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on International Finance |
| By: | Lane, Philip R. |
| Abstract: | We investigate the behaviour of gross capital flows and net capital flows for euro area member countries. We highlight the extraordinary boom-bust cycles in both gross flows and net flows since 2003. We also show that the reversal in net capital flows during the crisis has been very costly in terms of macroeconomic and financial outcomes for the high-deficit countries. Finally, we describe the reforms that can improve macro-financial stability across the euro area. |
| Keywords: | capital flows; euro; imbalances |
| JEL: | E42 F32 F41 |
| Date: | 2013–05 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:9493&r=ifn |
| By: | Matthew S Malloy |
| Abstract: | Using panel data for 15 economies from 2001-12, I identify determinants of central bank foreign exchange intervention in emerging markets (“EMsâ€) with flexible to moderately managed exchange rates. Similar to other studies, I find that central banks tend to “lean against the wind,†buying/selling more foreign exchange in response to greater short-run and medium-run appreciation/depreciation pressures. The panel structure provides a framework to test whether other macroeconomic variables influence the different rates of reserve accumulation between economies. In testing other variables, I find evidence of both precautionary and external competitiveness motives for reserve accumulation. |
| Keywords: | Central banks;Emerging markets;Exchange markets;Intervention;Reserves accumulation;Cross country analysis;Economic models;foreign exchange intervention, international reserves |
| Date: | 2013–03–15 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:13/70&r=ifn |
| By: | Hideaki Hirata; M. Ayhan Kose; Christopher Otrok; Marco Terrones |
| Abstract: | We examine the properties of house price fluctuations across 18 advanced economies over the past 40 years. We ask two specific questions: First, how synchronized are housing cycles across these countries? Second, what are the main shocks driving movements in global house prices? To address these questions, we first estimate the global components in house prices and various macroeconomic and financial variables. We then evaluate the roles played by a variety of global shocks, including shocks to interest rates, monetary policy, productivity, credit, and uncertainty, in explaining house price fluctuations using a wide range of FAVAR models. We find that house prices are synchronized across countries, and the degree of synchronization has increased over time. Global interest rate shocks tend to have a significant negative effect on global house prices whereas global monetary policy shocks per se do not appear to have a sizeable impact. Interestingly, uncertainty shocks seem to be important in explaining fluctuations in global house prices. |
| Keywords: | Housing prices;Asset prices;Business cycles;Developed countries;Time series;monetary policy; interest rates; business cycles; financial cycles |
| Date: | 2013–02–06 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:13/38&r=ifn |
| By: | Sarno, Lucio; Schmeling, Maik |
| Abstract: | Standard present-value models suggest that exchange rates are driven by expected future fundamentals, implying that exchange rates contain information about future fundamentals. We test this key empirical prediction of present-value models in a sample of 35 currency pairs ranging from 1900 to 2009. Employing a variety of tests, we find that exchange rates have strong and significant predictive power for nominal fundamentals (inflation, money balances, nominal GDP), whereas predictability of real fundamentals and risk premia is much weaker and largely confined to the post-Bretton Woods era. Overall, we uncover ample evidence that future macro fundamentals drive current exchange rates. |
| Keywords: | economic fundamentals; Exchange rates; forecasting; present value model |
| JEL: | F31 G10 |
| Date: | 2013–05 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:9472&r=ifn |