| Title |
Date |
Publication |
Author(s) |
Type |
| Global Risks to U.S. Monetary Policy
|
May, 2007 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
| Abstract: We recently invited four international economists to the Federal Reserve Bank of Cleveland to discuss global developments and to help us identify and understand the key international risks that these developments present for U.S. monetary policy. This Commentary develops a key macroeconomic concern that emerged from our conversations.
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| Option Prices, Exchange Market Intervention, and the Higher Moment Expectations Channel: A User's Guide
|
December, 2006 |
Federal Reserve Bank of Cleveland, Working Paper no. 18 |
Owen F Humpage; Gabriele Galati; Patrick C Higgins; William R Melick; |
Working Papers |
| Abstract: A vast literature on the effects of sterilized intervention by the monetary authorities in the foreign exchange markets concludes that intervention systematically moves the spot exchange rate only if it is publicly announced, coordinated across countries, and consistent with the underlying stance of fiscal and monetary policy. Over the past fifteen years, researchers have also attempted to determine if intervention has any effects on the dispersion and directionality of market views concerning the future exchange rate. These studies usually focus on the variance around the expected future exchange rate-the second moment. In this paper we demonstrate how to use over-the-counter option prices to recover the risk-neutral probability density function (PDF) for the future exchange rate. Using the yen/dollar exchange rate as an example, we calculate measures of dispersion and directionality, such as variance and skewness, from estimated PDFs to test whether intervention by the Japanese Ministry of Finance had any impact on the higher moments of the exchange rate. We find little or no systematic effect, consistent with the findings of the literature on the spot rate as Japanese intervention during the period 1996-2004 was not publicly announced, rarely coordinated across countries and, in hindsight, probably inconsistent with the underlying stance of monetary policy.
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| Option Prices, Exchange Market Intervention, and the Higher Moment Expectations Channel: A User's Guide
|
December, 2006 |
Federal Reserve Bank of Cleveland, Working Paper no. 18 |
Owen F Humpage; Gabriele Galati; Patrick C Higgins; William R Melick; |
Working Papers |
| Abstract: A vast literature on the effects of sterilized intervention by the monetary authorities in the foreign exchange markets concludes that intervention systematically moves the spot exchange rate only if it is publicly announced, coordinated across countries, and consistent with the underlying stance of fiscal and monetary policy. Over the past fifteen years, researchers have also attempted to determine if intervention has any effects on the dispersion and directionality of market views concerning the future exchange rate. These studies usually focus on the variance around the expected future exchange rate-the second moment. In this paper we demonstrate how to use over-the-counter option prices to recover the risk-neutral probability density function (PDF) for the future exchange rate. Using the yen/dollar exchange rate as an example, we calculate measures of dispersion and directionality, such as variance and skewness, from estimated PDFs to test whether intervention by the Japanese Ministry of Finance had any impact on the higher moments of the exchange rate. We find little or no systematic effect, consistent with the findings of the literature on the spot rate as Japanese intervention during the period 1996-2004 was not publicly announced, rarely coordinated across countries and, in hindsight, probably inconsistent with the underlying stance of monetary policy.
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| Bretton Woods and the U.S. Decision to Intervene in the Foreign-Exchange Market, 1957-1962
|
August, 2006 |
Federal Reserve Bank of Cleveland, Working Paper no. 9 |
Owen F Humpage; Michael D Bordo; Anna J Schwartz; |
Working Papers |
| Abstract: The deterioration in the U.S. balance of payments after 1957 and an accelerating loss of gold reserves prompted U.S. monetary authorities to undertake foreign-exchange-market interventions beginning in 1961. We discuss the events leading up to these interventions, the institutional arrangements developed for that purpose, and the controversies that ensued. Although these interventions forestalled a loss of U.S. gold reserves, in the end, they only delayed more fundamental adjustments and, in that respect, were a failure.
