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

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

aggregate exports. An important and related variable, the RER misalignment, has been hitherto omitted from the analysis. Yet … first attempt, using both the theoretical and the empirical models, to examine the impacts of the RER misalignment on China … a reduction in the RER misalignment. Using the SUR methodology coupled with the disaggregate panel data, we able to …

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

Modeling Equilibrium Real Exchange Rates

Soto, Raimundo; Elbadawi, Ibrahim - Econometric Society - 2004

how to quantify the likely impact of misalignment on exports and long-run economic growth. Despite the substantial number … methodology to modeling the misalignment of the RER to overcome the problem of scaling arising for estimated cointegration models … and compute confidence intervals for the misalignment, allowing for flexible (as opposed to the standard fixed) speed of …

Persistent link: https://www.econbiz.de/10005129778

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

Granger Causality Among Pre-Crisis East Asian Exchange Rates

ALBA, Joseph D.; PARK, Donghyun - Econometric Society - 2004

We examine Granger causality among the exchange rates of eight East Asian economies prior to the Asian crisis. We adopt as our general model Engle and Gauâ€™s (1997) â€œofficial bandâ€ model, and use daily bilateral US dollar exchange rate data during January 1991-July 1997. Our...

Persistent link: https://www.econbiz.de/10005063758

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

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 the other hand, the recent “microstruc-ture approach to exchange rates” has shown that most exchange rate volatility at short to medium horizons is related to order flows....

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

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

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

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

Contagion of Currency Crises across Unrelated Countries without Common Lender

Taketa, Kenshi - Econometric Society - 2004

I construct a micro-model to show that a currency crisis can spread from one country to another even when these countries are unrelated in terms of economic fundamentals and there is no capital linkage across countries through a common lender or an interbank market. The key to explaining...

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