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Global Volatility and Forex Returns in East Asia

Global Volatility and Forex Returns in East Asia »

Volume/Issue: 2008/208

Series: IMF Working Papers

Author(s): Sanjay Kalra

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2008

DOI: http://dx.doi.org/10.5089/9781451870664.001

ISBN: 9781451870664

Keywords: Forex returns, GARCH models, volatility, exchange rate, standard deviation, statistics, heteroscedasticity,

During 2001-07, increases in mature market volatility were associated with declines in forex returns for East Asian countries, consistent with an overall "flight to safety" effect. Estimates from GARCH models sugge...

Bivariate Assessments of Real Exchange Rates Using PPP Data

Bivariate Assessments of Real Exchange Rates Using PPP Data »

Volume/Issue: 2008/153

Series: IMF Working Papers

Author(s): Juan Zalduendo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2008

DOI: http://dx.doi.org/10.5089/9781451870114.001

ISBN: 9781451870114

Keywords: Real exchange rate, exchange rate, real exchange rates

This paper focuses on assessments of real exchange rates using PPP data and examines their limitations when these are based exclusively on bivariate estimations. It begins by presenting an analytical framework of t...

Trade Sensitivity to Exchange Rates in the Context of Intra-Industry Trade

Trade Sensitivity to Exchange Rates in the Context of Intra-Industry Trade »

Volume/Issue: 2008/134

Series: IMF Working Papers

Author(s): Yoko Oguro , Kyoji Fukao , and Yougesh Khatri

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2008

DOI: http://dx.doi.org/10.5089/9781451869934.001

ISBN: 9781451869934

Keywords: Intra-industry trade, exchange rate, industry trade, elasticity of substitution, exchange rate movements,

This paper theoretically and empirically investigates export sensitivity to exchange rates in the context of intra-industry trade (IIT). It is assumed that more IIT implies a smaller elasticity of substitution amon...

China's Changing Trade Elasticities

China's Changing Trade Elasticities »

Volume/Issue: 2007/266

Series: IMF Working Papers

Author(s): Jahangir Aziz , and Xiangming Li

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2007

DOI: http://dx.doi.org/10.5089/9781451868296.001

ISBN: 9781451868296

Keywords: elasticity, exchange rate, trade balance, standard error, equation, equations, statistic, probability,

China's sectoral trade composition, product quality mix, and import content of processing exports have all changed substantially during the past decade. This has rendered trade elasticities estimated using aggregat...

The Shifting Structure of China's Trade and Production

The Shifting Structure of China's Trade and Production »

Volume/Issue: 2007/214

Series: IMF Working Papers

Author(s): Li Cui , and Murtaza Syed

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2007

DOI: http://dx.doi.org/10.5089/9781451867787.001

ISBN: 9781451867787

Keywords: Value added, processing trade, exchange rate, domestic demand, domestic production, trade structure, trade flows,

This paper uses disaggregated trade data to assess how the expansion of China's production capacity and its changing production structure may be affecting its trade linkages with other countries. It finds that Chin...

Real Effects of Common Currencies in East Asia

Real Effects of Common Currencies in East Asia »

Volume/Issue: 2007/166

Series: IMF Working Papers

Author(s): Kazuko Shirono

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2007

DOI: http://dx.doi.org/10.5089/9781451867305.001

ISBN: 9781451867305

Keywords: Currency Union, Gravity Model, exchange rate, bilateral trade, currency unions, trade costs, exchange rate policies,

Since the 1997 Asian currency crisis, new interest has emerged in the formation of a common currency area in East Asia. This paper provides estimates of trade and welfare effects of East Asian currency unions, usin...

Sustaining Latin America's Resurgence
			: Some Historical Perspectives

Sustaining Latin America's Resurgence : Some Historical Perspectives »

Volume/Issue: 2006/252

Series: IMF Working Papers

Author(s): Anoop Singh , and Martin Cerisola

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2006

DOI: http://dx.doi.org/10.5089/9781451865127.001

ISBN: 9781451865127

Keywords: Macroeconomic Policy, Policy Design and Consistency, Economic Growth, Open Economies, fiscal policy, exchange rate, exchange rate regimes, discretionary fiscal policy, exchange rates, Prices

This paper looks at the historical lessons that might serve to entrech Latin America's newly resurgent growth phase. It briefly reviews the post-World War II experiences in Latin America and Asia, focusing on the c...

How Robust are Estimates of Equilibrium Real Exchange Rates
			: The Case of China

How Robust are Estimates of Equilibrium Real Exchange Rates : The Case of China »

Volume/Issue: 2006/220

Series: IMF Working Papers

Author(s): Lamin Leigh , Steven Dunaway , and Xiangming Li

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2006

DOI: http://dx.doi.org/10.5089/9781451864809.001

ISBN: 9781451864809

Keywords: China&;amp;#x2019;s equilibrium real exchange rate, robustness tests, exchange rate, real exchange rate, equation, current account balance, Demand and Supply of Labor: General

Increased attention is being paid to assessments of the actual values of countries' real exchange rates relative to their "equilibrium" values as suggested by "fundamental" determining factors. This paper assesses...

Estimating China's "Equilibrium" Real Exchange Rate

Estimating China's "Equilibrium" Real Exchange Rate »

Volume/Issue: 2005/202

Series: IMF Working Papers

Author(s): Xiangming Li , and Steven Dunaway

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2005

DOI: http://dx.doi.org/10.5089/9781451862218.001

ISBN: 9781451862218

Keywords: exchange rate, real exchange rate, current account balance, trade model, balance of payments

The number of studies attempting to estimate the "equilibrium" real value of China's currency has proliferated in recent years as the country's presence in world markets has grown. These studies have sought to esta...

New Rates from New Weights

New Rates from New Weights »

Volume/Issue: 2005/99

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2005

DOI: http://dx.doi.org/10.5089/9781451861181.001

ISBN: 9781451861181

Keywords: Weight, effective exchange rate, exchange rate, exchange rates, real exchange rates, real effective exchange rate, Trade: General, International Finance: General,

This paper describes the result and the methodology of updating nominal and real effective exchange rate weights on the basis of trade data over 1999-2001. The underlying framework is an updated version of the IMF'...