The Annual Report on Exchange Arrangements and Exchange Restrictions (AREAER) has been published by the IMF since 1950. It is a unique publication based on a database maintained by the IMF that ...tracks exchange arrangements and foreign exchange systems for all member countries on an annual basis and also provides historical information on these. The introduction to the volume provides a summary of recent global trends and developments in the areas covered by the publication. Individual country chapters report exchange measures in place, the structure and setting of the exchange rate, arrangements for payments and receipts, procedures for resident and nonresident accounts, mechanisms for import and export payments and receipts, controls on capital transactions, and provisions specific to the financial sector. A separate section in each chapter lists changes made during 2005 and the first part of 2006. The AREAER draws on information made available to the IMF from a number of sources, including during official staff visits to member countries, and has been prepared in close consultation with national authorities. The information is presented in a tabular format.
Currency politics Frieden, Jeffry A
2014., 20141221, 2014, 2014-12-28
eBook
The exchange rate is the most important price in any economy, since it affects all other prices. Exchange rates are set, either directly or indirectly, by government policy. Exchange rates are also ...central to the global economy, for they profoundly influence all international economic activity. Despite the critical role of exchange rate policy, there are few definitive explanations of why governments choose the currency policies they do. Filled with in-depth cases and examples,Currency Politicspresents a comprehensive analysis of the politics surrounding exchange rates.
Identifying the motivations for currency policy preferences on the part of industries seeking to influence politicians, Jeffry Frieden shows how each industry's characteristics-including its exposure to currency risk and the price effects of exchange rate movements-determine those preferences. Frieden evaluates the accuracy of his theoretical arguments in a variety of historical and geographical settings: he looks at the politics of the gold standard, particularly in the United States, and he examines the political economy of European monetary integration. He also analyzes the politics of Latin American currency policy over the past forty years, and focuses on the daunting currency crises that have frequently debilitated Latin American nations, including Mexico, Argentina, and Brazil.
With an ambitious mix of narrative and statistical investigation,Currency Politicsclarifies the political and economic determinants of exchange rate policies.
This paper studies the dynamics of volatility transmission between Central European (CE) currencies and the EUR/USD foreign exchange using model-free estimates of daily exchange rate volatility based ...on intraday data. We formulate a flexible yet parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well as on the lagged realized volatilities of the other exchange rates. We find evidence of statistically significant intra-regional volatility spillovers among the CE foreign exchange markets. With the exception of the Czech and, prior to the recent turbulent economic events, Polish currencies, we find no significant spillovers running from the EUR/USD to the CE foreign exchange markets. To measure the overall magnitude and evolution of volatility transmission over time, we construct a dynamic version of the Diebold–Yilmaz volatility spillover index and show that volatility spillovers tend to increase in periods characterized by market uncertainty.
•A stable and competitive RER policy may promote economic development.•Optimality also requires a system of effectively multiple RERs.•Industrial policies may increase the elasticity of the supply of ...tradable goods to the RER.•Regulation of capital flows is an essential element of RER policies.•And so is interventions in foreign exchange markets.
This paper analyzes the role of real exchange rate (RER) policies in promoting economic development. Markets provide a suboptimal amount of investment in sectors characterized by learning spillovers. We show that a stable and competitive RER policy may correct for this externality and other related market failures. The resulting development of these sectors leads to overall faster economic growth. A system of effectively multiple exchange rates is required when spillovers across different tradable sectors differ. The impact of RER policies is increased when they are complemented by traditional industrial policies that increase the elasticity of the aggregate supply to the RER. Among the instruments required to implement a stable and competitive RER are interventions in the foreign exchange market and regulation of capital flows. We also discuss the trade-offs associated with alternative stable and competitive RER policies and the relationship between the use of exchange rate policies for macro-stability and for development.
Currency carry trades exploiting violations of uncovered interest rate parity in G10 currencies deliver significant excess returns with annualized Sharpe ratios equal to or greater than those of ...equity market factors (1990–2012). Using data on out-of-the-money foreign exchange options, I compute returns to crash-hedged portfolios and demonstrate that the high returns to carry trades are not due to peso problems. A comparison of the returns to hedged and unhedged trades indicates crash risk premia account for at most one-third of the excess return to currency carry trades.
We provide the first systematic study of liquidity in the foreign exchange market. We find significant variation in liquidity across exchange rates, substantial illiquidity costs, and strong ...commonality in liquidity across currencies and with equity and bond markets. Analyzing the impact of liquidity risk on carry trades, we show that funding (investment) currencies offer insurance against (exposure to) liquidity risk. A liquidity risk factor has a strong impact on carry trade returns from 2007 to 2009, suggesting that liquidity risk is priced. We present evidence that liquidity spirals may trigger these findings.
Network structure and pricing in the FX market Hasbrouck, Joel; Levich, Richard M.
Journal of financial economics,
August 2021, 2021-08-00, 20210801, Volume:
141, Issue:
2
Journal Article
Peer reviewed
We construct the network, centrality measures, and attributions of trading profits for a sample of CLS Bank settlement data that spans diverse currency pairs, participants, and execution platforms. ...We define an average centrality differential as the return to the more-central counterparty in the trade. Estimates imply that the more-central counterparty receives a higher return, and that this differential increases as the counterparties’ centralities diverge. These two results are consistent with a pervasive centrality premium. This premium may reflect bargaining power, but we also find evidence that the premium is partially offset by losses that central agents incur in supplying liquidity.
The crisis in the foreign exchange market Melvin, Michael; Taylor, Mark P.
Journal of international money and finance,
12/2009, Volume:
28, Issue:
8
Journal Article
Peer reviewed
Open access
We provide an overview of the important events of the recent global financial crisis and their implications for exchange rates and market dynamics. Our goal is to catalogue all that was truly of ...major importance in this episode. We also construct a quantitative measure of crises that allows for a comparison of the current crisis to earlier events. In addition, we address whether one could have predicted costly events before they happened in a manner that would have allowed market participants to moderate their risk exposures and yield better returns from currency speculation.
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