Cover

Half-title

Title

Copyright

Contents

List of contributors

Preface

1 Overview

1.1 International financial market integration

1.2 Choice of exchange rate regimes

1.3 Intervention and sterilization policies

1.4 Prospects for a yen bloc

I International financial market integration

2 Financial links around the Pacific Rim: 1982-1992

2.1 Introduction

2.2 Interest rate differentials and risk premia

2.3 Integration: interest rate co-movements

2.4 Financial links to the United States: covered interest rate co-movements

2.5 Overall integration: does uncovered interest rate parity hold?

2.6 Is Tokyo gaining influence at the expense of New York?

2.7 Conclusions

Data appendix

References

3 Relative returns on equities in Pacific Basin countries

3.1 Capital mobility

3.2 Decomposing the real return differential

3.3 Equity markets and foreign exchange markets in the Pacific Basin

3.4 Empirical results

3.5 Conclusions

References

4 Exchange rate policy, international capital mobility, and monetary policy instruments

4.1 Introduction

4.2 Capital mobility and exchange rate arrangements

4.3 Capital mobility and monetary instruments

4.4 Private incentives and capital market integration

4.5 Empirical measurement of capital mobility

4.6 Empirical results

4.7 Conclusions

References

II Choice of exchange rate regimes

5 Exchange rate management: a partial review

5.1 Introduction

5.2 Dynamic portfolio models

5.3 New classical stochastic models

5.4 Rational intertemporal models

5.5 Target zone models

5.6 Conclusions

References

6 Exchange rate policy and insulation from external shocks: the cases of Korea and Taiwan, 1970-1990

6.1 Introduction

6.2 Empirical studies based on VAR models

6.3 Background

6.4 The VAR model

6.5 Data analysis and estimation

6.6 Results

6.7 Conclusions

Data appendix

References

7 Trade price shocks and insulation: Australia's experience with floating rates

7.1 Introduction

7.2 Theoretical aspects of the inflation insulation property

7.3 An evaluation of price insulation in the floating rate regime

7.4 Conclusions

References

8 The role of the exchange rate in New Zealand monetary policy

8.1 Introduction

8.2 The New Zealand monetary framework

8.3 Theoretical framework

8.4 Empirical evidence

8.5 Assessment

References

9 Officially floating, implicitly targeted exchange rates: examples from the Pacific Basin

9.1 Introduction

9.2 A cross-country comparison of foreign exchange market intervention

9.3 A model of domestic prices with exchange rate targeting

9.4 Price equation estimation

9.5 Conclusions

Data appendix

References

III Intervention and sterilization policies

10 Monetary policy, intervention, and exchange rates in Japan

10.1 Introduction

10.2 Stylized facts

10.3 Intervention policy

10.4 Sterilization policy

10.5 Monetary control

10.6 Conclusion

Appendix: the mechanics of intervention and sterilization in Japan

References

11 The signaling effect of foreign exchange intervention: the case of Japan

11.1 Introduction

11.2 Implications of the signaling hypothesis

11.3 Consistency of intervention policy with monetary policy

11.4 Unanticipated component of intervention

11.5 Conclusion

References

12 Sterilization of the monetary effects of current account surpluses and its consequences: Korea,1986-1990

12.1 Introduction

12.2 Targets and instruments of monetary policy

12.3 External shocks and monetary policy

12.4 Sterilization by the Bank of Korea

12.5 Consequences of policy measures

12.6 Conclusions

References

IV Prospects for a yen bloc

13 On the possibility of a yen bloc

13.1 Introduction

13.2 Yen as an international currency

13.3 Exchange rate co-movements

13.4 Trade and capital flows

13.5 Optimum currency area

13.6 Concluding remarks

References

14 Economic fundamentals and a yen currency area for Asian Pacific Rim countries

14.1 Introduction

14.2 The Japanese yen as a candidate reserve currency

14.3 Methodology for portfolio demand

14.4 Data and distributions

14.5 Dominant currencies for the Pacific Rim

14.6 Conclusions

Appendix

References

Index