By Giorgio Radaelli
This e-book investigates the determinants of trade charges and evaluates the most recommendations for coverage makers in restricting alternate price fluctuations.
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Additional resources for Exchange Rate Determination and Control
The third section discussed some stylized facts supporting the role of ERM intervention. In particular, I presented empirical evidence consistent with the presence, on the major ERM currency markets, of a risk premium whose main determinant is the relative supply of outside assets. This portfolio-balance channel (independent of the presence of controls on capital flows) satisfies the necessary condition for sterilized intervention to be effective. I also presented empirical evidence showing that actual exchange rates’ behaviour has been consistent with the assumption that 27 EXCHANGE RATE DETERMINATION AND CONTROL central banks intervened following a simple rule of thumb.
Following Frankel (1982), inversion of (2) yields: (3) Then, thanks to the (weak-form) hypothesis of rational expectations: ln St+1=EtSt+1+et+1 (4) Finally, combining (3) with (4): (5) Estimating (5) allows us to test the null hypothesis (H0) of perfect 17 EXCHANGE RATE DETERMINATION AND CONTROL asset substitutability. Under H0, b®ϱ (see Appendix 1) and both a and b equal zero. Under H1: a<0, b>0. Rejection of H0 would thus support the existence of a portfolio-balance link affecting the risk premium.
It is likely that intervention played a role in that sense, though one often neglected. Were this so, it would be possible to argue that a complete removal of capital controls (from countries like Ireland, Portugal and Spain) should not, by itself, jeopardize the ERM, very much like after the removal of Italian and French controls at the turn of the 1980s. APPENDIX 1 Equation (2) in the text can be derived as follows. Consider a twocountry portfolio-balance model aggregating across domestic and foreign agents with four assets traded.
Exchange Rate Determination and Control by Giorgio Radaelli