
Journal Article
Will the yen replace the dollar?
Journal Article
East Asia: recovery and restructuring
Journal Article
Macroeconomic behavior during periods of speculative pressure or realignment: evidence from Pacific Basin economies
This paper uses nonparametric tests to provide a description of the "stylized facts" associated with episodes of speculative pressure in foreign exchange markets in Pacific Basin Economies and to see whether these "stylized facts" appear to be broadly consistent with the alternative explanations for such episodes suggested in the theoretical literature. ; The empirical results are mixed, but some are nonetheless suggestive. Larger budget deficits and growth in central bank domestic credit appear to be associated with episodes of depreciation rather than episodes of appreciation or ...
Journal Article
Stock prices and bank lending behavior in Japan
This study attempts to shed light on whether stock price movements have contributed to recent fluctuations in bank lending in Japan by examining the historical relationship between stock prices and bank lending in that country. It is found that prior to the mid-1980s the relationship between stock prices and bank lending was weak, but subsequently strengthened considerable. This coincided with a change in the regulatory environment that encouraged banking institutions to pay more attention to their capital positions. Since the late 1980s, fluctuations in stock prices appear to have made ...
Journal Article
Intervention, sterilization, and monetary control in Korea and Taiwan
This paper uses a four-variable vector autoregression model to explore how monetary authorities responded to shocks in Korea and Taiwan over the period 1981.1-1994.12. The analysis reveals that sterilization is an important element of the response to shocks to foreign assets in both economies. In particular, monetary authorities do not appear to be prepared to accept fluctuations in the exchange rate and the money supply that may result from changes in foreign assets, but more readily accept fluctuations in these variables that result from domestic credit shocks. There are also differences ...
Journal Article
Money, interest rates and economic activity: stylized facts for Japan
This paper examines how financial market changes affect the usefulness of two alternatve indicators of monetary policy in Japan, a monetary aggregate and an interest rate. The paper tests whether these variables are good predictors of output, and whether responses to shocks to these variables broadly conform to the implications of the monetary transmission model, over two periods between 1960 and 1992. In the earlier period when Japan's financial markets were less developed, a monetary aggregate (M2+CDs) is a relatively useful indicator of monetary policy whereas an interest rate ...