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Identification and Estimation of Exchange Rate Models with Unobservable Fundamentals
Chambers, M.J.; McCrorie, J.R. - Tilburg University, Center for Economic Research - 2004
This paper is concerned with issues of model specification, identification, and estimation in exchange rate models with …
Persistent link: https://www.econbiz.de/10011090961
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Nominal and Real Exchange Rate Models in South Africa: How Robust are they?
Egert, Balazs - CESifo - 2012
research seem to be sensitive to the sample period considered, alternative variable definition, data frequency and estimation … monetary model are not fully robust to data frequency and alternative estimation periods, either. Nevertheless, adding openness …
Persistent link: https://www.econbiz.de/10010554826
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The Impact of Macro News and Central Bank Communication on Emerging European Forex Markets
Egert, Balazs; Kocenda, Evžen - CESifo - 2013
news and communication along with the estimated exchange rate misalignment on exchange rate as well as its volatility …
Persistent link: https://www.econbiz.de/10010668471
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Dumping in Developing and Transition Economies
Moraga-González, José Luis; Viaene, Jean-Marie - CESifo - 2004
We build a simple theoretical model to understand why developing and transition economies have increasingly applied anti-dumping laws. To that end, we investigate the strategic incentives of oligopolistic exporting firms to undertake dumping in these economies. We show that dumping may be due to...
Persistent link: https://www.econbiz.de/10005765640
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Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach
Menkhoff, Lukas; Rebitzky, Rafael R.; Schröder, Michael - CESifo - 2008
rate’s volatility are dominated by the other determinants. …
Persistent link: https://www.econbiz.de/10005765679
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China’s Exchange Rate and International Adjustment in Wages, Prices, and Interest Rates: Japan Déjà Vu?
McKinnon, Ronald Ian; Schnabl, Gunther - CESifo - 2006
China keeps its exchange rate tightly fixed to the dollar. Its productivity growth and trade surplus have been high, and it continues to accumulate large dollar reserves. Many observers take this as evidence that the renminbi is undervalued and should be appreciated to reduce the Chinese trade...
Persistent link: https://www.econbiz.de/10005765836
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Exchange Rate Pass-Through in the Deflationary Japan: How Effective is the Yen’s Depreciation for Fighting Deflation?
Fujii, Eiji - CESifo - 2004
There is an increasing endorsement for the yen’s depreciation as a means to fight the ongoing deflation in Japan. The idea of generating inflation via depreciation relies on the assumption that exporters pass-through most of the effect of the exchange rate changes to the Japanese importers and...
Persistent link: https://www.econbiz.de/10005766039
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The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa
Egert, Balazs - CESifo - 2009
This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollar-euro exchange rate on...
Persistent link: https://www.econbiz.de/10005000381
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Automating Exchange Rate Target Zones: Intervention via an Electronic Limit Order Book
Melvin, Michael; Menkhoff, Lukas; Schmeling, Maik - CESifo - 2008
increases exchange rate volatility (and spread) for the next minutes but that intervention days show a lower degree of … volatility (and spread) than non-intervention days. We also show for intraday data that the price impact of interbank order flow … position taking, the targeted exchange rate range holds and volatility, spread and price impact go down. Overall, the credible …
Persistent link: https://www.econbiz.de/10005181265
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Exchange Rates Dynamics in a Target Zone – A Heterogeneous Expectations Approach
Bauer, Christian; Grauwe, Paul De; Reitz, Stefan - CESifo - 2007
puzzles of exchange rates: excessive volatility, fat tails, volatility clustering, and disconnection from the fundamentals. In … addition, the target zone regime replicates a reduced nominal volatility for the same level of fundamental volatility as in the …
Persistent link: https://www.econbiz.de/10005405760