The Experts below are selected from a list of 360 Experts worldwide ranked by ideXlab platform
Andrew J Patton - One of the best experts on this subject based on the ideXlab platform.
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multivariate garch modeling of exchange rate volatility transmission in the european Monetary System
The Financial Review, 2000Co-Authors: Colm Kearney, Andrew J PattonAbstract:We construct a series of 3-, 4- and 5-variable multivariate GARCH models of exchange rate volatility transmission across the important European Monetary System (EMS) currencies including the French franc, the German mark, the Italian lira, and the European Currency Unit. The models are estimated without imposing the common restriction of constant correlation on both daily and weekly data from April 1979-March 1997. Our results indicate the importance of checking for specification robustness in multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) modeling, we find that increased temporal aggregation reduces observed volatility transmission, and that the mark plays a dominant position in terms of volatility transmission. Copyright 2000 by MIT Press.
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multivariate garch modeling of exchange rate volatility transmission in the european Monetary System
Social Science Research Network, 2000Co-Authors: Colm Kearney, Andrew J PattonAbstract:We construct a series of 3-, 4- and 5-variable multivariate GARCH models of exchange rate volatility transmission across the important European Monetary System (EMS) currencies including the French franc, the German mark, the Italian lira, and the European Currency Unit. The models are estimated without imposing the common restriction of constant correlation on both daily and weekly data from April 1979?March 1997. Our results indicate the importance of checking for specification robustness in multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) modeling, we find that increased temporal aggregation reduces observed volatility transmission, and that the mark plays a dominant position in terms of volatility transmission.
Michael D. Bordo - One of the best experts on this subject based on the ideXlab platform.
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putting the System in the international Monetary System
National Bureau of Economic Research, 2013Co-Authors: Michael D. Bordo, Angela RedishAbstract:The international gold standard of the late nineteenth century has been described as a System of 'spontaneous order', capturing the idea that its architects at the time were fashioning domestic Monetary Systems which created a System of fixed exchange rates almost as a by-product. In contrast the framers of the Bretton Woods System were intentional in building an international Monetary System and so it is by advocates of designing an international Monetary order. In this paper we examine the transition from spontaneous order circa 1850 to designed System and then back towards spontaneous order in the late twentieth century, arguing that it is an evolution with multiple stops and starts, and that the threads that underlie the general tendency through these hesitations are the interplay between Monetary and fiscal factors and the evolution of the financial System. This transformation is embedded within deep evolving political fundamentals including the rise of democracy, nationalism, fascism and communism and two world wars.
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the rise and fall of a barbarous relic the role of gold in the international Monetary System
National Bureau of Economic Research, 1998Co-Authors: Michael D. Bordo, Barry EichengreenAbstract:In this paper we analyze the changing role of gold in the international Monetary System, in particular the persistence of gold holdings by Monetary authorities for 20 years following the breakdown of the Brettone Woods System System and the Second Amendment to the Articles of Agreement of the International Monetary Fund which severed the formal link to gold. We stress four points. First, the gold-exchange standard was a recent arrangement that emerged only around 1900 in response to a set of historically-specific factors which also help to account for it smooth operation. How long those factors would have continued to support it will never be known, due to a great war and then a great depression. Second, a System which relied on inelastically supplied precious metal and elastcially suppled foreign exchange to meet the the world economy's demand for reserves was intrinsically fragile, prone to confidence problems, and a transmission belt for policy mistakes. Third, network externalities, statutory restrictions and habit all contributed to the persistence of the practice of holding gold reserves. But the hold of even factors as powerful as these inevitably weakens with time and the effects of their erosion are reinforced by the rise of international capital mobility, which increases the ease of holding other forms of reserves, both unborrowed and borrowed, and by the shift to greater exchange-rate flexibility, which according to our results diminishes the demand for reserves in general. Fourth and finally, network externalities, in conjunction with central bankers' collective sense of responsibility for the stability of the price of what remains an important reserve asset, suggest that the same factors which have long held in place the practice of holding gold reserves, when they come unstuck, may become unstuck all at once.
