Original title: Currency Substitution and Foreign Exchange Intervention in Emerging Market
Translated title: Currency Substitution and Foreign Exchange Intervention in Emerging Market
Authors: Loiseau-Aslanidi, Olga ; Zemčík, Petr (advisor) ; Kutan, Ali M. (referee) ; Brada, Josef (referee)
Document type: Doctoral theses
Year: 2012
Language: eng
Abstract: This dissertation consists of three essays that focus on the determinants and implications of exchange rate behavior in emerging markets. The first essay studies foreign exchange intervention conducted by the National Bank of Georgia. Various econometric methodologies are applied to study both the determinants and effectiveness of intervention. A unique daily data set is employed in the analysis. The major intervention motives of leaning-against-the-wind and of decreasing volatility are revealed. Intervention influences the exchange rate as intended after some lag. However, this effectiveness is achieved at the price of increased volatility of the exchange rate. In the second and third essays, the issue of currency substitution is studied. Two-currency monetary models are specified to analyze and explain currency substitution from different perspectives. These models focus on economic observables that influence a households decision to switch to a foreign currency, namely the exchange rate, interest rates of savings in foreign and domestic currencies, and domestic and foreign inflation. The second essay studies the significance and rationalizes currency substitution in Georgia. The paper finds that this issue is of first-order importance in the country. The actual dynamics of currency substitution...

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/44650

Permalink: http://www.nusl.cz/ntk/nusl-308942


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Doctoral theses