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The Real Exchange Rate in the Long Run: Balassa-Samuelson Effects Reconsidered

Bordo, Michael D.; Choudhri, Ehsan U.; Fazio, Giorgio; … - CESifo - 2014

Historical data for over hundred years and 14 countries is used to estimate the long-run effect of productivity on the … real exchange rate. We find large variations in the productivity effect across four distinct monetary regimes in the sample … argue that changes in trade costs over time may affect the impact of productivity on the real exchange rate over time. We …

Persistent link: https://www.econbiz.de/10010877817

Terms of Trade, Catch-up, and Home Market Effect: The Example of Japan

Urban, Dieter M. - CESifo - 2007

interdependencies between the terms of trade and economic growth are offered: the home market effect and the productivity shock effect …

Persistent link: https://www.econbiz.de/10005405944

Reconsidering the Price-Income Relationship across Countries

Fujii, Eiji - CESifo - 2013

positive price-income association is attributable, at least partly, to the Balassa-Samuelson productivity differential effect …

Persistent link: https://www.econbiz.de/10010627561

Exchange Rates Dynamics in a Target Zone – A Heterogeneous Expectations Approach

Bauer, Christian; Grauwe, Paul De; Reitz, Stefan - CESifo - 2007

The target zone model of Krugman (1991) has failed empirically. In this paper, we develop a model of the exchange rate with heterogeneous agents in a free floating and a target zone regime. We show that this simple model mimics the empirical puzzles of exchange rates: excessive volatility, fat...

Persistent link: https://www.econbiz.de/10005405760

Exchange Rate Misalignment - The Case of the Chinese Renminbi

Cheung, Yin-Wong - CESifo - 2012

Assessing exchange rate misalignment is not an easy task. With reference to the debate on the value of China’s currency, the renminbi (RMB), this article highlights a few challenges in properly assessing the extent of currency misalignment. The results derived from the fundamental equilibrium...

Persistent link: https://www.econbiz.de/10010545690

Monetary Policy, Model Uncertainty and Exchange Rate Volatility

Markiewicz, Agnieszka - CESifo - 2010

This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard present value exchange rate models. Agents are uncertain about the true data generating model and deal with the model uncertainty by making inference on the models and their...

Persistent link: https://www.econbiz.de/10008596599

Exchange Rate Misalingment Estimates - Sources of Differences

Cheung, Yin-Wong; Fujii, Eiji - CESifo - 2011

We study the differences of currency misalignment estimates obtained from alternative datasets derived from two International Comparison Program (ICP) surveys. A decomposition exercise reveals that the year 2005 misalignment estimates are substantially affected by the ICP price revision....

Persistent link: https://www.econbiz.de/10009278133

Transatlantic Monetary and Fiscal Policy Interaction

Aarle, Bas van; Garretsen, Harry; Huart, Florence - CESifo - 2003

This paper studies the design, effects and interactions of monetary and fiscal policies in the euro-area and between the euro-area and the non euro-area. To do so, a stylized three-country model of monetary and fiscal policy rules is constructed. It is analyzed how monetary and fiscal rules...

Persistent link: https://www.econbiz.de/10005765866

A Re-examination of the Link between Real Exchange Rates and Real Interest Rate Differentials

Hoffmann, Mathias; MacDonald, Ronald - CESifo - 2003

The real exchange rate - real interest rate (RERI) relationship is central to most open economy macroeconomic models. However, empirical support for the relationship, especially when cointegrationbased methods are used, is rather weak. In this paper we reinvestigate the RERI relationship using...

Persistent link: https://www.econbiz.de/10005765984

'Large' vs. 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks

Bjønnes, Geir H.; Holden, Steinar; Rime, Dagfinn; … - CESifo - 2009

What is the role of “large players” like hedge funds and other highly leveraged institutions in speculative attacks? In recent theoretical work, large players may induce an attack by an early move, providing information to smaller agents. In contrast, many observers argue that large players...

Persistent link: https://www.econbiz.de/10005181546

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