The Experts below are selected from a list of 318 Experts worldwide ranked by ideXlab platform
Francisco Jose Veiga - One of the best experts on this subject based on the ideXlab platform.
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Currency Substitution portfolio diversification and money demand
Canadian Journal of Economics, 2006Co-Authors: Miguel Lebre De Freitas, Francisco Jose VeigaAbstract:We extend the Thomas (1985) dynamic optimissing model of money demand and Currency Substitution to the case in which the individual has no access to bonds denominated in foreign Currency. We show that in this case the demand for domestic money is influenced by portfolio decisions. Contrary to what defended by the Portfolio Balance Approach to Currency Substitution, the results obtained in this paper suggest that the significance of an expected exchange rate depreciation term in the demand for domestic money provides a valid test for the present of curency Substitution. The results also suggest that, in countries facing monetary instability and Currency Substitution, restricting the availability of interest-bearning assets denominated in foreign Currency may have a destabilising impact on the money demand.
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Currency Substitution, portfolio diversification, and money demand
Canadian Journal of Economics, 2006Co-Authors: Miguel Lebre De Freitas, Francisco Jose VeigaAbstract:We extend the Thomas (1985) dynamic optimizing model of money demand and Currency Substitution to the case in which the individual has restricted or no access to foreign Currency denominated bonds. In this case Currency Substitution decisions and asset Substitution decisions are not separable. The results obtained suggest that the significance of an expected exchange rate depreciation term in the demand for domestic money provides a valid test for the presence of Currency Substitution. Applying this approach to six Latin-American countries, we find evidence of Currency Substitution in Colombia, Dominican Republic, and Venezuela, but not in Brazil and Chile.
Miguel Lebre De Freitas - One of the best experts on this subject based on the ideXlab platform.
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Currency Substitution portfolio diversification and money demand
Canadian Journal of Economics, 2006Co-Authors: Miguel Lebre De Freitas, Francisco Jose VeigaAbstract:We extend the Thomas (1985) dynamic optimissing model of money demand and Currency Substitution to the case in which the individual has no access to bonds denominated in foreign Currency. We show that in this case the demand for domestic money is influenced by portfolio decisions. Contrary to what defended by the Portfolio Balance Approach to Currency Substitution, the results obtained in this paper suggest that the significance of an expected exchange rate depreciation term in the demand for domestic money provides a valid test for the present of curency Substitution. The results also suggest that, in countries facing monetary instability and Currency Substitution, restricting the availability of interest-bearning assets denominated in foreign Currency may have a destabilising impact on the money demand.
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Currency Substitution, portfolio diversification, and money demand
Canadian Journal of Economics, 2006Co-Authors: Miguel Lebre De Freitas, Francisco Jose VeigaAbstract:We extend the Thomas (1985) dynamic optimizing model of money demand and Currency Substitution to the case in which the individual has restricted or no access to foreign Currency denominated bonds. In this case Currency Substitution decisions and asset Substitution decisions are not separable. The results obtained suggest that the significance of an expected exchange rate depreciation term in the demand for domestic money provides a valid test for the presence of Currency Substitution. Applying this approach to six Latin-American countries, we find evidence of Currency Substitution in Colombia, Dominican Republic, and Venezuela, but not in Brazil and Chile.
Shu Ki Tsang - One of the best experts on this subject based on the ideXlab platform.
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Currency Substitution and speculative attacks on a Currency board system
Journal of International Money and Finance, 2002Co-Authors: Shu Ki TsangAbstract:Abstract A Currency board arrangement (CBA) is supposed to be robust against attacks. Currency Substitution complicates life, with controversial implications for floating versus fixed exchange rate regimes. After reporting evidence of Currency Substitution in Hong Kong, a monetary model incorporating Currency Substitution is used to estimate the shadow exchange rate and the probability of speculative attack on the Hong Kong dollar. A decomposition analysis of a Markov-switching model indicates that the no-attack regime was the most durable one. This implies that Hong Kong's quasi CBA was relatively robust against both speculative attacks and Currency Substitution.
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Currency Substitution and speculative attacks on a Currency board system
Journal of International Money and Finance, 2002Co-Authors: Shu Ki Tsang, Yue MaAbstract:A Currency board arrangement (CBA) is supposed to be robust against attacks. Currency Substitution complicates life, with controversial implications for floating versus fixed exchange rate regimes. After reporting evidence of Currency Substitution in Hong Kong, a monetary model incorporating Currency Substitution is used to estimate the shadow exchange rate and the probability of speculative attack on the Hong Kong dollar. A decomposition analysis of a Markov-switching model indicates that the no-attack regime was the most durable one. This implies that Hong Kong's quasi CBA was relatively robust against both speculative attacks and Currency Substitution. © 2002 Elsevier Science Ltd. All rights reserved.
Santi Chaisrisawatsuk - One of the best experts on this subject based on the ideXlab platform.