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| Bretton Woods and the U.S. Decision to Intervene in the Foreign-Exchange Market, 1957-1962
|
January, 2006 |
Federal Reserve Bank of Cleveland, Working Paper no. 06-09 |
Owen F Humpage; Michael D Bordo; Anna J Schwartz; |
Working Papers |
| Abstract: The deterioration in the U.S. balance of payments after 1957 and an accelerating loss of gold reserves prompted U.S. monetary authorities to undertake foreign-exchange-market interventions beginning in 1961. We discuss the events leading up to these interventions, the institutional arrangements developed for that purpose, and the controversies that ensued. Although these interventions forestalled a loss of U.S. gold reserves, in the end, they only delayed more fundamental adjustments and, in that respect, were a failure.
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| Have International Developments Lowered the Neutral Rate?
|
December, 2005 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
| Abstract: One way to think about monetary policy is in terms of a neutral federal-funds rate, one that exerts neither inflationary nor deflationary pressures. Recent declines in worldwide investment, coupled with the growing globalization of financial markets, suggest that the neutral rate may be lower than the current stance of monetary policy and the stage of the business cycle may lead one to believe.
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| Swedish Intervention and the Krona Float, 1993-2002
|
December, 2005 |
Federal Reserve Bank of Cleveland, Working Paper no. 05-14 |
Owen F Humpage; Javiera Ragnartz; |
Working Papers |
| Abstract: Using a set of standard success criteria, we show that Riksbank foreign-exchange interventions between 1993 and 2002 lacked forecast value; that is, the observed number of successes was not significantly greater--and usually substantially smaller--than the number one would anticipate given the martingale nature of exchange-rate movements. Under some success criteria, the Riksbank exhibited negative forecast value, implying that the market could have profited by taking a position opposite that of the bank. Moreover, the likelihood of success was independent of such conditioning factors as the amount of a transaction, the time lapses between interventions, or the number of foreign currencies involved. As such, Riksbank intervention could not operate through an expectations or signaling channel.
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| Nondeliverable Forwards: Can We Tell Where the Renminbi Is Headed?
|
September, 2005 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; Patrick C Higgins; |
Economic Commentary |
| Abstract: Since the early 1990s, international banks have been offering nondeliverable forward (NDF) contracts to clients who need to hedge exposures in currencies of emerging-market economies. Many also use the exchange rate on these contracts as a best guess of where the emerging-market currency is headed. The exchange rates on NDFs, however, likely embody a substantial risk premium that interferes with forecasting accuracy.
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| The Chinese Renminbi: What's Real, What's Not
|
August, 2005 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; Patrick C Higgins; |
Economic Commentary |
| Abstract: China’s recent devaluation and liberalization of its exchange-rate policies will, at best, have only a temporary impact on its trade competitiveness with the United States. The type of exchange-rate regime that a country adopts matters little for its long-term international competitiveness. In addition, the recent focus on China's exchange rate diverts attention from the real problem: China’s command economy.
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| A Hitchhiker's Guide to the U.S. Current Account Problem
|
October, 2004 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
| Abstract: The United States has run a current account deficit for the past 20 years, and, as a consequence, foreigners now hold unprecedented financial claims on the United States. At some point, foreigners will become reluctant to hold these claims and will set into motion a series of corrective economic adjustments. This Economic Commentary describes the interaction between our current account deficits and the broader economy and explains the problem that continued deficits pose.
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| On the Rotation of the Earth, Drunken Sailors, and Exchange Rate Policy
|
February, 2004 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
| Abstract: A growing number of observers seem to believe that official foreign exchange intervention offers a useful tool for managing the dollar's descent. In particular situations, official transactions can sometimes produce temporary changes in exchange rates, but intervention does not permit countries to avoid or substantially modify trends in the movements of their exchange rates. At best, intervention is of very limited value.
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| Walking on a Fence: Brazil's Public-Sector Debt
|
February, 2004 |
Policy Discussion Paper, no. 6 |
Owen F Humpage; Patrick C Higgins; |
Policy Discussion Papers |
| Abstract: Brazil is walking on a fence between sustainable and unsustainable public-debt dynamics. How it
treads could affect not only its own economic prosperity but that of its neighbors, emerging markets
in general, and U.S. financial institutions in particular. Relatively small improvements in Brazilian
economic conditions and a continuation of that country's recent fiscal improvements could push
Brazil in the right direction, particularly if the dollar continues to depreciate.
