Hu,W. (2024) “Inflation Targeting and Exchange Rate Predictability in Low-income Economies” (Working paper)
Abstract:
Previous research on the nominal exchange rate (NER) out-of-sample predictability suggests that the current real exchange rate (RER) provides significant evidence in the inflation targeting (IT) adopted advanced economies (AEs) and emerging economies (EMEs). This research fills a gap in the
literature by investigating 11 low-income countries (LICs) that adopted IT beginning in the late 2000s. For most LICs, 1- to 48-months ahead out-of-sample exchange rate predictability significantly increases after IT adoption. The results are robust after considering various bootstrapped out-of-sample
statistics (e.g. bootstrapped Diebold–Mariano–West(DMW) statistic), forecasting schemes, and impacts from the zero lower bound (ZLB) and COVID-
19 pandemic.
Hu,W. (2025) "Impact of the Russia-Ukraine War on Anchor Currency Choice: Evidence from the Caucasus and Central Asia" ( Working paper)
Abstract:
This study shows that the Russia-Ukraine conflict has had a significant impact on the choice of anchor currency in countries of the Caucasus and Central Asia (CCA). Trade reallocation from the EU to the CCA region due to sanctions on Russia has increased the estimated weight of the euro (EUR) in CCA countries' de facto currency baskets.