Marian Micu - Academia.edu (original) (raw)
Papers by Marian Micu
It is often presumed that higher market volatility begets more active trading in derivatives mark... more It is often presumed that higher market volatility begets more active trading in derivatives markets. A number of empirical studies have confirmed that such a positive relationship between volatility and activity exists. However, those studies have usually drawn on analyses that apply mainly to daily or intraday data. Very few studies have considered the existence of a possible relationship between
SSRN Electronic Journal, 2000
This paper examines the central bank intervention in the yen/dollar market and its in ‡uence on t... more This paper examines the central bank intervention in the yen/dollar market and its in ‡uence on the foreign exchange traders' speculative positions. We observe that speculators predominantly take up the opposite side of the transaction to the central bank. They appear to increase their relative yen positions when central banks sell yen and lower them when they buy yen. Our results indicate that interventions are more successful when speculators act with the central bank but generally ine¤ective when they take the other side of the transaction. JEL Classi…cations: F31, G15
SSRN Electronic Journal, 2000
This paper analyses the determinants of international bank lending to the largest countries in As... more This paper analyses the determinants of international bank lending to the largest countries in Asia and Latin America through a framework based on "push"/"pull" factors. Our results show that both types of factors determine international bank lending. However, they differ from those of the early 1990s' literature in that aggregate lending to emerging market countries appears to have been procyclical to growth in lending countries rather than countercyclical. Moreover, the sharp increase in short-term lending during the 1990s seems to have been largely a pull phenomenon. Additionally, there is evidence that fixed rate regimes encouraged international bank lending, while bandwagon and contagion effects were also present. The introduction of the Basel Accord on capital adequacy does not appear to have played a significant role in international bank lending to emerging economies. JEL Classification Numbers: E42, E52, E58
Journal of International Money and Finance, 2005
We use official intervention data provided by the Federal Reserve and, recently, the Japanese Min... more We use official intervention data provided by the Federal Reserve and, recently, the Japanese Ministry of Finance, as well as a new data set based on Reuters news articles on intervention that is perceived by FX traders. We estimate probability density functions (PDFs) from option data to describe market expectations. We find that, between 1993 and 1996, Japanese authorities tended to respond mainly to deviations of the exchange rate from some implicit target levels and to a rise in market uncertainty. Between 1997 and 2000, the Bank of Japan mainly reacted in response to higher uncertainty. On the other hand, the Federal Reserve intervened only in cooperation with the Bank of Japan. We find that intervention had no statistically significant systematic effect on the mean of yen/dollar expectations. Consistently, we detect no evidence that intervention systematically altered market participants' bias between a stronger and a weaker dollar with respect to the forward rate. Contrary to most findings of the literature, we fail to find evidence that intervention was associated on average with higher exchange rate variability. Finally, we find that intervention was not followed by an increase in the tails of the distribution of exchange rate expectations. The consensus view is that sterilized intervention can be effective if it is announced publicly, coordinated across central banks, and most importantly, consistent with underlying fiscal and monetary policies. As we are able to control for public announcement and central bank coordination, our findings suggest that intervention during our sample period was not consistent with underlying fiscal and monetary policy and therefore had little influence on market outcomes and expectations.
It is often presumed that higher market volatility begets more active trading in derivatives mark... more It is often presumed that higher market volatility begets more active trading in derivatives markets. A number of empirical studies have confirmed that such a positive relationship between volatility and activity exists. However, those studies have usually drawn on analyses that apply mainly to daily or intraday data. Very few studies have considered the existence of a possible relationship between
SSRN Electronic Journal, 2000
This paper examines the central bank intervention in the yen/dollar market and its in ‡uence on t... more This paper examines the central bank intervention in the yen/dollar market and its in ‡uence on the foreign exchange traders' speculative positions. We observe that speculators predominantly take up the opposite side of the transaction to the central bank. They appear to increase their relative yen positions when central banks sell yen and lower them when they buy yen. Our results indicate that interventions are more successful when speculators act with the central bank but generally ine¤ective when they take the other side of the transaction. JEL Classi…cations: F31, G15
SSRN Electronic Journal, 2000
This paper analyses the determinants of international bank lending to the largest countries in As... more This paper analyses the determinants of international bank lending to the largest countries in Asia and Latin America through a framework based on "push"/"pull" factors. Our results show that both types of factors determine international bank lending. However, they differ from those of the early 1990s' literature in that aggregate lending to emerging market countries appears to have been procyclical to growth in lending countries rather than countercyclical. Moreover, the sharp increase in short-term lending during the 1990s seems to have been largely a pull phenomenon. Additionally, there is evidence that fixed rate regimes encouraged international bank lending, while bandwagon and contagion effects were also present. The introduction of the Basel Accord on capital adequacy does not appear to have played a significant role in international bank lending to emerging economies. JEL Classification Numbers: E42, E52, E58
Journal of International Money and Finance, 2005
We use official intervention data provided by the Federal Reserve and, recently, the Japanese Min... more We use official intervention data provided by the Federal Reserve and, recently, the Japanese Ministry of Finance, as well as a new data set based on Reuters news articles on intervention that is perceived by FX traders. We estimate probability density functions (PDFs) from option data to describe market expectations. We find that, between 1993 and 1996, Japanese authorities tended to respond mainly to deviations of the exchange rate from some implicit target levels and to a rise in market uncertainty. Between 1997 and 2000, the Bank of Japan mainly reacted in response to higher uncertainty. On the other hand, the Federal Reserve intervened only in cooperation with the Bank of Japan. We find that intervention had no statistically significant systematic effect on the mean of yen/dollar expectations. Consistently, we detect no evidence that intervention systematically altered market participants' bias between a stronger and a weaker dollar with respect to the forward rate. Contrary to most findings of the literature, we fail to find evidence that intervention was associated on average with higher exchange rate variability. Finally, we find that intervention was not followed by an increase in the tails of the distribution of exchange rate expectations. The consensus view is that sterilized intervention can be effective if it is announced publicly, coordinated across central banks, and most importantly, consistent with underlying fiscal and monetary policies. As we are able to control for public announcement and central bank coordination, our findings suggest that intervention during our sample period was not consistent with underlying fiscal and monetary policy and therefore had little influence on market outcomes and expectations.