Three essays in international finance.
详细信息
文摘
I address three distinct topics in this series of research in international finance. The first chapter investigates the linkage between official intervention and the speculative activities in the foreign exchange futures market using the Japan's experience during 1992-2004. I find that speculators in the currency futures market maintain (or shift to more) net long positions in Japanese yen futures when the lean-against-wind intervention of purchasing US dollars (yen sales) is expected, and vice versa. This evidence suggests that speculators bet against intervention based on their private information about fundamentals and the expectation on the lack of effectiveness of intervention. The results also suggest that Japan's monetary authorities fight against speculative activities when the pressure generated in the futures market is strong, and the timing of intervention depends on the information on how speculators have changed their positions in the past.;Are countries with unregulated capital flows more vulnerable to currency crises? The second chapter suggests that the efforts to answer this question properly must control for "self selection" bias since countries with liberalized capital accounts may also have more sound economic policies and institutions that make them less likely to experience crises. We employ a matching and propensity score methodology to address this issue in a panel analysis of developing countries. Our results suggest that, after controlling for sample selection bias, countries with liberalized capital accounts experience a lower likelihood of currency crises. That is, when two countries have the same likelihood of liberalizing capital flows (based on historical evidence and a similar set of economic and political characteristics), the country without controls has a lower likelihood of experiencing crisis. This result is at odds with the conventional wisdom and suggests that the benefits of capital market liberalization for external stability are substantial.;The third chapter continues the topic on capital account liberalization, while investigates the impact of capital account liberalization on the volatility of output and consumption. Apart from the de facto measure of liberalization, a new de jure measure is employed in the empirical model. I find that the impact of capital account liberalization is different across country groups and also depends on the measures. The key results are that the degree of capital account liberalization, which is measured as capital account restrictions, has no obvious impact on output volatility, whereas actual capital flows are efficient to reduce output volatility in the full sample. In addition, capital account restrictions reduce the consumption volatility especially in developing countries. Actual capital flows have the effect of smoothing consumption in industrial countries.