The "News" model of the exchange rate, that received only weak support in the 1980s, is shown to ... more The "News" model of the exchange rate, that received only weak support in the 1980s, is shown to be a verifiable model of the bilateral spot rate once the "news" is appropriately measured. Using market sentiment and policy uncertainty indices derived from big data for Japan, as "news" and survey data of agents' expectations of the spot rate one month ahead, the "News" model of the exchange rate is shown not to be rejected for the bilateral USD/JPY rate from June 2009 to December 2017.
This new Macroeconomics text deals entirely with Open Economy Macroeconomics, reflecting a concer... more This new Macroeconomics text deals entirely with Open Economy Macroeconomics, reflecting a concern to understand macroeconomic principles and applications in the context of the open economies of Western Europe and the rest of the world. It is also distinctive in providing an exposition and evaluation of the three main macroeconomic models, the income-expenditure model, the IS-LM model and the AD-AS model, in addition to the application to real world issues and policy. Finally the AD-AS framework provides an opportunity for examining recent controversies concerning the supply-side, growth and business cycles. In summary this is a macroeconomics textbook which provides a new framework for understanding contemporary macroeconomic theory, policy and applications.
The notion of ‘currency substitution’ emerged in the 1970s as an indirect result of the collapse ... more The notion of ‘currency substitution’ emerged in the 1970s as an indirect result of the collapse of the Bretton Woods fixed exchange rate system. Under a fixed exchange rate system the monetary authorities agree to buy and sell domestic currency at a fixed price, which effectively makes domestic and foreign currencies perfect substitutes on the supply-side. In the absence of peg adjustments domestic residents need not hold foreign currency since they can always purchase foreign currency at a pre-agreed price. Under floating exchange rates, however, where the price of foreign currency may vary, domestic residents may choose to hold domestic and or foreign currencies, according to their relative prices. That is, domestic residents (and indeed foreign residents) may choose to substitute foreign (domestic) money balances for domestic (foreign) money balances. In this case currency substitution occurs on the demand-side of the market.
Emerald Group Publishing Limited eBooks, Jan 15, 2010
Abstract This paper applies the mixed logit and the latent class models to analyse the heterogene... more Abstract This paper applies the mixed logit and the latent class models to analyse the heterogeneity in foreign investment location choices in Central and Eastern Europe. The empirical results show that the responsiveness of the probabilities of choices to invest in a particular location to country-level variables differs both across sectors and across firms of different characteristics. The paper highlights the superiority of the latent class model with regards to the model fit and the interpretation of results.
This highly topical book examines the development and future prospects for economic and monetary ... more This highly topical book examines the development and future prospects for economic and monetary union in Europe. European Monetary Integration examines the background to economic and monetary union from a historical perspective that distinguishes between national and supranational currency areas, and an optimal currency area theory. The gradualist transition process is also considered.
Bulgaria differs from the other transition economies considered in this book is that it has exper... more Bulgaria differs from the other transition economies considered in this book is that it has experienced the greatest exchange rate regime shift: from the most flexible, floating exchange rate system to the most rigid type of fixed-rate system — a currency board. From the start of the reform period in February 1991, when prices covering more than 70 per cent of retail turnover were liberalized and when administered prices increased fourfold, with the elimination of most subsidies, Bulgaria adopted a floating exchange rate regime. The exchange rate, however, quickly depreciated by 400 per cent, which fuelled inflation. In 1994 inflation was running at 96 per cent per annum and by 1996 had reached 122 per cent. With the advent of continued hyperinflation which exceeded 1000 per cent in 1997 and sharply falling levels of real output — about 7 per cent in 1997, following a 6 per cent fall in 1996 — the floating-rate system was replaced with a currency board regime on 1 July 1997. The Bulgarian currency board fixed the leva to 1000DM. This conveniently divides the period 1991–99 into two distinct sub-periods — the floating-rate period prior to July 1997, and the rigidly fixed exchange rate regime post-July 1997.
Capital markets are affected at least as much as goods markets by the European Community's dr... more Capital markets are affected at least as much as goods markets by the European Community's drive for greater economic integration. The removal of capital controls on 1 July 1990 has far-reaching consequences for the EMS and for cross-border investment, and plans for economic and monetary union foreshadow fundamental upheavals at the heart of the financial system, in central banking and monetary and fiscal policy. This volume reports the proceedings of a conference on European financial integration held in Rome in January 1990, which was organised by the Centre for Economic Policy Research and the Instituto Mobiliare Italiano. In this volume, leading international experts examine the implications of integration for the structure and regulation of capital markets, the changing relationships between the corporate and banking sectors throughout the Community, the distortionary effects of differing taxation policies among member states and possible means of overcoming them, and alternative routes to European monetary union.
This paper proposes a change in persistence test as an alternative method for testing de facto ex... more This paper proposes a change in persistence test as an alternative method for testing de facto exchange rate regime changes. The tests are applied to 25 African countries, using monthly nominal exchange rate data for the period 1981:01-2005:12, and the results show that although this approach is broadly complementary to other approaches, it is able to identify some regime changes not picked up by existing methods.
