This paperÕs estimates and tests of Fed intervention pro®ts are the ®rst that explicitly adjust for foreign-exchange risk premia; failure to adjust may grossly a€ect estimated pro®ts. Pro®ts appear economically and statistically signi®cant, whether risk premia are modeled as time-constant or as appreciationÕs market beta depending on Fed intervention. The estimates are sensitive to the method o...

After the collapse of fixed exchange rate system Bretton Woods, fluctuations and its impact on macroeconomic performance trade in countries around world are becoming an increasing debate among researchers policymakers. This study empirically investigates whether real may affect exports Indian context. The has employed autoregressive distributed lag (ARDL) bound test procedure to analyse long-ru...

abstract i n this paper, we investigate the existence and the nature of real exchange rate misalignment in organization of the petroleum exporting countries (opec). to do this we estimated a cross country basic real exchange rate determination model for 1990-2012 and extracted historic trend of misalignment. the results imply that all opec countries have had misalignment -of different kinds tho...

Currency crises that coincide with banking crises tend to share at least three elements. First, banks have a currency mismatch between their assets and liabilities. Second, banks do not completely hedge the associated exchange rate risk. Third, there are implicit government guarantees to banks and their foreign creditors. This paper argues that the "rst two features arise from banks' optimal re...

What drives countercyclical volatility? A large literature has documented that many economic variables are more disperse in recessions, but this could either occur because shocks get bigger or because …rms respond more to shocks which are the same size. Existing evidence that the dispersion of endogenous variables rises in recessions cannot tell us which of volatility or responsiveness is getti...

The Interactions between Debt and Currency Crises – Common Causes or Contagion? In contrast to the well-known twin currency and banking crises the literature has so far neglected a second type of twin crises, the simultaneous occurrence of currency and debt crises. The decision of a government to devalue and/or to default is closely interlinked through the government’s intertemporal budget cons...

African economies are facing the critical challenge of raising the rate of GDP growth and sustaining high growth rates and thus meet the Millennium Development Goals (MDGs). The performance of agriculture is more paradoxical and African exports of industrial goods are dominated by mining and crude oil. The financial systems remain largely underdeveloped both in terms of the size and range of fi...

The breakdown of the Bretton Woods system and the adoption of generalized ‡oating exchange rates ushered in a new era of exchange rate volatility and uncertainty. This increased volatility lead economists to search for economic models able to describe observed exchange rate behavior. In the present paper we propose more general STAR transition functions which encompass both threshold nonlineari...