Regime-switching in exchange rate policy and balance sheet effects
By: Norbert Fiess, Rashmi Shankar.
Contributors: Shankar, Rashmi.; World Bank.
Series: Policy research working paper ;; 3653; Policy research working papers (Online) ;; 3653.
Publisher: World Bank
Published: 2005
Place of publication: [Washington, D.C
Language: eng
Format: Electronic resource
Subjects: Foreign exchange rates -- Developing countries.; Monetary policy -- Developing countries.
Description: "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. "--World Bank web site.
Notes: Includes bibliographical references.
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Also available in print.
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Mode of access: World Wide Web.