Real And Nominal Exchange Rates In The Long Run
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Real And Nominal Exchange Rates In The Long Run
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Author : Mr.Bankim Chadha
language : en
Publisher: International Monetary Fund
Release Date : 1991-06-01
Real And Nominal Exchange Rates In The Long Run 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 1991-06-01 with Business & Economics categories.
This paper decomposes longer-run movements in (major) dollar real exchange rates into components associated with changes in nominal exchange rates and price levels, and their comovements. Though the decompositions suggest some permanent movements, they imply that there are large transitory components in real exchange rates. These transitory components in real exchange rates are found to be closely associated with those in nominal exchange rates. A stochastic version of Dornbusch’s overshooting model—configured with representative parameter values for the United States and subjected to permanent nominal shocks—can rationalize these transitory comovements of nominal and real exchange rates as well as several other features of the decompositions.
Real And Nominal Exchange Rates In The Long Run
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Author : Charles F. Adams
language : en
Publisher:
Release Date : 1991
Real And Nominal Exchange Rates In The Long Run 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 Dollar, American categories.
Real And Nominal Exchange Rates In The Long Run
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Author : Charles L. Adams
language : en
Publisher:
Release Date : 2006
Real And Nominal Exchange Rates In The Long Run 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.
This paper decomposes longer-run movements in (major) dollar real exchange rates into components associated with changes in nominal exchange rates and price levels, and their comovements. Though the decompositions suggest some permanent movements, they imply that there are large transitory components in real exchange rates. These transitory components in real exchange rates are found to be closely associated with those in nominal exchange rates. A stochastic version of Dornbusch`s overshooting model--configured with representative parameter values for the United States and subjected to permanent nominal shocks--can rationalize these transitory comovements of nominal and real exchange rates as well as several other features of the decompositions.
Long Run Exchange Rate Dynamics
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Author : Mr.Karl Friedrich Habermeier
language : en
Publisher: International Monetary Fund
Release Date : 1999-04-01
Long Run Exchange Rate Dynamics written by Mr.Karl Friedrich Habermeier 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 1999-04-01 with Business & Economics categories.
Long-run movements of real exchange rates are studied using a panel data set comprising 51 economies. The purchasing power parity hypothesis (PPP) is examined first using unit root tests. It is found that PPP does not hold for the full sample of countries, but it may hold for the advanced economies, as well as open and high-inflation economies. Using the recently developed mean group and pooled mean group estimators, the paper finds support for the Balassa-Samuelson hypothesis in both advanced and developing economies; and for the influence of shifts in the terms of trade.
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.
Fundamental Determinants Of Exchange Rates
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Author : Jerome L. Stein
language : en
Publisher: Oxford University Press
Release Date : 1997
Fundamental Determinants Of Exchange Rates written by Jerome L. Stein and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Business & Economics categories.
Neo-classical in its stress on fundamentals that drive a real economy, this study also offers an alternative paradigm to describe and explain short-run movements of nominal exchange rates.
Long Run Exchange Rate Modeling
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Author : Mr.Ronald MacDonald
language : en
Publisher: International Monetary Fund
Release Date : 1995
Long Run Exchange Rate Modeling written by Mr.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 1995 with Business & Economics categories.
In this paper we survey the recent literature on long run, or equilibrium, exchange rate modeling. In particular, we review the voluminous literature which tests for a unit root in real exchange rates and the closely related work on testing for a unit root in the residual from a regression of the nominal exchange rate on relative prices. We argue that the balance of evidence is supportive of the existence of some form of long-run exchange rate relationship. The form of this relationship, however, does not accord exactly with a traditional representation of the long-run exchange rate. We offer some potential explanations for this lack of conformity.
What Determines Real Exchange Rates The Long And Short Of It
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Author : Mr.Ronald MacDonald
language : en
Publisher: International Monetary Fund
Release Date : 1997-02-01
What Determines Real Exchange Rates The Long And Short Of It written by Mr.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 1997-02-01 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.
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.
Long Run Determinants Of The Real Exchange Rate
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Author : Mr.Hamid Faruqee
language : en
Publisher: International Monetary Fund
Release Date : 1994-08-01
Long Run Determinants Of The Real Exchange Rate written by Mr.Hamid Faruqee 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 1994-08-01 with Business & Economics categories.
This paper examines the long-run determinants of the real exchange rate from a stock-flow perspective. The empirical analysis estimates a long-run relationship between the real exchange rate, net foreign assets and other factors affecting trade flows. Using postwar data for the United States and Japan, cointegration analysis supports the finding that the structural factors underlying each country’s net trade and net foreign asset positions determine the long-run path for the real value of the dollar and the yen. The empirical analysis also provides estimates for the underlying stochastic trend in each real exchange rate series.