Macroeconomic stabilization and intervention policy under an exchange rate band

Article Abstract:

Imposition of exchange rate bands depends on the type of shocks to be handled. In a first-best case, imposition of a band is not desirable even though no welfare losses occurs during money demand shocks. In a second-best case in which there is monetary accomodation restriction, combining an exchange rate system with a band is beneficial since it allows authorities to trade off boundary interventions with suboptimal intervention policy when the exchange rate is inside its band.

Foreign exchange, Economic stabilization

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Pricing multivariate contingent claims using estimated risk-neutral density functions

Article Abstract:

A flexible non-linear least squares (NLS) pricing technique was created to estimate the price of multivariate contingent claims (MVCCs). Implementation of the technique on several bivariate contingent claims dependent on foreign exchange rates from 1993 to 1994 showed its supremacy over standard methods in terms of providing accurate pricing. Such accuracy was noted after substantially different prices was produced from the investigated bivariate contingent claims.

Pricing, Assets (Accounting)

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Dynamic analysis in the Viner model of mercantilism

Article Abstract:

An analysis of Jacob Viner's model of mercantilism reveals that a country using high degree of mercantilism tend to experience substantial accumulation of foreign asset and high consumption in the long term. A permanent increase in tariff rates can result to greater accumulation of foreign assets and higher consumption also in the long term. In the short term context, current account may retrogress due to a permanent terms-of-trade shock.

Models, Mercantilism

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