Pick Your Poison: The Exchange Rate Regime and Capital Account Volatility in Emerging Markets

 
Author/Editor: Iwata, Shigeru ; Tanner, Evan
 
Publication Date: May 01, 2003
 
Electronic Access: Free Full text (PDF file size is 793KB).
Use the free Adobe Acrobat Reader to view this PDF file

 
Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
 
Summary: We characterize a country's exchange rate regime by how its central bank channels a capital account shock across three variables: exchange depreciation, interest rates, and international reserve flows. Structural vector autoregression estimates for Brazil, Mexico, and Turkey reveal such responses, both contemporaneously and over time. Capital account shocks are further shown to affect output growth and inflation. The nature and magnitude of these effects may depend on the exchange rate regime.
 
Series: Working Paper No. 03/92
Subject(s): Exchange rate regimes | Brazil | Mexico | Turkey | Capital account | Emerging markets | Economic models

Author's Keyword(s): Exchange rate regime | capital account | structural vector autoregression
 
English
Publication Date: May 01, 2003
ISBN/ISSN: 1934-7073 Format: Paper
Stock No: WPIEA0922003 Pages: 27
Price:
US$15.00 (Academic Rate:
US$15.00 )
 
 
Please address any questions about this title to publications@imf.org