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| Government Intervention in the Foreign Exchange Market
|
November, 2003 |
Federal Reserve Bank of Cleveland, Working Paper, 03-15 |
Owen F Humpage; |
Working Papers |
| Abstract: This article offers a survey of the literature on foreign exchange intervention, including sections on the theoretical channels through which intervention might affect exchange rates and a summary of the empirical findings. The survey emphasizes that intervention is intended to provide monetary authorities with an means of influencing their exchange rates independent from monetary policy, and tends to evaluate theoretical channels and empirical results from this perspective.
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| Foreign Exchange and the Liquidity Trap
|
October, 2003 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; William R Melick; |
Economic Commentary |
| Abstract: To influence the supply of money and credit in the economy, most central banks target a short-term interest rate akin to the U.S. federal funds rate. With the rates in some countries falling to levels barely hovering above zero, some economists warn that central banks may face a danger that renders their actions with the interest rates ineffective: a liquidity trap. Foreign exchange interventions have been proposed as a way to escape, but will they work?
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| An Analysis of Japanese Foreign Exchange Interventions, 1991-2002
|
October, 2003 |
Federal Reserve Bank of Cleveland, Working Paper, 03-09 |
Owen F Humpage; Alain P Chaboud; |
Working Papers |
| Abstract: The effectiveness of Japanese interventions over the past decade depended in large part on the frequency and size of the transactions. Prior to June 1995, Japanese interventions only had value as a forecast that the previous day's yen appreciation or depreciation would moderate during the current day. After June 1995, Japanese purchases of dollars had value as a forecast that the yen would depreciate. Probit analysis confirms that large, infrequent interventions, which characterized the later period, had a higher likelihood of success than small, frequent interventions.
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| Do Energy Price Spikes Cause Inflation?
|
April, 2003 |
Federal Reserve Bank of Cleveland Economic Commentary |
Owen F Humpage; Eduard A Pelz; |
Economic Commentary |
| Abstract: Many people mistakenly believe that a sharp rise in the price of energy is necessarily inflationary. They fail to understand that energy prices adjust with the demand and supply of energy, whereas inflation responds to the demand and supply of money. This Economic Commentary explains that the Federal Reserve can do nothing about relative energy prices, but it can determine how relative energy-price shocks are reflected in the overall price level. Over the last 20 years, the inflationary consequences of energy-price shocks, while significant, have been fairly subdued.
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| An Incentive-Compatible Suggestion for Seigniorage Sharing with Dollarizing Countries
|
June, 2002 |
Policy Discussion Paper, No. 4 |
Owen F Humpage; |
Policy Discussion Papers |
| Abstract: Sixteen countries now give the U.S. dollar legal-tender status. Although dollarizing can help emerging-market countries gain monetary credibility and avoid currency crisis, many do not want to give up the seigniorage revenues associated with issuing their own fiat currency. This article offers a proposal for seignoirage sharing.
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top |
| Do Energy-Price Shocks Affect Core-Price Measures?
|
January, 2002 |
Federal Reserve Bank of Clevland, Working Paper 02-15 |
Owen F Humpage; Eduard A Pelz; |
Working Papers |
| Abstract: This paper investigates the relationship between energy-price shocks and three core measures of inflation in a vector autoregression model that incorporates measures of monetary policy and inflation expectations. The sample set includes data at monthly frequencies from 1980 through 2000. We find that that positive energy-price shocks have significant, though small, effects on all core price measures after a lag of 12 to 18 months, but that negative shocks have no discernable impact. The results suggest that relative energy-price changes do not distort the inflation signals that standard core-price measures provide.
