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Financial Liberalization and Money Demand in Asean Countries
			: Implications for Monetary Policy

Financial Liberalization and Money Demand in Asean Countries : Implications for Monetary Policy »

Volume/Issue: 1997/36

Series: IMF Working Papers

Author(s): Robert Dekle , and Mahmood Pradhan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 1997

DOI: http://dx.doi.org/10.5089/9781451845419.001

ISBN: 9781451845419

Keywords: Financial Liberalization, Money Demand, Cointegration, inflation, bond, monetary aggregates

This paper examines the impact of financial market development and liberalization on money demand behavior in Indonesia, Malaysia, Singapore, and Thailand since the early 1980s. The empirical results indicate conti...

International Integration of Equity Markets and Contagion Effects

International Integration of Equity Markets and Contagion Effects »

Volume/Issue: 1995/110

Series: IMF Working Papers

Author(s): Paul Cashin , Manmohan Kumar , and C. McDermott

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1995

DOI: http://dx.doi.org/10.5089/9781451853285.001

ISBN: 9781451853285

Keywords: equity markets, cointegration, stock market, stock markets, national equity markets

This paper investigates empirically the degree of international integration of industrial and emerging country equity markets. It analyzes two issues: first, the extent to which equity prices have tended to move si...

Demand for M2 in an Emerging-Market Economy
			: An Error-Correction Model for Malaysia

Demand for M2 in an Emerging-Market Economy : An Error-Correction Model for Malaysia »

Volume/Issue: 1999/173

Series: IMF Working Papers

Author(s): Subramanian Sriram

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1999

DOI: http://dx.doi.org/10.5089/9781451858617.001

ISBN: 9781451858617

Keywords: Asia, financial system, money demand, cointegration, error-correction, inflation, equation

This paper analyses demand for M2 in Malaysia from August 1973 to December 1995 under both the closed- and open-economy framework. Based on the cointegration and weak-exogeneity test results, short-run dynamic erro...

Altruism and Workers' Remittances
			: Evidence from Selected Countries in the Middle East and Central Asia

Altruism and Workers' Remittances : Evidence from Selected Countries in the Middle East and Central Asia »

Volume/Issue: 2006/130

Series: IMF Working Papers

Author(s): Jacques Bouhga-Hagbe

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2006

DOI: http://dx.doi.org/10.5089/9781451863901.001

ISBN: 9781451863901

Keywords: altruism, co-integration, cointegration, equation, workers ? remittances, equations, Household Behavior: General, Macroeconomics: Consumption, Saving, Production

Workers' remittances have been playing an increasingly important role in the balance of payments of many countries and can significantly contribute to the strength of their external positions. Assessing the likely...

Is Foreign Debt Portfolio Management Efficient in Emerging Economies?

Is Foreign Debt Portfolio Management Efficient in Emerging Economies? »

Volume/Issue: 2001/121

Series: IMF Working Papers

Author(s): Khaled Hussein

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2001

DOI: http://dx.doi.org/10.5089/9781451854381.001

ISBN: 9781451854381

Keywords: emerging economies, cointegration, debt portfolio, currency composition, debt management, International Lending and Debt Problems,

This paper develops a simple model of foreign debt portfolio management. The model suggests that, under mild conditions, the currency composition of a country's foreign debt portfolio is responsive to exchange rate...

Interest Rate Arbitrage in Currency Baskets
			: Forecasting Weights and Measuring Risk

Interest Rate Arbitrage in Currency Baskets : Forecasting Weights and Measuring Risk »

Volume/Issue: 1999/16

Series: IMF Working Papers

Author(s): Peter Christoffersen , and Lorenzo Giorgianni

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1999

DOI: http://dx.doi.org/10.5089/9781451843385.001

ISBN: 9781451843385

Keywords: Time-varying Parameters, Cointegration, Exchange Rates, exchange rate, equation, statistics, currency basket

When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second,...

Saving Behavior in Low and Middle-Income Developing Countries
			: A Comparison

Saving Behavior in Low and Middle-Income Developing Countries : A Comparison »

Volume/Issue: 1995/3

Series: IMF Working Papers

Author(s): Masao Ogaki , Jonathan Ostry , and Carmen Reinhart

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1995

DOI: http://dx.doi.org/10.5089/9781451841848.001

ISBN: 9781451841848

Keywords: real interest rates, cointegration, equation, real rate of interest, real interest rate

The impact of changes in real interest rates on saving and growth is a central issue in development economics. According to one familiar view, a financial liberalization program which increases real interest rates...

Measuring Misalignment
			: Purchasing Power Parity and East Asian Currencies in the 1990s

Measuring Misalignment : Purchasing Power Parity and East Asian Currencies in the 1990s »

Volume/Issue: 1999/120

Series: IMF Working Papers

Author(s): Menzie Chinn

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 1999

DOI: http://dx.doi.org/10.5089/9781451854251.001

ISBN: 9781451854251

Keywords: exchange rate, purchasing power parity, overvaluation, cointegration, exchange rates, real exchange rates, real exchange rate

The concept of purchasing power parity (PPP) is used to evaluate whether eight East Asian currencies were overvalued on the eve of the 1997 crises. The Johansen and Horvath-Watson cointegration test procedures are...

What Happened to Asian Exports During the Crisis?

What Happened to Asian Exports During the Crisis? »

Volume/Issue: 2000/200

Series: IMF Working Papers

Author(s): Antonio Spilimbergo , and Rupa Duttagupta

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2000

DOI: http://dx.doi.org/10.5089/9781451860153.001

ISBN: 9781451860153

Keywords: Cointegration, Competitive Depreciation, Export Demand and Supply, East Asia, export prices, equations, equation, asian exports

After the large exchange rate depreciations following the 1997 East Asian crisis, export volumes from East Asian countries responded with a notable lag. Two main explanations for this lag have been proposed: that t...

Misalignment and Managed Exchange Rates
			: An Application to the Thai Baht

Misalignment and Managed Exchange Rates : An Application to the Thai Baht »

Volume/Issue: 2000/63

Series: IMF Working Papers

Author(s): G. Lim

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2000

DOI: http://dx.doi.org/10.5089/9781451848410.001

ISBN: 9781451848410

Keywords: Real exchange rate, misalignment, managed exchange rate system, time-series analysis, simulations, exchange rate, equation, cointegration, Thai Baht,

This paper proposes a methodology for analyzing dynamic misalignment in managed exchange rate systems that combines the estimation approach to modeling the real exchange rate with the calibration approach to genera...