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france and the bretton woods international Monetary System 1960 1968
National Bureau of Economic Research, 1994Co-Authors: Michael D. Bordo, Dominique Simard, Eugene N WhiteAbstract:We reinterpret the commonly held view in the U.S. that France, by following a policy from 1965 to 1968 of deliberately converting their dollar holdings into gold helped perpetuate the collapse of the Bretton Woods International Monetary System. We argue that French international Monetary policy under Charles de Gaulle was consistent with strategies developed in the interwar period and the French Plan of 1943. France used proposals to return to an orthodox gold standard as well as conversions of its dollar reserves into gold as tactical threats to induce the United States to initiate the reform of the international Monetary System towards a more symmetrical and cooperative gold-exchange standard regime.
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the bretton woods international Monetary System an historical overview
National Bureau of Economic Research, 1992Co-Authors: Michael D. BordoAbstract:This paper presents an overview of the Bretton Woods experience. From an historical perspective. I analyze its performance relative to other international Monetary regimes. its origins. its operation. its problems and its demise. In the survey I emphasize both issues deemed important at the time and raise questions which may be of interest for the concerns of the present. Part 2 compares the macro performance of Bretton Woods with preceding and subsequent Monetary regimes. The descriptive statistics on nine key macro variables point to one startling conclusion -- the Bretton Woods System. in its full convertibility phase 1959-1971, was the most stable regime for both nominal and real variables in the past century. Part 3 surveys the origins of Bretton Woods: the perceived problems of the inter war period; the plans for a new international Monetary order and the steps leading to the outcome -- the Articles of Agreement. Part 4 examines the preconvertibility period from 1946 to 1958: the problems in getting the System started including the dollar shortage and the weakness of the IMF; and how the System evolved to convertibility and the gold dollar standard. Part 5 analyzes the heyday of Bretton Woods 1959 to 1971 in the context of the gold dollar standard and the famous three problems: adjustment. liquidity, and confidence. Part 6 considers the emergence of a "de facto" dollar standard in 1968 and its collapse in the face of a massive U.S. induced inflation. Part 7 considers why Bretton Woods was so stable and yet so short-lived. It also considers the importance of adherence to credible rules in the design of an effective international Monetary System.
Barry Eichengreen - One of the best experts on this subject based on the ideXlab platform.
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two views of the international Monetary System
Intereconomics, 2019Co-Authors: Barry EichengreenAbstract:Abstract Distinguishing between two different schools of thought that are named after two different universities, Harvard and Berkeley, the article looks at the evolution, past and future, of the international Monetary System. While the empirical view holds that the System will remain unipolar and dollar-based, the opposing view uses history to contend that it may potenially evolve away from the dollar into a multipolar System.
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the international Monetary System in the last and next 20 years
Economic Policy, 2006Co-Authors: Barry Eichengreen, Raul RazogarciaAbstract:type="main" xml:lang="en"> The last two decades have seen far-reaching changes in the structure of the international Monetary System. Europe moved from the European Monetary System to the euro. China adopted a dollar peg and then moved to a basket, band and crawl in 2005. Emerging markets passed through a series of crises, leading some to adopt regimes of greater exchange rate flexibility and others to rethink the pace of capital account liberalization. Interpreting these developments is no easy task: some observers conclude that recent trends are confirmation of the ‘bipolar view’ that intermediate exchange rate arrangements are disappearing, while members of the ‘fear of floating school’ conclude precisely the opposite. We show that the two views can be reconciled if one distinguishes countries by their stage of economic and financial development. Among the advanced countries, intermediate regimes have essentially disappeared; this supports the bipolar view for the group of countries for which it was first developed. Within this subgroup, the dominant movement has been toward hard pegs, reflecting Monetary unification in Europe. While emerging markets have also seen a decline in the prevalence of intermediate arrangements, these regimes still account for more than a third of the relevant subsample. Here the majority of the evacuees have moved to floats rather than fixes, reflecting the absence of EMU-like arrangements in other parts of the world. Among developing countries, the prevalence of intermediate regimes has again declined, but less dramatically. Where these regimes accounted for two-thirds of the developing country subsample in 1990, they account for a bit more than half of that subsample today. As with emerging markets, the majority of those abandoning the middle have moved to floats rather than hard pegs. The gradual nature of these trends does not suggest that intermediate regimes will disappear outside the advanced countries anytime soon. — Barry Eichengreen and Raul Razo-Garcia