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| Money, Manufacturing, and the Strong Dollar
|
July, 2001 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
| Abstract: U.S. firms are facing tough international competition, and the U.S. trade deficit has grown to a level that some find alarming. Why doesn’t the United States respond by easing monetary policy to lower the dollar’s exchange rate and reduce the price of U.S. goods in foreign markets? This Commentary argues that monetary policy is incapable of improving the competitive position of U.S. manufacturing through exchange rate manipulation. The temporary gains monetary easing might achieve through a nominal dollar depreciation would be offset by higher inflation and decreased foreign investment.
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| Sterilized intervention, nonsterilized intervention, and monetary policy
|
January, 2001 |
Federal Reserve Bank of Cleveland, Working Paper No. 01-10 |
Owen F Humpage; Ben R Craig; |
Working Papers |
| Abstract: Sterilized intervention is generally ineffective. Countries that conduct monetary policy using an overnight, interbank rate as an intermediate target automatically sterilize their interventions. Nonsterilized interventions can influence nominal exchange rates, but they conflict with price stability unless the underlying shocks prompting them are domestic in origin and monetary in nature. Nonsterilized interventions, however, are unnecessary since standard open-market operations can achieve the same result.
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top |
| International financial flows and the current business expansion
|
January, 2001 |
Policy Discussion Paper, No. 2 |
Owen F Humpage; |
Policy Discussion Papers |
| Abstract: Since 1992, the United States has enjoyed sustained, rapid economic expansion characterized by rising labor force participation, booming net investment spending for information equipment and computer software, and strong productivity growth. Substantial foreign capital inflows have helped to finance the investment boom as well as a rise in private domestic consumption spending. This paper illustrates how capital inflows can be both a bane and a boon to economic growth.
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top |
| Coalitions, Power, and the FOMC
|
January, 2001 |
Federal Reserve Bank of Cleveland, Working Paper 01-03 |
Owen F Humpage; Joseph G Haubrich; |
Working Papers |
| Abstract: We apply a notion of power defined for coalitions derived from the Shapley value. We calculate the power of coalitions within a twelve-person committee, meant to correspond to the FOMC.
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top |
| Foreign Economic Growth and the Dollar
|
September, 2000 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
| Abstract: Analysts caution that rapid foreign economic growth could induce a depreciation of the dollar, as international investors diversify their portfolios for higher returns abroad. Although we cannot establish a simple relationship between foreign growth and the dollar, we can conclude that if a desire to diversify out of dollars lies dormant among investors, faster growth abroad may stir it.
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| Do Imports Hinder or Help Economic Growth?
|
March, 2000 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
| Abstract: Although Americans spent $1.3 trillion on foreign goods and services last year, many regard imports with hostility, preferring to ?buy American.? But do imports really hurt the American economy? This Economic Commentary argues they do not. If anything, imports promote growth.
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| Why Intervention Rarely Works
|
February, 2000 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; William P Osterberg; |
Economic Commentary |
| Abstract: Foreign-exchange-market intervention is generally ineffective when undertaken independent of monetary policy. But when undertaken as a goal of monetary policy, exchange-rate management can compromise price stability. This Economic Commentary explains the difficulties of implementing an intervention policy.
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| Dollarization and Monetary Sovereignty: The Case of Argentina
|
September, 1999 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; David E Altig; |
Economic Commentary |
| Abstract: In January, President Menem of Argentina proposed strengthening his country’s commitment to monetary stability by replacing the peso with the U.S. dollar. Dollarization leaves Argentina without a lender of last resort, but the Federal Reserve’s current operating procedure, together with existing Argentine arrangements, mitigates this drawback.
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| Intervention as information: a survey
|
January, 1999 |
Federal Reserve Bank of Cleveland, Working Paper No. 9918 |
Owen F Humpage; Richard T Baillie; William P Osterberg; |
Working Papers |
| Abstract: Research has generally failed to find reliable connections between official exchange-market interventions and exchange rates that are consistent with either a monetary or a portfolio-balance theory of exchange-rate determination. Recently economists have suggested that intervention might sometimes influence exchange rates through its effects on agents' expectations. This survey discusses newer research that analyzes informational aspects of intervention.
