Does The Real Exchange Rate Follow A Random Walk
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Does The Real Exchange Rate Follow A Random Walk
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Author : Ka Ying Kwan
language : en
Publisher:
Release Date : 1994
Does The Real Exchange Rate Follow A Random Walk written by Ka Ying Kwan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Foreign exchange rates categories.
On Interpreting The Random Walk Behavior Of Nominal And Real Exchange Rates
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Author : Mr.Bankim Chadha
language : en
Publisher: International Monetary Fund
Release Date : 1991-01-01
On Interpreting The Random Walk Behavior Of Nominal And Real Exchange Rates written by Mr.Bankim Chadha and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-01-01 with Business & Economics categories.
The random walk property of exchange rates is frequently regarded as carrying strong implications for the kinds of shocks that have driven exchange rates and the models appropriate for analyzing their behavior. This paper conducts stochastic simulations of Dornbusch’s (1976) sticky-price monetary model, calibrated for representative parameter values for the United States. It shows that the model is capable of generating time series for both real and nominal exchange rates that are statistically indistinguishable from random walks when all shocks are nominal.
Do Real Exchange Rates Follow A Random Walk
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Author : Hirao Kojima
language : en
Publisher:
Release Date : 2006
Do Real Exchange Rates Follow A Random Walk written by Hirao Kojima and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Using the pure price inflation rates extracted and estimated by an innovative financial-asset pricing method, we build and estimate univariate time series models of Japanese yen per U.S. dollar real exchange rates. Employing three methods of modeling, we find consistently that the extracted price index-based real exchange rate, r(t), obeys a stationary, mean-reverting process. The mean-reverting behavior detected is consistent with the less restrictive version of absolute purchasing power parity in which a real exchange rate is allowed to temporarily deviate from its mean. Further, the stationarity of r(t) is fundamentally attributable to frequent and sharp changes in expectations reflected in goods prices that are implied by the extracted pure price inflation rates. Finally, an intuitive conjecture is presented that, in the long run, stationary series (r(t)) would be less difficult to predict than nonstationary (random-walk) time series, because of the long-run, mean-reverting behavior of r(t). The conjecture is supported by the out-of-sample forecasting performance comparison between r(t) and the random-walk CPI-based real exchange rate, for three- to six-month forecast horizons. This would reinforce evidence of the stationarity of r(t). A desirable feature of stationary real exchange rate is also presented with regard to equilibrium error.
Do Deviations Of The Real Effective Exchange Rate Follow A Random Walk
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Author : Ronald MacDonald
language : en
Publisher:
Release Date : 1984
Do Deviations Of The Real Effective Exchange Rate Follow A Random Walk written by Ronald MacDonald and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with Foreign exchange categories.
Do Real Exchange Rates Really Follow A Random Walk
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Author : Michael Bleaney
language : en
Publisher:
Release Date : 1993
Do Real Exchange Rates Really Follow A Random Walk written by Michael Bleaney and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Foreign exchange rates categories.
The Foreign Exchange Market
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Author : Richard T. Baillie
language : en
Publisher: Cambridge University Press
Release Date : 1989
The Foreign Exchange Market written by Richard T. Baillie and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Business & Economics categories.
The flotation of exchange rates in the early 1970s saw a significant increase in the importance of foreign exchange markets and in the interest shown in them. Apart from the consequent institutional changes, this period also witnessed a revolution in macroeconomic analysis and finance theory based on the concept of rational expectations. This book provides an integrated approach to recent developments in the understanding of foreign exchange markets. It begins by charting the institutional background and looks at the recent history of movements in some of the major exchange rates. The theoretical sections focus on the economic and finance theory of the asset market approach, the macroeconomic models developed from this approach, and on interest rate parity theory. The empirical chapters draw on the authors' own research from a high quality set of exchange rate and interest rate data. The statistical properties of exchange rates are analysed; the relationship between spot and forward rates is examined; and the modelling and impact of new information on the forward and spot relationship is considered. The final chapter is devoted to the estimation and testing of exchange rate models.
On Interpreting The Random Walk Behavior Of Nominal And Real Exchange Rates
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Author : Charles F. Adams
language : en
Publisher:
Release Date : 1991
On Interpreting The Random Walk Behavior Of Nominal And Real Exchange Rates written by Charles F. Adams and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Money categories.
On Interpreting The Random Walk Behavior Of Nominal And Real Exchange Rates
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Author : Charles L. Adams
language : en
Publisher:
Release Date : 2006
On Interpreting The Random Walk Behavior Of Nominal And Real Exchange Rates written by Charles L. Adams and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
The random walk property of exchange rates is frequently regarded as carrying strong implications for the kinds of shocks that have driven exchange rates and the models appropriate for analyzing their behavior. This paper conducts stochastic simulations of Dornbusch`s (1976) sticky-price monetary model, calibrated for representative parameter values for the United States. It shows that the model is capable of generating time series for both real and nominal exchange rates that are statistically indistinguishable from random walks when all shocks are nominal.
Targeting The Real Exchange Rate
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Author : Mr.Guillermo Calvo
language : en
Publisher: International Monetary Fund
Release Date : 1994-02-01
Targeting The Real Exchange Rate written by Mr.Guillermo Calvo and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994-02-01 with Business & Economics categories.
This paper presents a theoretical and empirical analysis of policies aimed at setting a more depreciated level of the real exchange rate. An intertemporal optimizing model suggests that, in the absence of changes in fiscal policy, a more depreciated level of the real exchange can only be attained temporarily. This can be achieved by means of higher inflation and/or higher real interest rates, depending on the degree of capital mobility. Evidence for Brazil, Chile, and Colombia supports the model’s prediction that undervalued real exchange rates are associated with higher inflation.
What Determines Real Exchange Rates The Long And Short Of It
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Author : Ronald MacDonald
language : en
Publisher: International Monetary Fund
Release Date : 1997-02
What Determines Real Exchange Rates The Long And Short Of It written by Ronald MacDonald and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-02 with Business & Economics categories.
This paper presents a reduced-form model of the real exchange rate. Using multilateral cointegration methods, the model is implemented for the real effective exchange rates of the dollar, the mark, and the yen, over the period 1974-1993. In contrast to much other research using real exchange rates, there is evidence of significant and sensible long-run relationships for a simplified version as well as for the full version of the model. The estimated long-run relationships are used to produce dynamic equations, which outperform a random walk and produce sensible dynamic patterns in the context of an impulse response analysis.
