in this paper, we will review the foreign exchange market and will try to extract an exchange market pressure and an intervention index for iran by following the weymark (1995) approach to evaluate the central bank of iran’s exchange rate policy during 1368:q1 to 1391:q3. the estimation method employed, is the econometric technique known in the literature as the two-stage least squares (2sls).t...

Countries have accumulated massive foreign reserve portfolios, but the reasons for doing so remain debated. I document a new empirical fact on the compositions of foreign reserve portfolios, and argue that the prevalence of the dollar supports an explanation in which foreign reserves hedge liquidity shocks to dollarized financial systems. First, I fit a Bayesian dynamic linear model to extract ...

The large increases in foreign capital flows into the U.S. caused by foreign central banks or oil-exporting countries have stimulated research as to their effect on U.S. interest rates. My thesis seeks to shed light on this topic by examining the relationship between Japan’s foreign reserve investment, which was propelled by its world record intervention, and U.S. interest rates. Additionally, ...

Based on a dynamic open-economy macroeconomic model, this paper aims at understanding the contribution of domestic financial under-development to foreign reserve accumulation in some emerging market economies, especially in China. It is argued that foreign reserve accumulation is a consequence of a growth strategy induced by strong capital investment in a financially constrained economy. It is ...

This paper develops a quantitative small-open-economy model to study the determinants of optimal pace foreign reserve accumulation by developing countries. In model, depreciates real exchange rate and attracts direct investment (FDI) inflows, which promotes productivity growth through endogenous firm dynamics. The economy is also subject sudden stops in form an occasionally binding constraint o...

Large uninsured risk, severe borrowing constraints, and rapid income growth can create excessively high household saving rates and large current account surpluses for emerging economies. Therefore, the massive foreign-reserve buildups by China are not necessarily the intended outcome of any government policies or an undervalued home currency, but instead a natural consequence of the country’s r...

There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The pro tability of these trading rules will then be analyzed in connection with central bank activity using intervention data from the Federal Reserve....

At first glance, the reader may think that there is little connection between the empirical study of Bordo, Humpage, and Schwartz of the effect of foreign exchange market interventions by the Federal Reserve during 1973–1995 and the Glocker and Towbin quantitative DSGE model of reserve requirements in a small open economy with financial frictions.1 However, there are key links. Each study exami...

In this paper, we extend the growth model to include firm-specific technology capital and use it to assess the gains from opening to foreign direct investment. A firm’s technology capital is its unique know-how from investing in research and development, brands, and organization capital. Technology capital is distinguished from other forms of capital in that a firm can use it simultaneously in ...

There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The profitability of these trading rules will then be analyzed in connection with central bank activity using intervention data from the Federal Reserve...