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We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction Error at several forecasting horizons. This...
Persistent link: https://www.econbiz.de/10015262273
This paper investigates the validity of Fisher’s hypothesis in determining nominal interest rates for five small developing countries—The Bahamas, Barbados, Guyana, Jamaica, and Trinidad and Tobago. We augment the traditional Fisher test equation by introducing the US nominal interest rate....
Persistent link: https://www.econbiz.de/10015264933
This paper investigates whether the Purchasing Power Parity (PPP) and the Uncovered Interest Rate Parity (UIP) hold for the Peruvian economy. We analyze Peruvian, international and trade-weighted foreign data for the period 1997 - 2011 using Johansen's cointegration approach. The results of our...
Persistent link: https://www.econbiz.de/10015251621
The Swedish economy is strongly dependent on global economic developments, which is re‡ected in generally strong empirical relationships between Swedish and foreign macroeconomic variables. It is, however, diffi cult for standard open-economy dynamic stochastic general equilibrium (DSGE)...
Persistent link: https://www.econbiz.de/10012497743
We compare the performance of a currency board arrangement, inflation targeting, and dollarization in a small open, developing economy with liberalized capital account. We focus explicitly on the transmission of shocks to currency and country risk premia in international financial markets and on...
Persistent link: https://www.econbiz.de/10004970574
I compare the performance of alternative monetary rules for Canada using an open economy model under incomplete markets. Different rules generate different paths for the markup and the terms of trade. A comparison of welfare levels suggests that flexible inflation targeting, the Bank of...
Persistent link: https://www.econbiz.de/10005027858
This paper quantifi es the exchange rate pass-through effects on import prices within a sample of Colombian manufactured imports. Also, whether the foreign exchange and infl ation regimes affect the degree of pass-through is evaluated. The analytical framework used was a mark-up model. The main...
Persistent link: https://www.econbiz.de/10005603974
This paper presents a two-country model linking Poland and the euro area and applies it for assessment of heterogeneity across these two regions. Overall, our results can be seen as rather inconclusive about the differences in parameters describing agents’ decision-making in Poland and in the...
Persistent link: https://www.econbiz.de/10009641428
Colombian monthly data covering the period from 1995:01 to 2002:11 and ECM, fixed and time-varying parameters and Kalman filter techniques are used in this paper to quantify the exchange rate pass-through effects on import prices within a sample of manufactured imports. Also, whether the foreign...
Persistent link: https://www.econbiz.de/10005113915
Russian Abstract: Оценка моделей с изменяющимися во времени параметрами нашла широкое распространение в макроэкономических исследованиях, реализуемых в течение...
Persistent link: https://www.econbiz.de/10013323430