Does greater exchange rate flexibility affect interest rates in post-crisis Asia?

Chow, Hwee Kwan; Kim, Yoonbai

doi:10.1016/j.asieco.2006.04.005

Cited by 15 publications

(18 citation statements)

References 16 publications

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“…Brissimis and Chionis (2004) explored the effects of market intervention by the ECB and the Bank of Japan and found evidence for the effectiveness for these actions. Chow and Kim (2006) stated that exchange rate flexibility stabilised the interest rates in the Asian crisis only in the short-run. Devereux et al (2012) have been questioning the association of relative consumption growth and real exchange-rate depreciations and found no such association, regardless of exchange rate regimes in 28 countries between 1990 and 2010.…”

Section: Literature Reviewmentioning

confidence: 99%

Interest rate forecasting and the financial crisis: a turning point in more than just one way

Kunze¹,

Gruppe²,

Wendler

2015

IJFERM

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Investors frequently rely on forecasts published by professional analysts. During the financial crisis uncertainty has substantially risen. Not surprisingly experts' predictions should be more than welcome for decision makers. After modelling the long-term relationship between the three month EURIBOR and the Consensus Economic forecast by using co-integration analysis this paper tests for changes in the accuracy of forecasts for the three month EURIBOR. We use traditional evaluation methods like sign accuracy tests, turning point analysis and the root mean square error (RMSE). We find evidence for a crisis related structural break. Checking for quality changes it can be stated that the forecasters' accuracy after the first months of the crisis is not much better in general. Furthermore, neither before nor after the structural break the analysts' forecasts did outperform a random prediction. But it can at least be stated that there is a significant improvement in the turning point prediction.

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Section: Literature Reviewmentioning

confidence: 99%

Interest rate forecasting and the financial crisis: a turning point in more than just one way

Kunze¹,

Gruppe²,

Wendler

2015

IJFERM

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“…Reports from the IMF (1998) indicated that the pegged exchange rate relative to the U.S dollar was one of the major reasons for the crisis. Because of the crisis, most of the crisis-hit countries announced a shift from an exchange rate-based monetary policy framework to the explicit adoption of inflation targeting (Chow and Kim, 2006 …”

Section: Inflation Targeting In Asian Countriesmentioning

confidence: 99%

Non-Linear Convergence in Asian Interest Rates and Inflation Rates

Kisswani

Nusair

2011

SSRN Journal

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We examine the dynamics of convergence of the ASEAN5 plus the big three for nominal interest rates, inflation rates, and real interest rates. We test for convergence relative to the U.S and Japan, using monthly data over the period January 1990 -December 2010, using non-linear unit root tests. The results show strong evidence of stationary inflation and real interest rate differentials in all but China's inflation differential relative to the U.S., and stationary nominal interest differentials in most of the cases. We interpret these results as convergence in inflation rates and real interest rates in all cases, and as nominal interest convergence in most of the cases.Moreover, examining the impact of the Asian crisis shows less number of convergences before the crisis and more convergences after the crisis. This suggests that convergence has increased after the 1997/98 Asian crisis, and that the crisis has pulled the economies together.

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“…In particular, Indonesia, Korea, the Philippines and Thailand announced the use of the interest rate as the key monetary policy-operating instrument (Chow and Kim, 2006). Since inflation targeting involves an institutional commitment to price stability as the primary goal of monetary policy, these countries have passed legal and institutional legislations to support their inflation targeting arrangements.…”

Section: Introductionmentioning

confidence: 99%

“…Table 1 provides highlights of inflation targeting arrangements in these countries. Among the Asian crisis-hit countries, Malaysia is the exception, which shifted to a fixed exchange rate regime relative to the U.S dollar and imposed capital controls in September 1998 (Chow and Kim, 2006).…”

Section: Introductionmentioning

confidence: 99%

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Non-Linearities in the Dynamics of Oil Prices

Kisswani

Nusair

2012

SSRN Journal

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We utilize non-linear models to examine the stationarity of oil prices (Brent, Dubai, WIT and World) over the period 1973:2-2011:2. Real oil prices are calculated and expressed in the domestic currencies of seven Asian countries (Indonesia, Japan, Korea, Malaysia, the Philippines, Singapore and Thailand) and in the U.S dollar.Applying linear unit root tests with and without structural breaks shows very limited evidence of stationarity.However, applying non-linear models shows evidence of non-linearity in all the cases. In most cases, we find significant evidence of exponential smooth transition autoregression (ESTAR) type non-linearity. Notably, the results for Japan suggest logistic (LSTAR) type non-linearity for the four oil prices. Applying unit root tests, which account for two types of non-linearities (smooth transition and nonlinear deterministic trends), reveals evidence of stationarity in all the cases.

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Does greater exchange rate flexibility affect interest rates in post-crisis Asia?

Cited by 15 publications

References 16 publications

Interest rate forecasting and the financial crisis: a turning point in more than just one way

Interest rate forecasting and the financial crisis: a turning point in more than just one way

Non-Linear Convergence in Asian Interest Rates and Inflation Rates

Non-Linearities in the Dynamics of Oil Prices

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