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

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dc.contributor.authorFiess, Norbert
dc.contributor.authorShankar, Rashmi
dc.date.accessioned2012-06-15T19:46:13Z
dc.date.available2012-06-15T19:46:13Z
dc.date.issued2005-07
dc.description.abstractThe 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.identifierhttp://documents.worldbank.org/curated/en/2005/07/6027306/regime-switching-exchange-rate-policy-balance-sheet-effects
dc.identifier.doi10.1596/1813-9450-3653
dc.identifier.urihttps://hdl.handle.net/10986/8191
dc.languageEnglish
dc.publisherWorld Bank, Washington, DC
dc.relation.ispartofseriesPolicy Research Working Paper; No. 3653
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo/
dc.subjectABSOLUTE VALUE
dc.subjectASSET MARKETS
dc.subjectASSET PRICES
dc.subjectASSETS
dc.subjectAUTOREGRESSION
dc.subjectBAD LOANS
dc.subjectBALANCE OF PAYMENTS
dc.subjectBALANCE SHEET
dc.subjectBALANCE SHEET EFFECTS
dc.subjectBENCHMARK
dc.subjectBUSINESS CYCLE
dc.subjectCAPITAL CONTROLS
dc.subjectCAPITAL FLOWS
dc.subjectCAPITAL INFLOWS
dc.subjectCAPITAL LOSSES
dc.subjectCAPITAL OUTFLOWS
dc.subjectCENTRAL BANK
dc.subjectCENTRAL BANKS
dc.subjectCONTINGENT LIABILITIES
dc.subjectCOUNTRY SPECIFIC
dc.subjectCRAWLING PEGS
dc.subjectCREDIT BOOM
dc.subjectCREDIT CONSTRAINT
dc.subjectCREDITORS
dc.subjectCRISIS EPISODES
dc.subjectCURRENCY ASSETS
dc.subjectCURRENCY BOARDS
dc.subjectCURRENCY COMPOSITION
dc.subjectCURRENCY CRISIS
dc.subjectCURRENCY MARKETS
dc.subjectCURRENT ACCOUNT
dc.subjectCURRENT ACCOUNT DEFICIT
dc.subjectDEBT
dc.subjectDEBT ACCUMULATION
dc.subjectDEBT DEFAULT
dc.subjectDEPENDENT VARIABLE
dc.subjectDESCRIPTIVE STATISTICS
dc.subjectDEVALUATION
dc.subjectDEVELOPING COUNTRIES
dc.subjectDIRECT INTERVENTION
dc.subjectDISEQUILIBRIUM
dc.subjectDOMESTIC AGENTS
dc.subjectDOMESTIC BANKS
dc.subjectDOMESTIC CONSUMPTION
dc.subjectDOMESTIC CURRENCY
dc.subjectDOMESTIC INTEREST RATES
dc.subjectDOMESTIC OUTPUT
dc.subjectDOMESTIC PRICES
dc.subjectDOMESTIC PRODUCERS
dc.subjectECONOMETRIC ANALYSIS
dc.subjectECONOMIC ENVIRONMENT
dc.subjectECONOMIC PERFORMANCE
dc.subjectECONOMICS
dc.subjectELASTICITY
dc.subjectEMERGING MARKETS
dc.subjectEMPIRICAL ANALYSIS
dc.subjectEQUILIBRIUM
dc.subjectEUROPEAN CENTRAL BANK
dc.subjectEXCHANGE MARKET INTERVENTION
dc.subjectEXCHANGE RATE
dc.subjectEXCHANGE RATE POLICIES
dc.subjectEXCHANGE RATE POLICY
dc.subjectEXCHANGE RATE REGIME
dc.subjectEXCHANGE RATE REGIMES
dc.subjectEXCHANGE RATE VARIABILITY
dc.subjectEXCHANGE RATES
dc.subjectEXCHANGE RISK
dc.subjectEXPLANATORY VARIABLES
dc.subjectEXTERNAL ASSETS
dc.subjectEXTERNAL CREDIT
dc.subjectEXTERNAL DEBT
dc.subjectEXTERNAL FINANCING
dc.subjectEXTERNAL LIABILITIES
dc.subjectFINANCIAL ASSETS
dc.subjectFINANCIAL CRISES
dc.subjectFINANCIAL CRISIS
dc.subjectFINANCIAL INSTITUTIONS
dc.subjectFINANCIAL INTERMEDIARIES
dc.subjectFINANCIAL PERFORMANCE
dc.subjectFINANCIAL PERFORMANCE INDICATORS
dc.subjectFINANCIAL REGULATION
dc.subjectFINANCIAL SECTOR
dc.subjectFINANCIAL SYSTEM
dc.subjectFIXED EFFECTS
dc.subjectFIXED EXCHANGE
dc.subjectFIXED EXCHANGE RATE
dc.subjectFIXED EXCHANGE RATE REGIMES
dc.subjectFORECASTS
dc.subjectFOREIGN ASSETS
dc.subjectFOREIGN CURRENCY
dc.subjectFOREIGN CURRENCY DEBT
