The Predictability Of Real Exchange Rate Changes In The Short And Long Run
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The Predictability Of Real Exchange Rate Changes In The Short And Long Run
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Author : Robert Cumby
language : en
Publisher:
Release Date : 1990
The Predictability Of Real Exchange Rate Changes In The Short And Long Run written by Robert Cumby and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Foreign exchange categories.
Nominal exchange rates do not move to offset differences in inflation rates on a month to month, quarter to quarter, or even year to year basis, resulting in sizable real exchange rate changes. Are these changes predictable? We address this question in three ways. First, we describe a variety of tests of predictability and explain how the different tests are related. Next, we implement the tests for the U.S. dollar relative to four currencies and find statistically significant evidence that real exchange rate changes are predictable. Finally, we examine whether the predictability is of an economically interesting magnitude.
The Predictability Of Real Exchange Rate Changes In The Short And Long Run
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Author :
language : en
Publisher:
Release Date : 1990
The Predictability Of Real Exchange Rate Changes In The Short And Long Run written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with categories.
Monetary Policy And The Predictability Of Nominal Exchange Rates
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Author : Martin S. Eichenbaum
language : en
Publisher:
Release Date : 2017
Monetary Policy And The Predictability Of Nominal Exchange Rates written by Martin S. Eichenbaum and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Foreign exchange categories.
This paper documents two facts about the behavior of floating exchange rates in countries where monetary policy follows a Taylor-type rule. First, the current real exchange rate is highly negatively correlated with future changes in the nominal exchange rate at horizons greater than two years. This negative correlation is stronger the longer is the horizon. Second, for most countries, the real exchange rate is virtually uncorrelated with future inflation rates both in the short and in the long run. We develop a class of models that can account for these and other key observations about real and nominal exchange rates.
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.
"This book greatly enhances our understanding of the behavior of real exchange rates. It provides an elegant model based on a solid theoretical foundation that links real exchange rates to their fundamental economic determinants and takes proper account of stock and flow considerations. The authors provide a masterful account of how changes in productivity and thrift affect the real exchange rate, and show that the long-run impact depends crucially on whether the change reflects the former fundamental (investment) or the latter (consumption). The empirical implementation uses state-of-the-art cointegration and error correction methodologies that are eminently well suited to capture the short-run adjustment of the real exchange rate to its medium- to long-run equilibrium value. The empirical results are extremely encouraging, as the economic fundamentals identified by the authors can explain a substantial part of the movement in the real exchange rate of a number of countries."--Peter Clark, International Monetary Fund
Fiscal Policy And The Predictability Of Exchange Rate Collapse
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Author : Ms.Betty C. Daniel
language : en
Publisher: International Monetary Fund
Release Date : 1997-10-01
Fiscal Policy And The Predictability Of Exchange Rate Collapse written by Ms.Betty C. Daniel 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 1997-10-01 with Business & Economics categories.
It is well known that the long-run viability of a fixed exchange rate regime imposes constraints on monetary policy. This paper shows that, in a model with forward-looking agents, short-run viability imposes a fiscal constraint. When policy change, which destroys long-run viability, also violates the fiscal constraint, collapse is instantaneous. Delayed predictable collapse requires satisfaction of the fiscal constraint.
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.
On Exchange Rates
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Author : Jeffrey A. Frankel
language : en
Publisher: MIT Press
Release Date : 1993
On Exchange Rates written by Jeffrey A. Frankel and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Business & Economics categories.
These seventeen essays provide an accessible and thorough reference for understanding the role of exchange rates in the international monetary system since 1973, when the rates were allowed to float. The essays analyze such issues as exchange rate movements, exchange risk premia, investor expectations of exchange rates and behavior of exchange rates in different systems. Frankel's sound empirical treatment of exchange rate questions shows that it is possible to produce work that is interesting from a purely intellectual viewpoint while contributing to practical knowledge of the real world of international economics and finance.The essays have been organized in a way that provides an introduction to the field of empirical international finance. Part I documents the steady reduction in barriers to international capital movement and leads logically to part II, which explains how exchange rates are determined. Both monetary and portfolio-based models are surveyed in part II, providing a clear transition to the topic of part III; the possible existence of an exchange risk premium. Part IV applies the tools discussed in earlier sections to explore various policy questions related to exchange rate expectations such as whether foreign exchange intervention matters and whether the European monetary system had become credible by 1991. Each part begins with a detailed introduction explaining not only the central issues of that section but also suggesting connections with other essays in the book.Jeffrey A. Frankel is Professor of Economics at the University of California, Berkeley.
Long Horizon Exchange Rate Predictability
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Author : Jeremy Berkowitz
language : en
Publisher:
Release Date : 1997
Long Horizon Exchange Rate Predictability written by Jeremy Berkowitz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Foreign exchange rates categories.
Real Exchange Rate Movements
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Author : Sven-Morten Mentzel
language : en
Publisher: Physica
Release Date : 1998-01-15
Real Exchange Rate Movements written by Sven-Morten Mentzel and has been published by Physica this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-01-15 with Business & Economics categories.
One aim of this book is to examine the causes of fluctuations in the mark/dollar, pound/dollar, and yen/dollar real exchange rates for the period 1972-1994 with quarterly data to determine appropriate policy recommendations to reduce these movements. A second aim is to investigate whether the three real exchange rates are covariance-stationary or not and to which extent they are covariance-stationary, respectively. These aims are reached by using a two-country overshooting model for real exchange rates with real government expenditure and by applying Johansen's maximum likelihood cointegration procedure and a factor model of Gonzalo and Granger to this model.
Real Exchange Rates And Macroeconomics
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Author : Rudiger Dornbusch
language : en
Publisher:
Release Date : 1988
Real Exchange Rates And Macroeconomics written by Rudiger Dornbusch and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Foreign exchange categories.
This paper discusses exchange rate issues in advanced and in developing countries. For the determination of exchange rates among industrialized countries the key question is the following: What is the right framework -- the monetary approach, the equilibrium approach, the new classical approach or the macroeconomic model in the tradition of Mundell-Fleming. To shed light on that question two empirical problems are considered: What is known about the behavior of real exchange rates and how well do alternative models explain the relation among interest rates, expected depreciation and actual depreciation. The second half of the paper discusses real exchange rates in developing countries. This strand of literature has become important in the context of adjustment programs. We focus on the relation between real exchange rates and the profitability of capital. The model highlights the sharp discrepancy between the mobility of capital (even physical capital, in the long run) and the immobility of labor.