Regime-Switching in Exchange Rate Policy and Balance Sheet Effects

Fiess, Norbert; Shankar, Rashmi

doi:10.1596/1813-9450-3653

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