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the international Monetary System in the last and next 20 years
Economic Policy, 2006Co-Authors: Barry Eichengreen, Raul RazogarciaAbstract:The last two decades have seen far-reaching changes in the structure of the international Monetary System. Europe moved from the European Monetary System to the euro. China adopted a dollar peg and then moved to a basket, band and crawl in 2005. Emerging markets passed through a series of crises, leading some to adopt regimes of greater exchange rate flexibility and others to rethink the pace of capital account liberalization. Interpreting these developments is no easy task: some observers conclude that recent trends are confirmation of the ‘bipolar view’ that intermediate exchange rate arrangements are disappearing, while members of the ‘fear of floating school’ conclude precisely the opposite. We show that the two views can be reconciled if one distinguishes countries by their stage of economic and financial development. Among the advanced countries, intermediate regimes have essentially disappeared; this supports the bipolar view for the group of countries for which it was first developed. Within this subgroup, the dominant movement has been toward hard pegs, reflecting Monetary unification in Europe. While emerging markets have also seen a decline in the prevalence of intermediate arrangements, these regimes still account for more than a third of the relevant subsample. Here the majority of the evacuees have moved to floats rather than fixes, reflecting the absence of EMU-like arrangements in other parts of the world. Among developing countries, the prevalence of intermediate regimes has again declined, but less dramatically. Where these regimes accounted for two-thirds of the developing country subsample in 1990, they account for a bit more than half of that subsample today. As with emerging markets, the majority of those abandoning the middle have moved to floats rather than hard pegs. The gradual nature of these trends does not suggest that intermediate regimes will disappear outside the advanced countries anytime soon. — Barry Eichengreen and Raul Razo-Garcia
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the international Monetary System in the very long run
The International Monetary System in the (Very) Long Run, 2000Co-Authors: Barry Eichengreen, Nathan SussmanAbstract:This paper takes stock of the evolution of the international Monetary System over the last thousand years. Several points stand out from the analysis. One is the reluctance of governments to embrace radical changes in international Monetary relations. Another is the conflict between external and domestic objectives over the cycle, which has been a source of significant tension in the industrial core through much of this century, is now becoming a significant issue for developing countries. Finally, recent developments represent a return to the more market-driven international Monetary System that characterized the better part of the preceeding millennium.
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globalizing capital a history of the international Monetary System
1998Co-Authors: Barry EichengreenAbstract:The importance of the International Monetary System is evident in the daily news stories about fluctuating currencies and in dramatic events, such as the recent reversals in the Mexican economy. It has become increasingly apparent that one cannot understand the international economy without knowing how its Monetary System operates. This volume tells the story of the international financial System over the past 150 years. It is intended not only for economists, but also for a general audience of historians, political scientists, professionals in government and business, and anyone with a broad interest in international economic and political relations. The book demonstrates that insights into the International Monetary System and effective principles for governing it can result only if is seen as a historical phenomenon extending from the gold standard period to interwar instability, then to Bretton Woods and, finally, to the post-1973 period of fluctuating currencies. Eichengreen analyzes the shift from pegged to floating exchange rates in the 1970s, and ascribes that change to the growing capital mobility that has made pegged rates difficult to maintain. However, he shows that capital mobility was also high prior to World War I, yet this did not prevent the maintenance of fixed exchange rates. What was critical for the successful maintenance of fixed exchange rates during that period was the fact that governments were relatively insulated from democratic politics and, thus, from pressure to trade off exchange rate stability for other goals, such as the reduction of unemployment. Today, pegging exchange rates would require very radical reforms of a sort that governments are understandably reluctant to embrace. The implication seems undeniable: floating rates are here to stay. Barry Eichengreen is the author of "Golder Fetters: The Gold Standard and the Great Depression, 1918-1939".
Andrew K Rose - One of the best experts on this subject based on the ideXlab platform.