The "News" model of the exchange rate, that received only weak support in the 1980s, is shown to ... more The "News" model of the exchange rate, that received only weak support in the 1980s, is shown to be a verifiable model of the bilateral spot rate once the "news" is appropriately measured. Using market sentiment and policy uncertainty indices derived from big data for Japan, as "news" and survey data of agents' expectations of the spot rate one month ahead, the "News" model of the exchange rate is shown not to be rejected for the bilateral USD/JPY rate from June 2009 to December 2017.
This new Macroeconomics text deals entirely with Open Economy Macroeconomics, reflecting a concer... more This new Macroeconomics text deals entirely with Open Economy Macroeconomics, reflecting a concern to understand macroeconomic principles and applications in the context of the open economies of Western Europe and the rest of the world. It is also distinctive in providing an exposition and evaluation of the three main macroeconomic models, the income-expenditure model, the IS-LM model and the AD-AS model, in addition to the application to real world issues and policy. Finally the AD-AS framework provides an opportunity for examining recent controversies concerning the supply-side, growth and business cycles. In summary this is a macroeconomics textbook which provides a new framework for understanding contemporary macroeconomic theory, policy and applications.
The notion of ‘currency substitution’ emerged in the 1970s as an indirect result of the collapse ... more The notion of ‘currency substitution’ emerged in the 1970s as an indirect result of the collapse of the Bretton Woods fixed exchange rate system. Under a fixed exchange rate system the monetary authorities agree to buy and sell domestic currency at a fixed price, which effectively makes domestic and foreign currencies perfect substitutes on the supply-side. In the absence of peg adjustments domestic residents need not hold foreign currency since they can always purchase foreign currency at a pre-agreed price. Under floating exchange rates, however, where the price of foreign currency may vary, domestic residents may choose to hold domestic and or foreign currencies, according to their relative prices. That is, domestic residents (and indeed foreign residents) may choose to substitute foreign (domestic) money balances for domestic (foreign) money balances. In this case currency substitution occurs on the demand-side of the market.
Emerald Group Publishing Limited eBooks, Jan 15, 2010
Abstract This paper applies the mixed logit and the latent class models to analyse the heterogene... more Abstract This paper applies the mixed logit and the latent class models to analyse the heterogeneity in foreign investment location choices in Central and Eastern Europe. The empirical results show that the responsiveness of the probabilities of choices to invest in a particular location to country-level variables differs both across sectors and across firms of different characteristics. The paper highlights the superiority of the latent class model with regards to the model fit and the interpretation of results.
This highly topical book examines the development and future prospects for economic and monetary ... more This highly topical book examines the development and future prospects for economic and monetary union in Europe. European Monetary Integration examines the background to economic and monetary union from a historical perspective that distinguishes between national and supranational currency areas, and an optimal currency area theory. The gradualist transition process is also considered.
Bulgaria differs from the other transition economies considered in this book is that it has exper... more Bulgaria differs from the other transition economies considered in this book is that it has experienced the greatest exchange rate regime shift: from the most flexible, floating exchange rate system to the most rigid type of fixed-rate system — a currency board. From the start of the reform period in February 1991, when prices covering more than 70 per cent of retail turnover were liberalized and when administered prices increased fourfold, with the elimination of most subsidies, Bulgaria adopted a floating exchange rate regime. The exchange rate, however, quickly depreciated by 400 per cent, which fuelled inflation. In 1994 inflation was running at 96 per cent per annum and by 1996 had reached 122 per cent. With the advent of continued hyperinflation which exceeded 1000 per cent in 1997 and sharply falling levels of real output — about 7 per cent in 1997, following a 6 per cent fall in 1996 — the floating-rate system was replaced with a currency board regime on 1 July 1997. The Bulgarian currency board fixed the leva to 1000DM. This conveniently divides the period 1991–99 into two distinct sub-periods — the floating-rate period prior to July 1997, and the rigidly fixed exchange rate regime post-July 1997.
Capital markets are affected at least as much as goods markets by the European Community's dr... more Capital markets are affected at least as much as goods markets by the European Community's drive for greater economic integration. The removal of capital controls on 1 July 1990 has far-reaching consequences for the EMS and for cross-border investment, and plans for economic and monetary union foreshadow fundamental upheavals at the heart of the financial system, in central banking and monetary and fiscal policy. This volume reports the proceedings of a conference on European financial integration held in Rome in January 1990, which was organised by the Centre for Economic Policy Research and the Instituto Mobiliare Italiano. In this volume, leading international experts examine the implications of integration for the structure and regulation of capital markets, the changing relationships between the corporate and banking sectors throughout the Community, the distortionary effects of differing taxation policies among member states and possible means of overcoming them, and alternative routes to European monetary union.
This paper proposes a change in persistence test as an alternative method for testing de facto ex... more This paper proposes a change in persistence test as an alternative method for testing de facto exchange rate regime changes. The tests are applied to 25 African countries, using monthly nominal exchange rate data for the period 1981:01-2005:12, and the results show that although this approach is broadly complementary to other approaches, it is able to identify some regime changes not picked up by existing methods.
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