Three essays on international monetary economics

This dissertation is a collection of essays on international monetary economics. The first essay tests whether the Federal Reserve (Fed) has an information advantage over private-sector forecasters. If the Fed has an information advantage, its forecasts should be more accurate than private forecasts. Past evidences show that the Fed forecasts are more accurate than "consensus" forecasts. This essay argues that the comparison should be made only at the individual forecaster level. The results suggest that the Fed is more accurate than only half of the forecasters. Further, the paper examines the source of the Fed's forecast accuracy. Inside information about future policy is not the only source, but inefficient use of publicly available information by the public can give rise to the Fed's forecast accuracy as well.;The second essay studies the effect of Asian financial crisis on the Thai economy. Johansen's system-based cointegration method is used to estimate equilibrium relationships between macroeconomic variables. Three cointegrating vectors are found in both pre-crisis and post-crisis periods. Based on an open-economy model, the cointegrating vectors are identified as an IS relation, an open-economy Phillips curve and a weak UIP condition. Although the cointegrating vectors represent the same theoretical relations both pre- and post-crisis, they differ in details. For example, the domestic interest rate reacts less to the foreign interest rate after the crisis, and inflation may have real effects on the economy after the crisis. Finally, the equilibrium correction mechanism is slower in the post-crisis period.;The last essay examines real interest rate parity (RIP) among the Pacific Basin economies. A new panel unit root test, the PANIC (Bai and Ng, 2004), is used. The PANIC improves upon existing tests by allowing for cross-sectional cointegration. Results indicate that RIP holds only when the US is the base country. The real interest rates in this region converge to the U.S. rate. In contrast to the existing literature, there is little evidence of convergence toward the Japanese rate.