Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

When is foreign exchange intervention effective? Evidence from 33 countries

Lucio SARNO, Marcel FRATZSCHER, Oliver GLOEDE, Lukas MENKHOFF, Tobias STÖHR
This paper examines foreign exchange intervention based on novel daily data covering 33 countries from 1995 to 2011. We find that intervention is widely used and an effective policy tool, with a success rate in excess of 80 percent under some criteria. The policy works well in terms of smoothing the...
Keywords: Foreign exchange intervention, exchange rate regimes, effectiveness measures, Communication, capital controls
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

Capital controls, macroprudential measures and monetary policy interactions in an emerging economy

Valerio Nispi LANDI
Are capital controls and macroprudential measures desirable in an emerging economy? How do these instruments interact with monetary policy? I address these questions in a DSGE model for an emerging economy whose banks are indebted in foreign currency. The model is augmented with financial frictions....
Keywords: Financial markets, monetary policy, small open economy
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

Rise of Bank Competition: Evidence from Banking Deregulation in China

Haoyu GAO, Hong RU, Xiaoguang YANG, Robert M. TOWNSEND
Using proprietary individual level loan data, this paper explores the economic consequences of the 2009 bank entry deregulation in China. Such deregulation leads to higher screening standards, lower interest rates, and lower delinquency rates for corporate loans from entrant banks. Consequently, in ...
Keywords: Bank Competition, China, Credit Allocation, Growth, Efficiency
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

Interest Arbitrage under Capital Controls: Evidence from Reported Entrepot Trades

Jiafei HU, Haishan YUAN
Capital controls segment the offshore credit market of Chinese renminbi from the onshore market. Using a novel administrative data set, we provide evidence that firms arbitrage the onshore-offshore interest differentials using bank-intermediated “entrepˆot trades,” which supposedly re-export im...
Keywords: capital controls, RMB Interest Arbitrage, Entrepot Trade, Trade Finance
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Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2018

Does Sovereign Risk in Local and Foreign Currency Differ?

Marlene AMSTAD, Frank PACKER, Jimmy SHEK
Historically, sovereign debt in local currency has been considered safer than debt in foreign currency. Yet the literature offers scant theoretical or empirical guidance as to why such a gap exists, or why it appears to have slowly and steadily diminished for all regions over the past two decades, a...
Keywords: sovereign risk, local currency debt, foreign currency debt, Credit Ratings
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