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a stable international Monetary System emerges bretton woods reversed
2006Co-Authors: Andrew K RoseAbstract:A stable international Monetary System has emerged since the early 1990s. A large number of industrial and a growing number of developing countries now have domestic inflation targets administered by independent and transparent central banks. These countries place few restrictions on capital mobility and allow their exchange rates to float. The domestic focus of Monetary policy in these countries does not have any obvious international cost. Inflation targeters have lower exchange rate volatility and less frequent “sudden stops” of capital flows than similar countries that do not target inflation. Inflation targeting countries also do not have current accounts or international reserves that look different from other countries. This System was not planned and does not rely on international coordination. There is no role for a center country, the IMF, or gold. It is durable; in contrast to other Monetary regimes, no country has yet abandoned an inflation-targeting regime in crisis. Succinctly, it is the diametric opposite of the post-war System; Bretton Woods, reversed.
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a stable international Monetary System emerges inflation targeting is bretton woods reversed
National Bureau of Economic Research, 2006Co-Authors: Andrew K RoseAbstract:A stable international Monetary System has emerged since the early 1990s. A large number of industrial and a growing number of developing countries now have domestic inflation targets administered by independent and transparent central banks. These countries place few restrictions on capital mobility and allow their exchange rates to float. The domestic focus of Monetary policy in these countries does not have any obvious international cost. Inflation targeters have lower exchange rate volatility and less frequent "sudden stops" of capital flows than similar countries that do not target inflation. Inflation targeting countries also do not have current accounts or international reserves that look different from other countries. This System was not planned and does not rely on international coordination. There is no role for a center country, the IMF, or gold. It is durable; in contrast to other Monetary regimes, no country has been forced to abandon an inflation-targeting regime. Succinctly, it is the diametric opposite of the post-war System; Bretton Woods, reversed.
Christophe Destais - One of the best experts on this subject based on the ideXlab platform.
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central bank currency swaps and the international Monetary System
Emerging Markets Finance and Trade, 2016Co-Authors: Christophe DestaisAbstract:ABSTRACTCentral bank currency swaps have emerged as a de facto key feature of the international Monetary System, with the US Federal Reserve having extensive recourse to them during the financial crisis, and their exploitation by the People’s Bank of China to help internationalizing the renminbi. Combined with the unlimited and exclusive power of central banks to create money these swaps can match the volatility of international capital flows. However, they have so far not been associated with conditionality, and are more precarious than alternative institutional arrangements. Strictly framing the discretionary use of this tool seems unrealistic but an internationally agreed set of principles would enable a fairer and perhaps more efficient exploitation of this instrument.
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central bank currency swaps and the international Monetary System
CEPII Policy Brief, 2014Co-Authors: Christophe DestaisAbstract:Central bank currency swaps (CBCS) allow central banks to provide foreign currency liquidity to the commercial banks in their jurisdictions. Since the end of 2007, these swaps have emerged as a de facto key feature of the international Monetary System (IMS), with the US Federal Reserve (FED) having extensive recourse to them during the financial crisis, and their exploitation by the People’s Bank of China (PBOC) to help internationalizing the renminbi. This trend was further confirmed in the second half of 2013 with (i) the signing of two swaps agreements between the PBOC and the Bank of England (BOE) and the European Central Bank (ECB), and (ii) the little remarked decision by six major western central banks including the US FED, announced on October 31st 2013, to make permanent previously temporary swap lines. Currency swaps combined with the unlimited and exclusive power of central banks to create money can match the volatility of international capital flows. They have proved very effective and extremely helpful during the recent financial crisis. However, so far, central bank swaps have not been associated with conditionality, and are more precarious than alternative institutional arrangements, such as the International Monetary Fund (IMF) or regional financial agreements (RFA). Large scale use of CBCS can render central banks subject to significant counterparty risk. The huge powers that are bestowed upon central banks as a result of CBCS have triggered questions about the possibility of institutionalizing, and therefore limiting, this new tool. This might be a step too far, since most countries link sovereignty and money creation, and would never agree to have their hands tied. However, in our view, an internationally agreed set of principles would enable a fairer and perhaps more efficient exploitation of this instrument. These principles should include a commitment to transparency. They should encourage long-lasting agreements in order to foster stability, as well as the inclusion of provisions that require commercial banks to soundly manage their foreign liquidity risk. They should also encourage international currency issuers not to unfairly exclude potential CBCS beneficiaries.