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Threshold adjustment in deviations from the law of one price

Juvenal, Luciana; Taylor, Mark P. - Federal Reserve Bank of St. Louis - 2008

Using self-exciting threshold autoregressive models, we explore the validity of the law of one price (LOOP) for sixteen sectors in nine European countries. We and strong evidence of nonlinear mean reversion in deviations from the LOOP and highlight the importance of modelling the real exchange...

Persistent link: https://www.econbiz.de/10005352844

Local price variation and labor supply behavior

Black, Dan; Kolesnikova, Natalia; Taylor, Lowell J. - Federal Reserve Bank of St. Louis - 2008

In standard economic theory, labor supply decisions depend on the complete set of prices: the wage and the prices of … relevant consumption goods. Nonetheless, most of theoretical and empirical work ignores prices other than wages when studying …

Persistent link: https://www.econbiz.de/10005707797

Target zones and conditional volatility: the role of realignments

Neely, Christopher J. - Federal Reserve Bank of St. Louis - 1998

This paper examines the relationship between the conditional volatility of target zone exchange rates and realignments of the system. To investigate this question, modified jump diffusion Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and absolute value GARCH models are fit to...

Persistent link: https://www.econbiz.de/10005360538

Monetary policy and the determination of the interest rate and exchange rate in a small open economy with increasing capital mobility

Ahn, Byung Chan - Federal Reserve Bank of St. Louis - 1994

This paper presents a general model of the determination of the interest rate and the exchange rate which is relevant for a small economy with any degree of capital mobility. The model is tested by using the quarterly data of Korea and Singapore. The emperical results show that in the Korean...

Persistent link: https://www.econbiz.de/10005360575

Sources of exchange rate fluctuations: are they real or nominal?

Juvenal, Luciana - Federal Reserve Bank of St. Louis - 2009

I analyze the role of real and monetary shocks on the exchange rate behavior using a structural vector autoregressive model of the US vis-à-vis the rest of the world. The shocks are identified using sign restrictions on the responses of the variables to orthogonal disturbances. These...

Persistent link: https://www.econbiz.de/10005077871

Endogenous realignments and the sustainability of a target

Corbae, Dean; Neely, Chris; Weller, Paul - Federal Reserve Bank of St. Louis - 1998

We examine the effects of endogenously determined realignment expectations in a model of a target zone with sluggish price adjustment. We allow these expectations to be based on a policy rule that generates an increasing probability of realignment as output moves away from full employment. We...

Persistent link: https://www.econbiz.de/10005352752

Relative price risk in the open economy-the case of fixed exchange rates

Hagen, Jurgen von; Neumann, Manfred J.M. - Federal Reserve Bank of St. Louis - 1987

The impact of aggregate nominal and real shocks on the variance of relative prices is studied in the case of an open … first part of the paper it is shown that the limited information problem causes an excess variance of relative prices … second part of the paper compares fixed and flexible exchange rate regimes under a variance of relative prices criterion …

Persistent link: https://www.econbiz.de/10005352772

Currency appreciation and "deindustrialization": a European perspective

Tatom, John A. - Federal Reserve Bank of St. Louis - 1994

During the 1980s, policy advisers were successful in promoting the view that movements in the value of the dollar have an inverse relationship to U.S. international competitiveness. This article explains their hypothesis, as well as the counterargument that exchange rates positively reflect a...

Persistent link: https://www.econbiz.de/10005352779

Will a weaker dollar mean a stronger economy?

Tatom, Jack A. - Federal Reserve Bank of St. Louis - 1987

Persistent link: https://www.econbiz.de/10005352784

How well do monetary fundamentals forecast exchange rates?

Neely, Christopher J.; Sarno, Lucio - Federal Reserve Bank of St. Louis - 2002

For many years after the seminal work of the Meese and Rogoff (1983a), conventional wisdom held that exchange rates could not be forecast from monetary fundamentals. Monetary models of exchange rate determination were generally unable to beat even a naive no-change model in out-of-sample...

Persistent link: https://www.econbiz.de/10005352793