Nominal Exchange Rates And Nominal Interest Rate Differentials
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Nominal Exchange Rates And Nominal Interest Rate Differentials
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Author : Mr.Francisco Nadal De Simone
language : en
Publisher: International Monetary Fund
Release Date : 1999-10-01
Nominal Exchange Rates And Nominal Interest Rate Differentials written by Mr.Francisco Nadal De Simone 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 1999-10-01 with Business & Economics categories.
This paper reexamines some unsettled theoretical and empirical issues regarding the relationship between nominal exchange rates and interest rate differentials and provides a model for the behavior of exchange rates in the long run, where interest rates are determined in the bond market. The model predicts that an increase in the interest rate differential appreciates the home currency. We test the model for the U.S. dollar against the Deutsche mark, the British pound, the Japanese yen, and the Canadian dollar. The first two pairs of exchange rates—for which purchasing power parity seems to hold—display a strong relationship with interest rate differentials.
Seasonal Movements Of Exchange Rates And Interest Rates Under The Pre World War I Gold Standard
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Author : Ellen Foster
language : en
Publisher: Routledge
Release Date : 2017-04-21
Seasonal Movements Of Exchange Rates And Interest Rates Under The Pre World War I Gold Standard written by Ellen Foster and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-04-21 with Business & Economics categories.
Originally published in 1994. This work investigates seasonal fluctuations of US and British short term nominal interest rates, the dollar-sterling exchange rate and short term interest rate differentials between the US and Britain during the period 1883-1913. It finds that during the pre-World War Gold Standard seasonal movements in exchange rates did not tend to offset the seasonal fluctuations in interest rate differentials. It presents a model to explain the fluctuations and outlines two specific empirical investigations, considering the results in the light of more recent historical periods as well.
Interpreting Currency Movements During The Crisis
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Author : Mr.Thomas Dowling
language : en
Publisher: International Monetary Fund
Release Date : 2011-01-01
Interpreting Currency Movements During The Crisis written by Mr.Thomas Dowling 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 2011-01-01 with Business & Economics categories.
Using an adaptation of the Uncovered Interest Parity (UIP) condition, this paper analyzes the drivers behind the large, symmetric exchange rate swings observed during the financial crisis of 2008-2010. Employing a Nelson-Siegel model, we estimate yield curves and decompose the exchange rate movements into changes we attribute to monetary policy and a residual. We find that the depreciation phase of the currencies in our sample was largely dominated by safe-haven effects rather than carry trade activity or other return considerations. For some countries, however, the appreciation that began at the end of 2008 seems largely to reflect downward movement in the cumulative revisions to nominal forward differentials, suggesting carry trade.
The Long Run Relationship Between Real Exchange Rates And Real Interest Rate Differentials
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Author : Mr.Jun Nagayasu
language : en
Publisher: International Monetary Fund
Release Date : 1999-03-01
The Long Run Relationship Between Real Exchange Rates And Real Interest Rate Differentials written by Mr.Jun Nagayasu 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 1999-03-01 with Business & Economics categories.
This paper empirically examines the long-run relationship between real exchange rates and real interest rate differentials over the recent floating exchange rate period, using a panel cointegration method, with data for a set of industrialized countries. The paper finds evidence of statistically significant long-run relationships and plausible point estimates, which contrasts with much existing evidence. The failure of others to establish such relationships may reflect the estimation method they use rather than any inherent deficiency of the fundamentals-based models.
The Dynamics Of Real Interest Rates Real Exchange Rates And The Balance Of Payments In China
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Author : Mr.Zhongxia Jin
language : en
Publisher: International Monetary Fund
Release Date : 2003-04-01
The Dynamics Of Real Interest Rates Real Exchange Rates And The Balance Of Payments In China written by Mr.Zhongxia Jin 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 2003-04-01 with Business & Economics categories.
Based on China's experience between 1980 and 2002, a cointegrated vector autoregression model was established to explore the relationships among real interest rates, real exchange rates and balance of payments in China. Taking into account institutional changes, the empirical study shows that significant and usually non-monotonic interactions exist between these three variables. The paper discusses theoretical and policy implications of the empirical result.
International Interest Rate Differentials As Behavior Towards Exchange Rate Expectations
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Author : Michael G. Porter
language : en
Publisher:
Release Date : 1971
International Interest Rate Differentials As Behavior Towards Exchange Rate Expectations written by Michael G. Porter and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1971 with Foreign exchange categories.
Exchange Rates And Real Long Term Interest Rate Differentials
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Author : David T. Coe
language : en
Publisher: Paris, France : OECD
Release Date : 1985
Exchange Rates And Real Long Term Interest Rate Differentials written by David T. Coe and has been published by Paris, France : OECD this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Foreign exchange categories.
The Exchange Rate In A Dynamic Optimizing Current Account Model With Nominal Rigidities
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Author : Robert Miguel W. K. Kollman
language : en
Publisher: International Monetary Fund
Release Date : 1997-01-01
The Exchange Rate In A Dynamic Optimizing Current Account Model With Nominal Rigidities written by Robert Miguel W. K. Kollman 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 1997-01-01 with Business & Economics categories.
This paper studies dynamic-optimizing model of a semi-small open economy with sticky nominal prices and wages. The model exhibits exchange rate overshooting in response to money supply shocks. The predicted variability of nominal and real exchange rates is roughly consistent with that of G-7 effective exchange rates during the post-Bretton Woods era. The model predicts that a positive domestic money supply shock lowers the domestic nominal interest rate, that it raises output and that it leads to a nominal and real depreciation of the country’s currency. Increases in domestic labor productivity and in the world interest rate too are predicted to induce a nominal and real exchange rate depreciation.
Exchange Rate Determination And Real Interest Rate Differentials Under Uncertainty
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Author : Harvey Lapan
language : en
Publisher:
Release Date : 1984
Exchange Rate Determination And Real Interest Rate Differentials Under Uncertainty written by Harvey Lapan 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.
Japanese Effective Exchange Rates And Determinants
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Author : Mr.Jun Nagayasu
language : en
Publisher: International Monetary Fund
Release Date : 1998-06-01
Japanese Effective Exchange Rates And Determinants written by Mr.Jun Nagayasu 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 1998-06-01 with Business & Economics categories.
This paper empirically analyzes Japanese long-run exchange rates from several perspectives. Several exchange rate models are considered, including the purchasing power parity, the real interest differential model, and the hybrid models à la Hooper and Morton (1982). A notable feature of the latter models is that the current accounts are introduced as determinants of the exchange rates; one type of hybrid model uses the actual current account, and the other the optimal current account, which is calculated using the present value model suggested by Campbell and Shiller (1988). The paper finds that the long-run specification is sensitive to the specification of the model.