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Currency Substitution in asian countries
Journal of Asian Economics, 2005Co-Authors: Subhash C. Sharma, Mona Kandil, Santi ChaisrisawatsukAbstract:Abstract The objective of this study is to investigate the importance of the U.S. dollar to six Asian economies, as a substitute or complement to domestic monetary assets. Towards this goal, the Morishima elasticity of Substitution is estimated between domestic Currency, the U.S. dollar and time and savings deposits at commercial banks in Indonesia, Japan, Korea, Malaysia, Singapore and Thailand over the period 1977 to 1996. We observe that the domestic Currency and the U.S. dollar are Morishima substitutes in every country, and the demand for the U.S. dollar relative to the domestic Currency appears to respond more to a change in the opportunity cost of holding domestic money (exchange rate depreciation) than the opportunity cost of holding the U.S. dollar (the domestic interest rate). A higher degree of Currency Substitution is found in Japan, Korea, and Singapore than the rest of the countries. Moreover, there is an indication of an increasing degree of Currency Substitution over time in every country except for Malaysia. Currency Substitution creates a channel for the transmission of exogenous monetary disturbances from abroad. The vulnerability of money demand in the face of foreign shocks increases pressure on the monetary authorities to accommodate these shocks under a pegged exchange rate system. The cost of this accommodation proved to be unsustainable during the Asian crisis as foreign reserves were drawn down. Hence, there is the need to build up an adequate foreign reserves position to accommodate the degree of Currency Substitution and dollarization.
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Currency Substitution in Asian countries
Journal of Asian Economics, 2005Co-Authors: Subhash C. Sharma, Mona Kandil, Santi ChaisrisawatsukAbstract:The objective of this study is to investigate the importance of the U.S. dollar to six Asian economies, as a substitute or complement to domestic monetary assets. Towards this goal, the Morishima elasticity of Substitution is estimated between domestic Currency, the U.S. dollar and time and savings deposits at commercial banks in Indonesia, Japan, Korea, Malaysia, Singapore and Thailand over the period 1977 to 1996. We observe that the domestic Currency and the U.S. dollar are Morishima substitutes in every country, and the demand for the U.S. dollar relative to the domestic Currency appears to respond more to a change in the opportunity cost of holding domestic money (exchange rate depreciation) than the opportunity cost of holding the U.S. dollar (the domestic interest rate). A higher degree of Currency Substitution is found in Japan, Korea, and Singapore than the rest of the countries. Moreover, there is an indication of an increasing degree of Currency Substitution over time in every country except for Malaysia. Currency Substitution creates a channel for the transmission of exogenous monetary disturbances from abroad. The vulnerability of money demand in the face of foreign shocks increases pressure on the monetary authorities to accommodate these shocks under a pegged exchange rate system. The cost of this accommodation proved to be unsustainable during the Asian crisis as foreign reserves were drawn down. Hence, there is the need to build up an adequate foreign reserves position to accommodate the degree of Currency Substitution and dollarization. © 2005 Elsevier Inc. All rights reserved.
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money demand stability under Currency Substitution some recent evidence
Applied Financial Economics, 2004Co-Authors: Santi Chaisrisawatsuk, Subhash C. Sharma, Abdur ChowdhuryAbstract:This study deals with the issue of independent monetary policy and the stability of the domestic money demand function in the presence of Currency Substitution and capital mobility in five Asian economies. It is argued that money demand will be less stable and more difficult to control in the presence of international variables. The money demand function is derived using the portfolio balance approach. The results from the cointegration analysis reveal that capital mobility and Currency Substitution are significant factors in the domestic money demand equations for Indonesia, Korea, Malaysia, Singapore, and Thailand. The results also show that the US dollar, Japanese yen, and British pound are used significantly by domestic residents together with the domestic Currency in Indonesia, Korea, Singapore and Thailand. However, in the case of Malaysia, despite the existence of Currency Substitution for the US dollar and Japanese yen, there is no evidence of Currency Substitution between the domestic Currency and British pound. Therefore, for these countries to have an effective monetary policy, the monetary authorities should take into account the two international factors.
Yue Ma - One of the best experts on this subject based on the ideXlab platform.
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Currency Substitution and speculative attacks on a Currency board system
Journal of International Money and Finance, 2002Co-Authors: Shu Ki Tsang, Yue MaAbstract:A Currency board arrangement (CBA) is supposed to be robust against attacks. Currency Substitution complicates life, with controversial implications for floating versus fixed exchange rate regimes. After reporting evidence of Currency Substitution in Hong Kong, a monetary model incorporating Currency Substitution is used to estimate the shadow exchange rate and the probability of speculative attack on the Hong Kong dollar. A decomposition analysis of a Markov-switching model indicates that the no-attack regime was the most durable one. This implies that Hong Kong's quasi CBA was relatively robust against both speculative attacks and Currency Substitution. © 2002 Elsevier Science Ltd. All rights reserved.