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| Is the current-account deficit sustainable?
|
October, 1998 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
| Abstract: How long can we service our growing international indebtedness without causing economic disruption? This explanation of the current-account adjustment process provides fundamental knowledge that will enable the reader to form opinions about the state of affairs and to estimate the probabilities of possible outcomes.
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| The Federal Reserve as an informed foreign-exchange trader
|
January, 1998 |
Federal Reserve Bank of Cleveland, Working Paper No. 9815 |
Owen F Humpage; |
Working Papers |
| Abstract: U.S. exchange-market intervention has no apparent effect on market fundamentals but may influence expectations. If intervention can accurately forecast exchange-rate movements, knowledge that the Federal Reserve is trading can alter traders' prior estimates of the distribution of exchange-rate changes. This paper finds that U.S. intervention has value only as a forecast that recent exchange-rate movements will moderate but not that they will reverse.
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| A Hitchhiker's Guide to Understanding Exchange Rates
|
January, 1998 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
| Abstract: To understand the behavior of exchange rates, it is often useful to view them as consisting of two parts - a real exchange rate and a component reflecting domestic and foreign inflation differentials. Most important, however, is an appreciation of the crucial role that expectations play.
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| Recent U.S. intervention: is less more?
|
September, 1997 |
Federal Reserve Bank of Cleveland, Economic Review, vol. 33, no. 3, pp. 2-12 |
Owen F Humpage; |
Economic Review |
| Abstract: An analysis of the forecast value of U.S. interventions in the foreign exchange market over the past seven years, which finds that official transactions by U.S. monetary authorities generally did not seem to improve the efficiency with which the foreign exchange market obtained information during this period.
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| Monetary policy and real economic growth
|
December, 1996 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
top |
| U.S. intervention: assessing the probability of success
|
September, 1996 |
Federal Reserve Bank of Cleveland, Working Paper No. 9608 |
Owen F Humpage; |
Working Papers |
top |
| Are Successful Interventions Random Events?
|
January, 1996 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
| Abstract: An examination of the Federal Reserve's intervention successes in the late 1980s, showing that, although the characteristic day-to-day fluctuations in exchange rates virtually ensured that a large share of these interventions would appear successful - purely by chance and even in the absence of a causal link - the number of successes proved larger than pure randomness would suggest.
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| An Introduction to Currency Boards
|
April, 1995 |
Federal Reserve Bank of Cleveland, Economic Review, vol. 31, no. 2 |
Owen F Humpage; Jean M McIntire; |
Economic Review |
| Abstract: The usefulness of money lies in its ability to reduce transaction costs, but this in turn depends on the public's confidence in the stability of money's purchasing power. Governments that lack an established reputation for price stability must adopt strong institutional constraints on their ability to inflate if they hope to achieve monetary credibility. Recent events in Mexico, and the movement toward market-based development strategies in Eastern Europe, Latin America, and Asia, have kindled an interest in the pros and cons of currency boards as an institution for providing monetary credibility in developing countries -the subject of this article.
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| A Mexican currency board?
|
March, 1995 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
top |
| Are the Japanese to blame for our trade deficit
|
June, 1994 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
top |
| Central Bank Independence
|
April, 1994 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
top |
| Institutional aspects of U.S. intervention
|
March, 1994 |
Federal Reserve Bank of Cleveland, Economic Review, vol. 30, no. 1, pp. 2-19 |
Owen F Humpage; |
Economic Review |
top |
| Do Deficits Matter?
|
June, 1993 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
top |
| Should the United States hold foreign currency reserves?
|
August, 1992 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; Gerald H Anderson; |
Economic Commentary |
top |
| An Introduction to the International Implications of U.S. Fiscal Policy
|
July, 1992 |
Federal Reserve Bank of Cleveland, Economic Review, vol. 28, no. 3 |
Owen F Humpage; |
Economic Review |
| Abstract: A commonly held belief is that aggregate U.S. fiscal policy measures- in particular, the federal budget deficit-are directly linked to U.S. interest rates, exchange rates, and the trade balance. Through the use of Engle-Granger cointegration tests and the development of simple two-period, two-country models, the author illustrates a complex relationship that depends on the distortionary nature of taxes and on relative differences between public and private propensities to consume and to import. Fiscal policies can cause trade deficits, but this need not be the case.
