Browsing by Subject "valuuttakorit"

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  • Sokolov, Vladimir (2010)
    BOFIT Discussion Papers 7/2010
    Published in Review of International Economics, 2012, Vol. 20, No. 4, Pages 707–722
    This paper examines the impacts of the 2005 shift in Russian exchange rate policies from single-currency to bi-currency basket targeting on domestic interest rates and sovereign risk premium dynamics. The policy shift disconnected domestic interest rates from US dollar-denominated interest rates, replacing them with a growing positive relationship with the dual-currency basket (USD-EUR) adopted by the Central Bank of Russia, as well as a synthetic interest rate composed of the US dollar LIBOR and the euro LIBOR. The paper also considers the insulating properties of Russian basket targeting policies during the recent global liquidity crisis. I present evidence that the Russian MosIBOR rate was negatively related to the US dollar LIBOR rate and positively related to the synthetic USD-EUR rate during the "decoupling" stage of the crisis. Even with the steep quantitative easing of the US Fed during this period, the finding suggests the Russian money market was more in sync with ! the monetary policies of the euro area. The central conclusion here is that, in conditions of managed floating exchange rate policies and liberalized capital accounts, the relationship between a country's domestic interest rates and their foreign counterparts depends on the de facto operating target of the central bank of this country, whether it is a single currency or a basket. JEL classification: F31, F33 Keywords: exchange rate policy; basket targeting; sovereign CDS; decoupling
  • Zhang, Zhichao; Shi, Nan; Zhang, Xiaoli (2011)
    BOFIT Discussion Papers 19/2011
    We build an optimising framework to analyse a class of economies that adopt an ECU-type basket currency while in transition to increased flexibility of the exchange rate regime. Instead of conventional basket pegging, such an economy uses an ECU-type currency index as a benchmark for monitoring and assessing exchange rate movements. This provides an anchoring device for the nation?s exchange rate regime and allows the home currency?s exchange rate to fluctuate. Under the assumption that the central bank is chiefly interested in maintaining stability, the optimal structure of the basket currency is based on its contribution to minimizing the volatility of the country?s external account. A currency invariance index is applied to capture the effect of the country?s exit from exclusive linkage with the US dollar. The approach is illustrated by Chinese exchange rate policy. We find it advisable and viable for China to form a basket currency with a diversified portfolio of currencies. While the portfolio?s weighting scheme could favour the dollar, euro and Japanese yen, we show that the composition of the basket is open to a wide range of possibilities. Moreover, contrary to general fears, there is considerable potential for China to engage in currency diversification, which will not necessarily affect the dollar?s position.
  • Fang, Ying; Huang, Shicheng; Niu, Linlin (2012)
    BOFIT Discussion Papers 2/2012
    We employ Bayesian method to estimate a time-varying coefficient version of the de facto currency basket model of Frankel and Wei (2007) for the RMB of China, using daily data from February 2005 to July 2011. We estimate jointly the implicit time-varying weights of all 11 currencies in the reference basket announced by the Chinese government. We find the dollar weight has been reduced and sometimes significantly smaller than one, but there is no evidence of systematic operation of a currency basket with discernable pattern of significant weights on other currencies. During specific periods, the reduced dollar weight has not been switched to other major international currencies, but to some East Asian currencies, which is hard to explain by trade importance to or trade competition with China. We examine currency baskets of these East Asian Economies, including major international currencies and the RMB in their baskets. We find an evident tendency of Malaysia and Singapore to increase the weights of RMB in their own currency baskets, and a steadily and significantly positive weight of RMB in the basket of Thailand. These evidences suggest that, the positive weights of some East Asian currencies in RMB currency basket during specific periods largely reflect the fact that these East Asia economies have been systematically placing greater weights on RMB under the new regime of RMB exchange rate. Keywords: RMB currency basket, time-varying regressions, East Asia, China, US JEL Classification: F31, F41, C11
  • Pikkarainen, Pentti (1986)
    Keskustelualoitteita. Discussion Papers 1/1986
    Tärkeimpien teollisuusmaiden valuuttojen ulkoisen arvon määräytyessä valuuttamarkkinoilla vapaasti valuutan kysynnän ja tarjonnan mukaisesti jotkin pienemmät teollisuusmaat sekä useat kehitysmaat ovat omaksuneet valuuttakurssipolitiikan, jonka mukaan maan valuutan ulkoinen arvo on sidottu joko jonkin valuuttamarkkinoilla tärkeän valuutan arvoon tai useamman valuutan muodostamaan valuuttakoriin. OECD-maista Itävalta, Norja, Ruotsi ja Suomi noudattavat nykyisin tällaista korisidonnaista valuuttakurssipolitiikkaa.
