Fiess, NorbertShankar, Rashmi2012-06-152012-06-152005-07https://hdl.handle.net/10986/8191The 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.CC BY 3.0 IGOABSOLUTE VALUEASSET MARKETSASSET PRICESASSETSAUTOREGRESSIONBAD LOANSBALANCE OF PAYMENTSBALANCE SHEETBALANCE SHEET EFFECTSBENCHMARKBUSINESS CYCLECAPITAL CONTROLSCAPITAL FLOWSCAPITAL INFLOWSCAPITAL LOSSESCAPITAL OUTFLOWSCENTRAL BANKCENTRAL BANKSCONTINGENT LIABILITIESCOUNTRY SPECIFICCRAWLING PEGSCREDIT BOOMCREDIT CONSTRAINTCREDITORSCRISIS EPISODESCURRENCY ASSETSCURRENCY BOARDSCURRENCY COMPOSITIONCURRENCY CRISISCURRENCY MARKETSCURRENT ACCOUNTCURRENT ACCOUNT DEFICITDEBTDEBT ACCUMULATIONDEBT DEFAULTDEPENDENT VARIABLEDESCRIPTIVE STATISTICSDEVALUATIONDEVELOPING COUNTRIESDIRECT INTERVENTIONDISEQUILIBRIUMDOMESTIC AGENTSDOMESTIC BANKSDOMESTIC CONSUMPTIONDOMESTIC CURRENCYDOMESTIC INTEREST RATESDOMESTIC OUTPUTDOMESTIC PRICESDOMESTIC PRODUCERSECONOMETRIC ANALYSISECONOMIC ENVIRONMENTECONOMIC PERFORMANCEECONOMICSELASTICITYEMERGING MARKETSEMPIRICAL ANALYSISEQUILIBRIUMEUROPEAN CENTRAL BANKEXCHANGE MARKET INTERVENTIONEXCHANGE RATEEXCHANGE RATE POLICIESEXCHANGE RATE POLICYEXCHANGE RATE REGIMEEXCHANGE RATE REGIMESEXCHANGE RATE VARIABILITYEXCHANGE RATESEXCHANGE RISKEXPLANATORY VARIABLESEXTERNAL ASSETSEXTERNAL CREDITEXTERNAL DEBTEXTERNAL FINANCINGEXTERNAL LIABILITIESFINANCIAL ASSETSFINANCIAL CRISESFINANCIAL CRISISFINANCIAL INSTITUTIONSFINANCIAL INTERMEDIARIESFINANCIAL PERFORMANCEFINANCIAL PERFORMANCE INDICATORSFINANCIAL REGULATIONFINANCIAL SECTORFINANCIAL SYSTEMFIXED EFFECTSFIXED EXCHANGEFIXED EXCHANGE RATEFIXED EXCHANGE RATE REGIMESFORECASTSFOREIGN ASSETSFOREIGN CURRENCYFOREIGN CURRENCY DEBTFOREIGN DEBTFOREIGN INTEREST RATESFOREIGN INVESTORSGDPGROWTH RATEGROWTH RATESHIGH GROWTHHOME CURRENCYIMPLICIT GUARANTEESINCOMEINCOME COUNTRIESINFLATIONINSURANCEINTEREST RATEINTEREST RATESINTERNATIONAL BUSINESSINTERNATIONAL BUSINESS SCHOOLLENDER OF LAST RESORTLIQUID LIABILITIESLOW INFLATIONMACROECONOMIC STABILITYMARKET RETURNSMARKET VOLATILITYMODEL SPECIFICATIONSMONETARY AUTHORITIESMONETARY EXPANSIONMONETARY POLICYMONEY MARKETMONEY SUPPLYNEGATIVE IMPACTNEGATIVE SIGNOPEN ECONOMIESOPEN ECONOMYOUTPUTOUTPUT GROWTHOVERVALUATIONPANEL REGRESSIONSPOLICY INSTRUMENTPOLICY INSTRUMENTSPOLICY INTERVENTIONPOLICY MAKERSPOLICY RESEARCHPORTFOLIOPORTFOLIOSPRICE STABILIZATIONPRIVATE AGENTSPRIVATE CAPITALPRIVATE SECTORPURCHASINGPURCHASING POWERPURCHASING POWER PARITYREAL EXCHANGEREAL EXCHANGE RATERECESSIONREGRESSION ANALYSISRESERVE CHANGESRESERVE CURRENCYRESERVESRISK EXPOSURERISK OF DEFAULTRISK PREMIUMSALESPECULATIONSTABILIZATIONSTOCK MARKETSTOCK MARKET INDEXSTOCKSSUSTAINABILITYUNDERESTIMATESVOLATILITYVULNERABILITYWorld Bank10.1596/1813-9450-3653