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top |
| New results on the impact of central-bank intervention on deviations from uncovered interest parity
|
January, 1992 |
Federal Reserve Bank of Cleveland, Working Paper No. 9207 |
Owen F Humpage; William P Osterberg; |
Working Papers |
| Abstract: Germany, Japan, and the United States continue to view foreign exchange intervention as an effective instrument, although the mechanism through which it operates is unclear. In this paper, we use official data on daily dollar intervention to examine its impact on exchange-rate risk premia through both the portfolio-balance and expectations channels. We define the risk premium in terms of deviation from uncovered interest parity and model its behavior using generalized autoregressive conditional heteroscedasticity. Our evidence of portfolio-balance and expectations effects is inconsistent across subperiods of different exchange-rate-policy regimes. Also, unlike Dominguez (1990) and Loopesko (1984), we find no evidence that coordination of intervention improves its efficacy.
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| Post-Louvre intervention: did target zones stabilize the dollar?
|
January, 1992 |
Federal Reserve Bank of Cleveland, Working Paper No. 9203 |
Owen F Humpage; Richard T Baillie; |
Working Papers |
| Abstract: An investigation of whether the G-3 nations (Germany, Japan, and the U.S.) successfully maintained target zones following the G-7's February 1987 Louvre meeting. Using daily, official intervention data and simultaneous-equation techniques, the authors determine that the G-3 reacted in a manner consistent with maintaining target zones, but find scant evidence that the intervention successfully influenced subsequent exchange-rate movements.
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| Exchange-Market Intervention and U.S. Monetary Policy
|
October, 1991 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
top |
| Central-Bank Intervention: Recent Literature, Continuing Controversy
|
April, 1991 |
Federal Reserve Bank of Cleveland, Economic Review, vol. 27, no. 2 |
Owen F Humpage; |
Economic Review |
| Abstract: Over the past two decades, during which floating exchange rates have been in effect, central banks have invested billions of dollars in an attempt to influence the path of exchange rates or the volatility of exchange rates around that path. The effectiveness of these efforts remains a controversial topic among both academic economists and policymakers. This review of recent literature on the subject finds some qualified support for intervention, but nothing to endorse the active interventionist policy undertaken in late 1985, mid-1987, and 1989.
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| A Hitchhiker's Guide to International Microeconomic Policy Coordination
|
January, 1991 |
Federal Reserve Bank of Cleveland, Economic Review, vol. 26, no. 1 |
Owen F Humpage; |
Economic Review |
| Abstract: A wealth of studies about international macroeconomic policy coordination have surfaced in the past decade, offering important insights that unfortunately have remained inaccessible to many economists and policymakers because of the sophisticated mathematics inherent in the literature. This paper lifts the analytical veil from these studies, presenting their findings in a less-technical fashion.
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| A Critique of Monetary Protectionism
|
May, 1990 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; W. Lee Hoskins; |
Economic Commentary |
top |
| Intervention and the foreign exchange risk premium: An empirical investigation of daily effects
|
January, 1990 |
Federal Reserve Bank of Cleveland, Working Paper No. 9009 |
Owen F Humpage; William P Osterberg; |
Working Papers |
| Abstract: Currency markets have witnessed a sharp increase in government intervention since 1985. Many observers believe that this intervention promoted the dollar's depreciation between 1985 and early 1987, and that intervention has since helped to stabilize dollar exchange rates. This paper tests for a systematic effect of daily dollar intervention on exchange rate risk premia. We test for both portfolio balance effects and signaling influences by using daily data on central bank intervention (in dollars) against both the yen and the West German mark. Following work by Dominguez (1989) and Loopesko (1984), we measure the daily risk premium in terms of the deviation from uncovered interest parity. However, we follow other empirical analyses of exchange rates and allow for generalized conditional autoregressive heteroscedasticity (GARCH). Some evidence is found for both the portfolio balance and signaling channels.