  • Pikkarainen, Pentti (1986)
    Keskustelualoitteita. Discussion Papers 2/1986
    Tässä tutkimuksessa operationalisoidaan eräässä makrotalousteoreettisessa kehikossa johdettuja valuuttakorin optimaalisia painorakenteita, kun keskuspankin tavoitteena on joko tuotannon tai hintojen vaihtelun minimointi. Painot lasketaan sekä Suomen Pankin nykyisessä valuuttakurssi-indeksissä mukana olevien 12 maan osalta että suppeammalla 5 valuutan korilla.
  • Ranki, Sinimaaria (1993)
    Bank of Finland Research Discussion Papers 11/1993
    The paper presents the development of the role of the ECU in the financial markets. The ECU is the only currency basket to have developed as a currency. It has gained popularity for several reasons. In the early 1980s, the most important reason was that it offered a simple, easy and inexpensive way to diversify exchange rate risk. In the 1990s, the main driving force was the expectation of a European Economic and Monetary Union with the ECU as the single currency. However, the crisis in 1992 caused sever uncertainty about the future of the monetary union. As a consequence, the ECU market suffered, and the risk diversifying properties of the ECU have regained importance. Because the monetary union' depends to a large extent on the functioning of the European Monetary System (EMS), a credibility test of selected EMS exchange rates is conducted. The results suggest that, despite of achieved inflation rate convergence, the stability of the EMS is not self-evident. The (political) willingness of the participating countries to follow an anti-inflationary policy during a recession is also important. If one of the countries gives signs of devaluaing or perhaps leaving the system, uncertainty of the future of the EMS is quickly spread. This, in tum, is reflected in the use of the ECU. Hence, the creditworthiness of the ECU is dependent on the credibility of the EMS as a system. Finally, future prospects for the ECU are discussed. The main point is that in the short term, some preconditions for the efficient use of the ECU must be fulfilled. Firstly, the Maastricht Treaty must be ratified and the EMU put back on track. Secondly, remaining legal obstacles to ECU usage must be removed. Thirdly, the ECU payment systems must be reinforced. Finally, governments must set an example in using the ECU as money. Only then will investors realize that the way has been cleard for the ECU to become the single currency of the EC. In the long term, in tum, only the EMU will make the ECU a major world currency.
  • Funke, Michael; Gronwald, Marc (2007)
    BOFIT Discussion Papers 20/2007
    Published in The World Economy, Volume 31, Issue 12, pp. 1581-1598, Dec 2008
    On 21 July 2005 China adopted an undisclosed basket exchange rate regime. We formally assess and envisage the gradual evolution of the renminbi over time. We utilize nonlinear dependencies in the renminbi exchange rate and describe the smooth transition of the renminbi/U.S. dollar (RMB/USD) exchange rate using the family of time-varying autoregressive (TV-AR) models. Specifically, the nonlinear models allow for a smooth transition from one optimal level to another. Our estimation results imply that the RMB/USD ex-change rate will likely be about 7.42 RMB/USD in summer/autumn 2008. Keywords: China, renminbi, de facto exchange rate regime, TV-AR model, TV-AR-GARCH model JEL-Classification: C22, F31, F37
  • Pikkarainen, Pentti (1986)
    Suomen Pankki. D 62
    Tämän tutkimuksen tavoitteena on tarkastella valuuttakurssi-indeksin painojen valintaa makrotalousteorian näkökulmasta: minkälaisia vastauksia makrotalousteoria antaa meille valuuttakorin painojen valinnasta sen mukaan, mitä tavoitteita valuuttakorin painoille asetetaan ja minkälaisia oletuksia talouden toiminnasta tehdään. Ongelmaa tarkastellaan sekä teorian että empirian näkökulmasta.