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Working Paper
Speculative attacks on pegged exchange rates: an empirical exploration with special reference to the European Monetary System
Wyplosz, Charles; Rose, Andrew K.; Eichengreen, Barry (1995)
This paper presents an empirical analysis of speculative attacks on pegged exchange rates in 22 countries between 1967 and 1992. We define speculative attacks or crises as large movements in exchange rates, interest rates, and international reserves. We develop stylized facts concerning the univariate behavior of a variety of macroeconomic variables, comparing crises with periods of tranquility. For ERM observations we cannot reject the null hypothesis that there are few significant differences in the behavior of key macroeconomic variables between crises and non-crisis periods. This null ...
Working Papers in Applied Economic Theory , Paper 95-04

Report
Currency composition of developing country debt: the impact of dollar depreciation
Sweet, Lawrence M. (1987)
Research Paper , Paper 8702

Report
Soft exchange rate bands and speculative attacks: theory and evidence from the ERM since August 1993
Bartolini, Leonardo; Prati, Alessandro (1998)
We present a model of a "soft" exchange rate target zone and interpret it as a stylized description of the post-August 1993 ERM. Our central bank targets a moving average of the current and past exchange rates, rather than the exchange rate's current level, thus allowing the rate to move within wide margins in the short run, but within narrow margins in the long run. For realistic parameters, soft target zones are significantly less vulnerable to speculative attacks than "hard" target zones. These predictions are consistent with the ERM's experience and the abatement of speculative pressure ...
Staff Reports , Paper 43

Journal Article
Market risk and bank capital: part 2
Levonian, Mark E. (1994)
FRBSF Economic Letter

Working Paper
Idiosyncratic tastes in a two-country optimizing model: implications ; of a standard presumption
Warnock, Francis E. (1998)
International spillovers and exchange rate dynamics are examined in a two-country dynamic optimizing model that allows for idiosyncratic tastes across countries. Specifically, there is a home-good bias in consumption patterns: at given relative prices the ratio of home goods consumed to foreign goods consumed is higher in the home country. The setup nests Obstfeld and Rogoff (1995), who assume identical tastes. Allowing for idiosyncratic tastes produces results that differ from Obstfeld and Rogoff's expansionary monetary policy increases home utility by more, the positive spillovers of a ...
International Finance Discussion Papers , Paper 631

Working Paper
Anticipations of foreign exchange volatility and bid-ask spreads
Wei, Shang-Jin (1991)
The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads. The direction of the effect is consistent with an option model of the spread, but the magnitude is smaller. An increase in trading volume of spot exchange rates also widens the spread. The omission of the trading volume, however, does not bias the estimate of the effect of the volatility on the spreads. Although the spread-volatility relations implied by ...
International Finance Discussion Papers , Paper 409

Working Paper
Some multi-country evidence on the effects of real exchange rates on output
Kamin, Steven B.; Klau, Marc (1998)
The simultaneous occurrence of devaluation and recession in Mexico in 1995, as well as in the East Asian economies more recently, appears to contradict the conventional view that devaluations are expansionary. Moreover, a sizeable theoretical and empirical literature also argues that, contrary to the predictions of textbook analysis, exchange rate devaluations may be contractionary rather than expansionary. However, prior statistical analyses of the effects of exchange rate devaluation on output have been subject to several limitations: (i) they have failed to distinguish adequately between ...
International Finance Discussion Papers , Paper 611

Report
Option-implied probability distributions and currency excess returns
Malz, Allan M. (1997)
This paper describes a method of extracting the risk-neutral probability distribution of future exchange rates from option prices. In foreign exchange markets interbank option pricing conventions make possible reliable inferences about risk-neutral probability distributions with relatively little data. Moments drawn from risk-neutral exchange rate distribution are used to explore several issues related to the puzzle of excess returns in currency markets. Tests of the international capital asset pricing model using risk-neutral moments as explanatory variables indicate that option-based ...
Staff Reports , Paper 32

Working Paper
Real exchange rates: measurement and implications for predicting U.S. external imbalances
Marquez, Jaime R. (1992)
That international trade flows respond to changes in real exchange rates is beyond question. What is less clear is whether the measurement of real exchange rates matters for characterizing and predicting such responses. To identify the implications of choosing a given measure of the real exchange rate, I examine how the parameter estimates and the forecast performance of a given model vary in response to alternative measures of real exchange rates. I reject a given measure if its use (a) implies estimates inconsistent with economic theory; (b) contradicts the assumptions needed for ...
International Finance Discussion Papers , Paper 427

Working Paper
Nontraded goods, market segmentation, and exchange rates.
Dotsey, Michael; Duarte, Margarida (2006)
Empirical evidence suggests that movements in international relative prices (such as the real exchange rate) are large and persistent. Nontraded goods, both in the form of final consumption goods and as an input into the production of final tradable goods, are an important aspect behind international relative price movements. In this paper we show that nontraded goods have important implications for exchange rate behavior, even though fluctuations in the relative price of nontraded goods account for a relatively small fraction of real exchange rate movements. In our quantitative study ...
Working Papers , Paper 06-9

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