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The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection
Hillebrand, Eric; Schnabl, Gunther - EconWPA - 2004
We study the impact of Japanese foreign exchange intervention on the volatility of the yen/dollar exchange rate since the early 1990s based on a GARCH framework. Using daily intervention data provided by the Japanese Ministry of Finance, we show that the success of interventions varies over...
Persistent link: https://www.econbiz.de/10005556654
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Purchasing power parity: an empirical study of three EMU countries
Duarte, António Portugal - EconWPA - 2005
We apply Purchasing Power Parity (PPP) theory to the analysis of long- run equilibrium in the foreign exchange market. We study the case of Portugal vis-à-vis Germany and Spain, and the case of Spain vis-à-vis Germany, in the period 1960-1990. The empirical analysis was based on unit-root...
Persistent link: https://www.econbiz.de/10005124909
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Purchasing power parity: an empirical study of three EMU countries
Duarte, António Portugal - EconWPA - 2005
We apply Purchasing Power Parity (PPP) theory to the analysis of long- run equilibrium in the foreign exchange market. We study the case of Portugal vis-à-vis Germany and Spain, and the case of Spain vis-à-vis Germany, in the period 1960-1990. The empirical analysis was based on unit-root...
Persistent link: https://www.econbiz.de/10005408164
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Investigating Non-Linearities in the Relationship Between Real Exchange Rate Volatility and Trade
Bonroy, Olivier; Gervais, Jean-Philippe; Larue, Bruno - EconWPA - 2005
-taking primary producers is developed to show that an increase in the volatility of the export price generally increases exports …- linearities in the relationship between exports and export price volatility. This relationship is empirically investigated using … for empirical bilateral export equations for Canadian pork exports to the U.S. and Japan. The empirical investigation …
Persistent link: https://www.econbiz.de/10005125505
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Overshooting and Exchange Rate Disconnect Puzzle: A Reappraisal
Hairault, Jean-Olivier; Patureau, Lise; Sopraseuth, … - EconWPA - 2004
Transitions to floating exchange rate regimes have led to sharp increases in exchange rate volatilities with no corresponding changes in the distribution of macroeconomic fundamentals. In the spirit of Dornbusch (1976), we assess whether nominal exchange rate overshooting is responsible for this...
Persistent link: https://www.econbiz.de/10005076695
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Managerial and Customer Costs of Price Adjustment: Direct Evidence from Industrial Markets
Zbaracki, Mark; Ritson, Mark; Levy, Daniel; Dutta, Shantanu - EconWPA - 2004
We study the price adjustment practices and provide quantitative measurement of the managerial and customer costs of price adjustment using data from a large U.S. industrial manufacturer and its customers. We find that price adjustment costs are a much more complex construct than the existing...
Persistent link: https://www.econbiz.de/10005076839
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The Equilibrium Exchange Rate in a Bayesian State-Space Model: An Application to Australia
Melecky, Martin - EconWPA - 2005
The equilibrium exchange rate is a closely scrutinized variable in international finance and monetary economics. A model to estimate an equilibrium exchange rate is proposed in this paper. It consists of several building blocks: a state-space structure, uncovered interest parity and the...
Persistent link: https://www.econbiz.de/10005124946
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Explaining the Real Exchange Rate during Sudden Stops and Tranquil Periods
Terada-hagiwara, Akiko - EconWPA - 2005
This paper untangles the causes behind real exchange rate devaluation events with particular attention paid to the Sudden Stop of capital flows. By utilizing cumulative impulse response function and variance decomposition analysis, we argue that there is the asymmetric response across Sudden...
Persistent link: https://www.econbiz.de/10005125513
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Impact du fardeau virtuel de la dette sur le taux de change réel d'équilibre des pays en développement
XSENE, Babacar - EconWPA - 2005
The main objective of this paper is to study the relationship between external public debt and equilibrium real exchange rate in developing countries. Using a extension of Obstfeld & Rogoff (1995) model we show that debt overhang tend to appreciate real exchange rate in the long run (Krugman...
Persistent link: https://www.econbiz.de/10005126240
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Bilaterial equilibrium exchange rates of EU accession countries against the euro
Rahn, Jörg - EconWPA - 2004
We apply BEER and PEER approaches to calculate real equilibrium exchange rates for five EU accession countries in central and east Europe. Bilateral nominal equilibrium exchange rates against the euro are obtained through algebraic transformation of the results. Panel cointegration techniques...
Persistent link: https://www.econbiz.de/10005126284