This paper uses nonparametric procedures to test for a shift in the volatility of nominal and real exchange rates for members and nonmembers of the ERM. The results imply a reduction in volatility for ERM members, especially during the latter half of its operation. We also demonstrate that this...

Vector autoregressions of real growth since 1970 are used to estimate spillovers between the United States, the euro area, Japan, and an aggregate of smaller countries proxying for global shocks. U.S. and global shocks generate significant spillovers, but those from the euro area and Japan are...

This paper examines the roles of U.S. financial innovation, financial globalization, and the savings glut hypothesis in explaining the rise in U.S. external debt, first in a portfolio balance model, and then empirically. Perhaps surprisingly, financial deepening and falling home bias in...

This paper uses vector autoregressions to examine the monetary transmission mechanism in Japan. The empirical results indicate that both monetary policy and bank's balance sheets are important sources of shocks, that banks play a crucial role in transmitting monetary shocks to economic activity,...

This paper describes the result and the methodology of updating nominal and real effective exchange rate weights on the basis of trade data from 1999 to 2001. The underlying framework is an updated version of the IMF's current effective exchange rate calculation, which uses weights largely based...

This paper uses vector autoregressions to examine the monetary transmission mechanism in Japan. The empirical results indicate that both monetary policy and banksí balance sheets are important sources of shocks, that banks play a crucial role in transmitting monetary shocks to economic...

This paper describes the result and the methodology of updating nominal and real effective exchange rate weights on the basis of trade data from 1999 to 2001. The underlying framework is an updated version of the IMF's current effective exchange rate calculation, which uses weights largely based...

We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intranational real exchange rates. Strikingly, we find that while the international real rates taken as a group appear mean...

This paper explores international bond spillovers using daily and weekly data on yields on inflation-indexed bonds and associated inflation expectations for the United States, Australia, Canada, France, Sweden, Japan, and the United Kingdom. The analysis starts in 2002, by which point U.S....

We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intranational real exchange rates. Strikingly, we find that while the international real rates taken as a group appear mean...