This paper uses currency option data from the BMF, the Commodities and Futures exchange in Sao Paulo, Brazil, to investigate market expectations on the Brazilian Real-U.S. dollar exchange rate from October 1994 through July 1997. Using options data, we derive implied probability density...

This paper uses a rich new data set of option prices on the dollar-mark, dollar-yen, and key EMS cross-rates to extract the entire risk-neutral probability density function (pdf) over horizons of one and three months. We compare three alternative smoothing methods---cubic splines, an implied...

The presence of purchasing power parity is often attributed to the exploitation of arbitrage opportunities in goods markets. We examine this presumption for a 1960-1996 monthly panel of bilateral exchange rates and trade for the G7 countries. The data exhibit strong mean reversion. However,...

This paper evaluates the forecasting accuracy of correlation derived from implied volatilities in dollar-mark, dollar-yen, and mark-yen options from January 1989 to May 1995. As a forecast of realized correlation between the dollar-mark and dollar-yen, implied correlation is compared against...

This paper documents the changing international exposures of U.S. bank balance sheets since the mid-1980s. U.S. banks have foreign positions heavily concentrated in Europe, with more volatile flows to other regions of the world. In recent years some cross-border claims on Latin American...

International financial linkages, particularly through global bank flows, generate important questions about the consequences for economic and financial stability, including the ability of countries to conduct autonomous monetary policy. I address the monetary autonomy issue in the context of...

Using bank-specific data on U.S. bank claims on individual foreign countries since the mid-1980s, this paper: 1) characterizes the size and portfolio diversification patterns of the U.S. banks engaging in foreign lending; and 2) econometrically explores the determinants of fluctuations in U.S....

Flexible exchange-rate systems often are not recommended for countries undergoing economic transition. In late 1989, the former Soviet Union instituted exchange-rate flexibility on the limited share of enterprise international transactions channelled through the auction and. later, interbank...

This paper predicts ex-ante the probability of currency crises end size of expected devaluations month by month for Mexico between 1980 and 1986 using a heterodox linear discrete time model of exchange rate crises. The forces contributing to speculative attacks on the Mexican peso include...

The view that the strength of the dollar in the early 1980s was associated with persistent restructuring of United States industry is supported by correlations between exchange rate patterns and data on business formation, business failure and sectoral investment in new plant and equipment....