摘要:本文是一篇回顾金融流量控制经济学论文,自从布雷顿森林体系的崩溃以及随后短暂的自由浮动汇率尝试后,国际货币安排一直是以各种各样的中间汇率制度为特色的。尽管存在大量关注汇率系统的投机性攻击管理的脆弱性的分析文学,汇率危机的实证研究很少。令人惊讶的是,实证研究的不足最明显的原因是在国际货币市场,可以用来描述的条件缺乏公认的汇总统计。
market pressure. EMP is defined as exchange rate that would prevail after elimination of excess demand in the absence of exchange market intervention.
When the government intervenes directly in the exchange rate market by buying or selling foreign exchange, the general formula for exchange market pressure in period t is given by:
Eq. (2.34)
While the first term on the right side measures actual exchange rate variation, the second term captures the share of exchange rate variation absorbed by direct monetary authority intervention.
The index of intervention activity, obtained according to the formula:
Eq. (2.35)
The intervention activity index measures the share of exchange market pressure absorbed by direct Central Bank intervention.
where
- reserve requirement on capital inflows
- where is the money multiplier, is the stock of domestic credit in billions of Chilean pesos and is the monetary base composed of domestic credits and foreign reserves
- where is the stock of foreign reserves in billions of US dollars and is the exchange rate expressed in Chilean pesos per US dollar.
- log of nominal exchange rate in Chilean pesos per US dollar (period average)
- expectation of the nominal exchange rate level at t+1 in period t with the information set available at t.
- log of nominal domestic interest rates
- log of world interest rates ( 3 month US dollar LIBOR)
– log of money stock (M2) in billion of Chilean pesos
– log of the consumer price index published by IFS
- log of the price index of relevant external inflation ( weighted average of consumer price variations in US (0.45), Germany (0.30) and Japan (0.25))
- log of money velocity shocks
- log of IMACEC index ( monthly indicator of economic activity level)
Table 21 shows the quarterly evolution of the EMP index, comparing it with Girton & Riper index. (Girton et al.) Negative values for the EMP index indicate net appreciation pressure, while the positive values mean that the currency is under depreciative pressure. The table show that, despite imposition of reserve requirements on the capital inflows, the Chilean peso was submitted to continued appreciative pressure during 90s, except for 1991:II (when the reserve requirement was introduced), 1992:I and the period following the Asian crisis.
Table 2.1: Exchange Market Pressure and Intervention Activity
2.6 EXCHANGE MARKET PRESSURE ON THE POUND-DOLLAR
This paper offers an investigation of exchange market pressure against pound sterling during the inter-war period, 1925-1931, when the pound was pegged to US dollar through their link to gold. (C. Paul Hallwood & Ian W. Marsh, 2004) This investigation is relevant today for what it tells about the viability of exchange rate pegging. Bank of England seemingly responsibly managed the money base within the confines of the latitude offered by the exchange rate band between the gold point, the pound was still subjected to speculative capital outflows – especially in the four months before it was knocked off its peg on 21 September 1931. If this interpretation of finding is correct, the viability of the open capital markets along within pegging is q
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