Similar Search Results

Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?

Wincoop, Eric van; Bacchetta, Philippe - Econometric Society - 2004

Empirical evidence shows that macroeconomic fundamentals have little explana-tory power for nominal exchange rates. On … determination. There are two types of heterogeneity: dispersed information about fundamentals and non-fundamentals based … the im-pact of non-fundamentals trade on the exchange rate, both resulting from rational confusion about the source of …

Persistent link: https://www.econbiz.de/10005328945

Exchange rates, equity returns and capital flows

Rey, Helene; Hau, Harald - Econometric Society - 2004

We develop an equilibrium model in which exchange rates, stock prices and capital flows are jointly determined under incomplete forex risk trading. Incomplete hedging of forex risk, documented for U.S. global mutual funds, has three important implications: 1) exchange rates are almost as...

Persistent link: https://www.econbiz.de/10005329018

MONETARY EXCHANGE RATE MODEL REVISITED: COINTEGRATION AND FORECASTING IN HETEROGENEOUS PANEL DATA

BUTT, MUHAMMAD S.; IQBAL, AZHAR; AHMAD, NUZHAT - Econometric Society - 2004

ABSTRACT This study re-examines the exchange rate-monetary fundamentals link with in a panel data framework. Pure time … fundamentals in a quarterly panel of 19 countries mostly from developed region extending from 1973.1 to 1997.1. Present analysis … Johansen and Juselius (1994). The last issue is to examine the ability for monetary fundamentals to forecast future exchange …

Persistent link: https://www.econbiz.de/10005086422

Why does not capital frlow from rich to poor countries? An Empirical investigation

Alfaro, Laura; Kalemli-Ozcan, Sebnem - Econometric Society - 2004

fundamentals affecting the production structure versus international capital market imperfections. Our cross-country regressions …

Persistent link: https://www.econbiz.de/10005342232

How Does the Monetary Model of Exchange Rate Determination Look When It Really Works?

Garces-Diaz, Daniel - Econometric Society - 2004

This paper shows that the Mexican experience from 1945 to 2002 is, like the German hyperinflation period, a unique monetary ``natural experiment,'' where fundamental relationships, like money demand, PPP and the monetary model of exchange rate determination can be analyzed with unparalleled...

Persistent link: https://www.econbiz.de/10005328935

A New Micro Model of Exchange Rate Dynamics

Lyons, Rich; Evans, Martin - Econometric Society - 2004

We present a new class of general equilibrium model to study exchange rate dynamics. Our model synthesizes the new micro and macro approaches by incorporating the micro foundations of asset market trading into a dynamic, two country general equilibrium setting. We use the model to study how...

Persistent link: https://www.econbiz.de/10005328961

Asset Prices and Exchange Rates

Rigobon, Roberto; Pavlova, Anna - Econometric Society - 2004

This paper develops a simple two-country, two-good model, in which the real exchange rate, stock and bond prices are jointly determined. The model predicts that stock market prices are correlated internationally even though their dividend processes are independent, providing a theoretical...

Persistent link: https://www.econbiz.de/10005329015

Purchasing Power Parity Hypothesis in Developing Economies: Some Empirical Evidence from Sri Lanka

Wickremasinghe, Guneratne B - Econometric Society - 2004

The purchasing power parity (PPP) hypothesis has attracted a lot of attention from academics and policy-makers particularly, during the recent float. Most previous studies used data from the developed world. This study examines the validity of the PPP hypothesis using data during the recent...

Persistent link: https://www.econbiz.de/10005342149

Impacts of Real exchange Rate Volatility and Real Exchange Rate Misalignment on China

Guangzhong, Li; Voon, Jan P - Econometric Society - 2004

Previous analytical models focused on the effects of the real exchange rate (RER) and the RER volatility on Chinese aggregate exports. An important and related variable, the RER misalignment, has been hitherto omitted from the analysis. Yet this has been an issue of paramount importance facing...

Persistent link: https://www.econbiz.de/10005342171

Contagion of Currency Crises across Unrelated Countries without Common Lender

Taketa, Kenshi - Econometric Society - 2004

countries are unrelated in terms of economic fundamentals and there is no capital linkage across countries through a common … that the crisis with better economic fundamentals can be more contagious than that with worse economic fundamentals; this … latter does not. Even if country B does not suffer from a contagious crisis due to bad economic fundamentals from country A …

Persistent link: https://www.econbiz.de/10005342330