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| Intervention and The Dollar
|
September, 1988 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
top |
| Intervention and the Dollar's Decline - comment
|
July, 1988 |
Federal Reserve Bank of Cleveland, Economic Review, vo. 24, no. 3 |
Owen F Humpage; |
Economic Review |
top |
| Debt Repayment and Economic Adjustment
|
June, 1988 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
top |
| Intervention and the Dollar's Decline
|
April, 1988 |
Federal Reserve Bank of Cleveland, Economic Review, vol. 24, no. 2 |
Owen F Humpage; |
Economic Review |
| Abstract: An analysis of U.S. foreign exchange-market intervention and its effect on dollar depreciation, finding there is no systematic relationship between intervention and daily exchange-rate movements.
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top |
| Requirements for Eliminating the Trade Deficit
|
April, 1987 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
top |
| Should e intervene in exchange markets
|
February, 1987 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
top |
| Target Zones for Exchange Rates
|
August, 1986 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; Nicholas V Karamouzis; |
Economic Commentary |
top |
| Exchange-Market Intervention: The Channels of Influence
|
July, 1986 |
Federal Reserve Bank of Cleveland, Economic Review, vol. 22, no. 3 |
Owen F Humpage; |
Economic Review |
| Abstract: A review of three channels through which central bank intervention could alter exchange rates, concluding that sterilized intervention is a very limited policy tool.
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top |
| Should we be concerned about the speed of the depreciation
|
March, 1986 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
top |
| Intervention, Exchange-Rate Volatility, and the Stable Paretian Distribution
|
January, 1986 |
Federal Reserve Bank of Cleveland, Working Paper no. 8608 |
Owen F Humpage; Michael Bagshaw; |
Working Papers |
| Abstract: A look at whether the United States' decision to cease intervention after March 1981 had a perceptible influence on the day-to-day behavior of exchange rates, using the stable paretian distribution.
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top |
| A Correct Value for The Dollar
|
January, 1986 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; Nicholas V Karamouzis; |
Economic Commentary |
top |
| The Dollar in the Eighties
|
September, 1985 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; Nicholas V Karamouzis; |
Economic Commentary |
top |
| Will Taxing Imports Help
|
March, 1985 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; Michael F Bryan; |
Economic Commentary |
top |
| The Costs of a Protectionist Cure
|
July, 1984 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; Michael F Bryan; |
Economic Commentary |
top |
| Dollar Intervention and the Deutschemark-Dollar Exchange Rate: A Daily Time-Series Model
|
January, 1984 |
Federal Reserve Bank of Cleveland, Working Paper no. 8404 |
Owen F Humpage; |
Working Papers |
| Abstract: This paper develops a simultaneous time-series model to investigate the daily interactions between official exchange-market intervention and movements in the deutsche mark-dollar exchange rate, from November 2, 1978, to October 31, 1979. the model is constructed using both morning-opening and afternoon-closing exchange-rate quotes, Using these two quotes, and making assumptions about the timing of intervention relative to the exchange-rate quotes, enables us to measure the causal relationships among contemporaneous variables, the results suggest that, over the period investigated, the Federal Reserve responded to exchange-rate movements in a manner consistent with a leaning-against-the-wind strategy, but that this intervention tended to accentuate slightly movements in the rate. This result seems to support claims that traders recognized intervention and traded against it.
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top |
| Exchange Rates and U.S. Prices
|
April, 1983 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; Gerald H Anderson; |
Economic Commentary |
top |
| Do Deficits Cause Inflation
|
November, 1982 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; |
Economic Commentary |
top |
| Safe-harbor leasing: separating the wheat from the chaff
|
October, 1982 |
Federal Reserve Bank of Cleveland, Economic Commentary |
Owen F Humpage; Amy Kerka; |
Economic Commentary |
top |
