Publication:
Regime-Switching in Exchange Rate Policy and Balance Sheet Effects

dc.contributor.author Fiess, Norbert
dc.contributor.author Shankar, Rashmi
dc.date.accessioned 2012-06-15T19:46:13Z
dc.date.available 2012-06-15T19:46:13Z
dc.date.issued 2005-07
dc.description.abstract The authors apply regime-switching methods to a monetarist model of exchange rates and identify well-defined intervention policy cycles. The policy response indices include a standard exchange market pressure-based index and a model-based volatility ratio that is endogenized relative to Japan, assumed to be a "benchmark" floater. The authors find strong evidence that balance sheet effects, proxied by the stock ratio of external liabilities to assets, and economic performance, as measured by GDP and stock market indices, determine the cost of the regime shift. They use a panel of quarterly data from 1985 to 2004 for a sample of 15 countries, mostly in East Asia and Latin America. en
dc.identifier http://documents.worldbank.org/curated/en/2005/07/6027306/regime-switching-exchange-rate-policy-balance-sheet-effects
dc.identifier.uri http://hdl.handle.net/10986/8191
dc.language English
dc.publisher World Bank, Washington, DC
dc.relation.ispartofseries Policy Research Working Paper; No. 3653
dc.rights CC BY 3.0 IGO
dc.rights.holder World Bank
dc.rights.uri http://creativecommons.org/licenses/by/3.0/igo/
dc.subject ABSOLUTE VALUE
dc.subject ASSET MARKETS
dc.subject ASSET PRICES
dc.subject ASSETS
dc.subject AUTOREGRESSION
dc.subject BAD LOANS
dc.subject BALANCE OF PAYMENTS
dc.subject BALANCE SHEET
dc.subject BALANCE SHEET EFFECTS
dc.subject BENCHMARK
dc.subject BUSINESS CYCLE
dc.subject CAPITAL CONTROLS
dc.subject CAPITAL FLOWS
dc.subject CAPITAL INFLOWS
dc.subject CAPITAL LOSSES
dc.subject CAPITAL OUTFLOWS
dc.subject CENTRAL BANK
dc.subject CENTRAL BANKS
dc.subject CONTINGENT LIABILITIES
dc.subject COUNTRY SPECIFIC
dc.subject CRAWLING PEGS
dc.subject CREDIT BOOM
dc.subject CREDIT CONSTRAINT
dc.subject CREDITORS
dc.subject CRISIS EPISODES
dc.subject CURRENCY ASSETS
dc.subject CURRENCY BOARDS
dc.subject CURRENCY COMPOSITION
dc.subject CURRENCY CRISIS
dc.subject CURRENCY MARKETS
dc.subject CURRENT ACCOUNT
dc.subject CURRENT ACCOUNT DEFICIT
dc.subject DEBT
dc.subject DEBT ACCUMULATION
dc.subject DEBT DEFAULT
dc.subject DEPENDENT VARIABLE
dc.subject DESCRIPTIVE STATISTICS
dc.subject DEVALUATION
dc.subject DEVELOPING COUNTRIES
dc.subject DIRECT INTERVENTION
dc.subject DISEQUILIBRIUM
dc.subject DOMESTIC AGENTS
dc.subject DOMESTIC BANKS
dc.subject DOMESTIC CONSUMPTION
dc.subject DOMESTIC CURRENCY
dc.subject DOMESTIC INTEREST RATES
dc.subject DOMESTIC OUTPUT
dc.subject DOMESTIC PRICES
dc.subject DOMESTIC PRODUCERS
dc.subject ECONOMETRIC ANALYSIS
dc.subject ECONOMIC ENVIRONMENT
dc.subject ECONOMIC PERFORMANCE
dc.subject ECONOMICS
dc.subject ELASTICITY
dc.subject EMERGING MARKETS
dc.subject EMPIRICAL ANALYSIS
dc.subject EQUILIBRIUM
dc.subject EUROPEAN CENTRAL BANK
dc.subject EXCHANGE MARKET INTERVENTION
dc.subject EXCHANGE RATE
dc.subject EXCHANGE RATE POLICIES
dc.subject EXCHANGE RATE POLICY
dc.subject EXCHANGE RATE REGIME
dc.subject EXCHANGE RATE REGIMES
dc.subject EXCHANGE RATE VARIABILITY
dc.subject EXCHANGE RATES
dc.subject EXCHANGE RISK
dc.subject EXPLANATORY VARIABLES
dc.subject EXTERNAL ASSETS
dc.subject EXTERNAL CREDIT
dc.subject EXTERNAL DEBT
dc.subject EXTERNAL FINANCING
dc.subject EXTERNAL LIABILITIES
dc.subject FINANCIAL ASSETS
dc.subject FINANCIAL CRISES
dc.subject FINANCIAL CRISIS
dc.subject FINANCIAL INSTITUTIONS
dc.subject FINANCIAL INTERMEDIARIES
dc.subject FINANCIAL PERFORMANCE
dc.subject FINANCIAL PERFORMANCE INDICATORS
dc.subject FINANCIAL REGULATION
dc.subject FINANCIAL SECTOR
