Showing 1 - 10 of 18
The central puzzle in international business cycles is that fluctuations in real exchange rates are volatile and …
Persistent link: https://www.econbiz.de/10005367679
This paper studies the empirical performance of stochastic volatility models for twenty years of weekly exchange rate data. We concentrate on the effects of the distribution of the exchange rate innovations for parameter estimates and for estimates of the latent volatility series. We approximate...
Persistent link: https://www.econbiz.de/10005372785
This paper shows that some key stylized facts of exchange-rate-based stabilization plans can be explained by the uncertain duration of the plans themselves. Uncertain duration is modeled to reflect evidence showing that devaluation probabilities are higher when the plans are introduced and...
Persistent link: https://www.econbiz.de/10005372855
Monetary policy instruments differ in tightness - how closely they are linked to inflation - and transparency - how easily they can be monitored. Tightness is always desirable in a monetary policy instrument; when is transparency? When a government cannot commit to follow a given policy. We...
Persistent link: https://www.econbiz.de/10004993844
to monitor. We find that the greater transparency of the exchange rate regime makes it easier to provide the central bank …
Persistent link: https://www.econbiz.de/10005726745
This paper studies the relation between the United States? bilateral real exchange rate and the associated bilateral relative price of nontraded goods for five of its most important trade relationships. Traditional theory attributes fluctuations in real exchange rates to changes in the relative...
Persistent link: https://www.econbiz.de/10005712333
This paper presents a two-country overlapping generations model in which financial intermediation arises endogenously as an incentive-compatible means of economizing on monitoring costs. Because of the existence of transactions costs, money markets in the two countries are segmented and...
Persistent link: https://www.econbiz.de/10005498474
In this study we contrast fixed and floating exchange rate regimes in a dynamic general equilibrium model. We find that the fundamental difference in the regimes is in the courses they imply for monetary policies. Because of policy coordination requirements, a tighter monetary policy needed to...
Persistent link: https://www.econbiz.de/10005498489
The conventional wisdom is that monetary shocks interact with sticky goods prices to generate the observed volatility and persistence in real exchange rates. We investigate this conventional wisdom in a quantitative model with sticky prices. We find that with preferences as in the real business...
Persistent link: https://www.econbiz.de/10005498563
In this paper we develop a computable general equilibrium economy that models the banking sector explicitly. Banks intermediate between households and between the household sector and the government sector. Households borrow from banks to finance their purchases of houses and they lend to banks...
Persistent link: https://www.econbiz.de/10005367711