dc.subjectFOREIGN DEBT
dc.subjectFOREIGN INTEREST RATES
dc.subjectFOREIGN INVESTORS
dc.subjectGDP
dc.subjectGROWTH RATE
dc.subjectGROWTH RATES
dc.subjectHIGH GROWTH
dc.subjectHOME CURRENCY
dc.subjectIMPLICIT GUARANTEES
dc.subjectINCOME
dc.subjectINCOME COUNTRIES
dc.subjectINFLATION
dc.subjectINSURANCE
dc.subjectINTEREST RATE
dc.subjectINTEREST RATES
dc.subjectINTERNATIONAL BUSINESS
dc.subjectINTERNATIONAL BUSINESS SCHOOL
dc.subjectLENDER OF LAST RESORT
dc.subjectLIQUID LIABILITIES
dc.subjectLOW INFLATION
dc.subjectMACROECONOMIC STABILITY
dc.subjectMARKET RETURNS
dc.subjectMARKET VOLATILITY
dc.subjectMODEL SPECIFICATIONS
dc.subjectMONETARY AUTHORITIES
dc.subjectMONETARY EXPANSION
dc.subjectMONETARY POLICY
dc.subjectMONEY MARKET
dc.subjectMONEY SUPPLY
dc.subjectNEGATIVE IMPACT
dc.subjectNEGATIVE SIGN
dc.subjectOPEN ECONOMIES
dc.subjectOPEN ECONOMY
dc.subjectOUTPUT
dc.subjectOUTPUT GROWTH
dc.subjectOVERVALUATION
dc.subjectPANEL REGRESSIONS
dc.subjectPOLICY INSTRUMENT
dc.subjectPOLICY INSTRUMENTS
dc.subjectPOLICY INTERVENTION
dc.subjectPOLICY MAKERS
dc.subjectPOLICY RESEARCH
dc.subjectPORTFOLIO
dc.subjectPORTFOLIOS
dc.subjectPRICE STABILIZATION
dc.subjectPRIVATE AGENTS
dc.subjectPRIVATE CAPITAL
dc.subjectPRIVATE SECTOR
dc.subjectPURCHASING
dc.subjectPURCHASING POWER
dc.subjectPURCHASING POWER PARITY
dc.subjectREAL EXCHANGE
dc.subjectREAL EXCHANGE RATE
dc.subjectRECESSION
dc.subjectREGRESSION ANALYSIS
dc.subjectRESERVE CHANGES
dc.subjectRESERVE CURRENCY
dc.subjectRESERVES
dc.subjectRISK EXPOSURE
dc.subjectRISK OF DEFAULT
dc.subjectRISK PREMIUM
dc.subjectSALE
dc.subjectSPECULATION
dc.subjectSTABILIZATION
dc.subjectSTOCK MARKET
dc.subjectSTOCK MARKET INDEX
dc.subjectSTOCKS
dc.subjectSUSTAINABILITY
dc.subjectUNDERESTIMATES
dc.subjectVOLATILITY
dc.subjectVULNERABILITY
dc.titleRegime-Switching in Exchange Rate Policy and Balance Sheet Effectsen
dspace.entity.typePublication
okr.crossref.titleRegime-Switching In Exchange Rate Policy And Balance Sheet Effects
okr.date.doiregistration2025-04-10T10:45:47.884692Z
okr.doctypePublications & Research::Policy Research Working Paper
okr.doctypePublications & Research
okr.docurlhttp://documents.worldbank.org/curated/en/2005/07/6027306/regime-switching-exchange-rate-policy-balance-sheet-effects
okr.globalpracticeMacroeconomics and Fiscal Management
okr.globalpracticeFinance and Markets
okr.guid734891468277133176
okr.identifier.doi10.1596/1813-9450-3653
okr.identifier.externaldocumentum000016406_20050627085137
okr.identifier.internaldocumentum6027306
okr.identifier.reportWPS3653
okr.language.supporteden
okr.pdfurlhttp://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2005/06/27/000016406_20050627085137/Rendered/PDF/wps3653.pdfen
okr.region.administrativeLatin America & Caribbean
okr.region.administrativeEast Asia and Pacific
okr.topicEconomic Theory and Research
okr.topicBanks and Banking Reform
okr.topicMacroeconomics and Economic Growth::Macroeconomic Management
okr.topicMacroeconomics and Economic Growth::Economic Stabilization
okr.topicFiscal and Monetary Policy
okr.topicFinance and Financial Sector Development
okr.unitDevelopment Research Group (DECRG)
okr.volume1 of 1
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
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