dc.subject FINANCIAL SYSTEM
dc.subject FIXED EFFECTS
dc.subject FIXED EXCHANGE
dc.subject FIXED EXCHANGE RATE
dc.subject FIXED EXCHANGE RATE REGIMES
dc.subject FORECASTS
dc.subject FOREIGN ASSETS
dc.subject FOREIGN CURRENCY
dc.subject FOREIGN CURRENCY DEBT
dc.subject FOREIGN DEBT
dc.subject FOREIGN INTEREST RATES
dc.subject FOREIGN INVESTORS
dc.subject GDP
dc.subject GROWTH RATE
dc.subject GROWTH RATES
dc.subject HIGH GROWTH
dc.subject HOME CURRENCY
dc.subject IMPLICIT GUARANTEES
dc.subject INCOME
dc.subject INCOME COUNTRIES
dc.subject INFLATION
dc.subject INSURANCE
dc.subject INTEREST RATE
dc.subject INTEREST RATES
dc.subject INTERNATIONAL BUSINESS
dc.subject INTERNATIONAL BUSINESS SCHOOL
dc.subject LENDER OF LAST RESORT
dc.subject LIQUID LIABILITIES
dc.subject LOW INFLATION
dc.subject MACROECONOMIC STABILITY
dc.subject MARKET RETURNS
dc.subject MARKET VOLATILITY
dc.subject MODEL SPECIFICATIONS
dc.subject MONETARY AUTHORITIES
dc.subject MONETARY EXPANSION
dc.subject MONETARY POLICY
dc.subject MONEY MARKET
dc.subject MONEY SUPPLY
dc.subject NEGATIVE IMPACT
dc.subject NEGATIVE SIGN
dc.subject OPEN ECONOMIES
dc.subject OPEN ECONOMY
dc.subject OUTPUT
dc.subject OUTPUT GROWTH
dc.subject OVERVALUATION
dc.subject PANEL REGRESSIONS
dc.subject POLICY INSTRUMENT
dc.subject POLICY INSTRUMENTS
dc.subject POLICY INTERVENTION
dc.subject POLICY MAKERS
dc.subject POLICY RESEARCH
dc.subject PORTFOLIO
dc.subject PORTFOLIOS
dc.subject PRICE STABILIZATION
dc.subject PRIVATE AGENTS
dc.subject PRIVATE CAPITAL
dc.subject PRIVATE SECTOR
dc.subject PURCHASING
dc.subject PURCHASING POWER
dc.subject PURCHASING POWER PARITY
dc.subject REAL EXCHANGE
dc.subject REAL EXCHANGE RATE
dc.subject RECESSION
dc.subject REGRESSION ANALYSIS
dc.subject RESERVE CHANGES
dc.subject RESERVE CURRENCY
dc.subject RESERVES
dc.subject RISK EXPOSURE
dc.subject RISK OF DEFAULT
dc.subject RISK PREMIUM
dc.subject SALE
dc.subject SPECULATION
dc.subject STABILIZATION
dc.subject STOCK MARKET
dc.subject STOCK MARKET INDEX
dc.subject STOCKS
dc.subject SUSTAINABILITY
dc.subject UNDERESTIMATES
dc.subject VOLATILITY
dc.subject VULNERABILITY
dc.title Regime-Switching in Exchange Rate Policy and Balance Sheet Effects en
dspace.entity.type Publication
okr.doctype Publications & Research :: Policy Research Working Paper
okr.doctype Publications & Research
okr.docurl http://documents.worldbank.org/curated/en/2005/07/6027306/regime-switching-exchange-rate-policy-balance-sheet-effects
okr.globalpractice Macroeconomics and Fiscal Management
okr.globalpractice Finance and Markets
okr.identifier.doi 10.1596/1813-9450-3653
okr.identifier.externaldocumentum 000016406_20050627085137
okr.identifier.internaldocumentum 6027306
okr.identifier.report WPS3653
okr.language.supported en
okr.pdfurl http://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2005/06/27/000016406_20050627085137/Rendered/PDF/wps3653.pdf en
okr.region.administrative Latin America & Caribbean
okr.region.administrative East Asia and Pacific
okr.topic Economic Theory and Research
okr.topic Banks and Banking Reform
okr.topic Macroeconomics and Economic Growth :: Macroeconomic Management
okr.topic Macroeconomics and Economic Growth :: Economic Stabilization
okr.topic Fiscal and Monetary Policy
okr.topic Finance and Financial Sector Development
okr.unit Development Research Group (DECRG)
okr.volume 1 of 1
relation.isSeriesOfPublication 26e071dc-b0bf-409c-b982-df2970295c87
Files
Original bundle
Now showing 1 - 2 of 2
Thumbnail Image
Name:
English PDF
Size:
525.38 KB
Format:
Adobe Portable Document Format
Description:
No Thumbnail Available
Name:
English Text
Size:
95.35 KB
Format:
Plain Text
Description:
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Plain Text
Description: