Exchange Rate Asymmetry and Flexible Exchange Rates under Inflation Targeting Regimes: Evidence from Four East and Southeast Asian Countries
The paper demonstrates that the economies of Indonesia, Korea, Philippines and Thailand, which are among the first group of emerging markets to embrace the inflation targeting framework of monetary policy, tend to adopt a form of an asymmetrical exchange rate behaviour wherein appreciation pressures are restrained more substantially than depreciation pressures. In short, these four Asian economies exemplify aversion to appreciations such that greater flexibility is allowed only one side of the market. Formal econometric tests using the smooth transition autoregressive and the Markov regime switching models confirm this hypothesis of aversion to appreciation and show that the central banks of these four economies tend to tolerate more of depreciations than of appreciations of their local currencies against the US dollar.
|This book is provided by South East Asian Central Banks (SEACEN) Research and Training Centre in its series Staff Papers with number sp77 and published in 2010.|
|Contact details of provider:|| Postal: |
Phone: 603-9195 1888
Fax: 603-9195 1801
Web page: http://edirc.repec.org/data/seacemy.html
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hyginus Leon & Serineh Najarian, 2005. "Asymmetric adjustment and nonlinear dynamics in real exchange rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 15-39.
- Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De.
- Graciela L. Kaminsky & Carmen M. Reinhart, 1996.
"The twin crises: the causes of banking and balance-of-payments problems,"
International Finance Discussion Papers
544, Board of Governors of the Federal Reserve System (U.S.).
- Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
- Reinhart, Carmen & Kaminsky, Graciela, 1999. "The twin crises: The causes of banking and balance of payments problems," MPRA Paper 14081, University Library of Munich, Germany.
- Almekinders, G.J. & Eijffinger, S.C.W., 1996.
"A friction model of daily Bundesbank and Federal Reserve intervention,"
Other publications TiSEM
9ca974cc-1549-4752-8dbe-0, Tilburg University, School of Economics and Management.
- Almekinders, Geert J. & Eijffinger, Sylvester C. W., 1996. "A friction model of daily Bundesbank and Federal Reserve intervention," Journal of Banking & Finance, Elsevier, vol. 20(8), pages 1365-1380, September.
- Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002.
"Smooth Transition Autoregressive Models — A Survey Of Recent Developments,"
Taylor & Francis Journals, vol. 21(1), pages 1-47.
- van Dijk, D.J.C. & Terasvirta, T. & Franses, Ph.H.B.F., 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Research Papers EI 2000-23/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans, 2000. "Smooth Transition Autoregressive Models - A Survey of Recent Developments," SSE/EFI Working Paper Series in Economics and Finance 380, Stockholm School of Economics, revised 17 Jan 2001.
- Svensson, Lars E.O., 1998.
"Open-Economy Inflation Targeting,"
638, Stockholm University, Institute for International Economic Studies.
- Lars E. O. Svensson, 2000. "Open-Economy Inflation Targeting," NBER Working Papers 6545, National Bureau of Economic Research, Inc.
- Svensson, L.E.O., 1998. "Open-Economy Inflation Targeting," Papers 638, Stockholm - International Economic Studies.
- Svensson, Lars E O, 1998. "Open-Economy Inflation Targeting," CEPR Discussion Papers 1989, C.E.P.R. Discussion Papers.
- Guillermo A. Calvo & Carmen M. Reinhart, 2000.
"Fear of Floating,"
NBER Working Papers
7993, National Bureau of Economic Research, Inc.
- Ramachandran, M. & Srinivasan, Naveen, 2007. "Asymmetric exchange rate intervention and international reserve accumulation in India," Economics Letters, Elsevier, vol. 94(2), pages 259-265, February.
- Stanley Fischer, 2001. "Exchange Rate Regimes: Is the Bipolar View Correct?," Journal of Economic Perspectives, American Economic Association, vol. 15(2), pages 3-24, Spring.
- Nicoletta Batini & Andrew Haldane, 1999.
"Forward-Looking Rules for Monetary Policy,"
in: Monetary Policy Rules, pages 157-202
National Bureau of Economic Research, Inc.
- Reinhart, Carmen & Kaminsky, Graciela & Lizondo, Saul, 1998.
"Leading Indicators of Currency Crises,"
6981, University Library of Munich, Germany.
- Miguel A. Savastano & Paul R. Masson & Sunil Sharma, 1997. "The Scope for Inflation Targeting in Developing Countries," IMF Working Papers 97/130, International Monetary Fund.
- Siregar, Reza Yamora & Lim & C.S. Vincent, 2010.
"The Role of Central Banks in Sustaining Economic Recovery and in Achieving Financial Stability,"
South East Asian Central Banks (SEACEN) Research and Training Centre, number sp74.
- Reza Yamora Siregar & Vincent Choon Seng Lim, 2010. "The Role of Central Banks in Sustaining Economic Recovery and in Achieving Financial Stability," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 0(1), pages 83-99, June.
- Siregar, Reza Yamora & Lim, CS Vincent, 2010. "The Role of Central Banks in Sustaining Economic Recovery and in Achieving Financial Stability," MPRA Paper 20846, University Library of Munich, Germany.
- Eichengreen, Barry & Rose, Andrew & Wyplosz, Charles, 1996. " Contagious Currency Crises: First Tests," Scandinavian Journal of Economics, Wiley Blackwell, vol. 98(4), pages 463-84, December.
- Pontines, Victor & Rajan, Ramkishen S., 2011. "Foreign exchange market intervention and reserve accumulation in emerging Asia: Is there evidence of fear of appreciation?," Economics Letters, Elsevier, vol. 111(3), pages 252-255, June.
- Naveen Srinivasan & Vidya Mahambare & M. Ramachandran, 2009. "Preference asymmetry and international reserve accretion in India," Applied Economics Letters, Taylor & Francis Journals, vol. 16(15), pages 1543-1546.
When requesting a correction, please mention this item's handle: RePEc:sea:spaper:sp77. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Yunyee)
If references are entirely missing, you can add them using this form.