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The Impact of Market Regulations on Intra-European Real Exchange Rates

Bénassy-Quéré, Agnès; COULIBALY, Dramane - HAL - 2013

We study the contribution of market regulations in the dynamics of the real exchange rate within the European Union. Based on a model proposed by De Gregorio et al. (1994a), we show that both product market regulations in nontradable sectors and employment protection tend to inflate the real...

Persistent link: https://www.econbiz.de/10010775870

The Impact of Market Regulations on Intra-European Real Exchange Rates

Bénassy-Quéré, Agnès; Coulibaly, Dramane - HAL - 2013

We study the contribution of market regulations in the dynamics of the real exchange rate within the European Union. Based on a model proposed by De Gregorio et al. (1994a), we show that both product market regulations in montradable sectors and employment protection tend to inflate the real...

Persistent link: https://www.econbiz.de/10010775929

The Impact of Market Regulations on Intra-European Real Exchange Rates

Bénassy-Quéré, Agnès; COULIBALY, Dramane - HAL - 2014

Persistent link: https://www.econbiz.de/10011025937

The Impact of Market Regulations on Intra-European Real Exchange Rates

Bénassy-Quéré, Agnès; Coulibaly, Dramane - HAL - 2013

We study the contribution of market regulations in the dynamics of the real exchange rate within the European Union. Based on a model proposed by De Gregorio et al. (1994a), we show that both product market regulations in montradable sectors and employment protection tend to inflate the real...

Persistent link: https://www.econbiz.de/10010635250

Temporal Dimension and Equilibrium Exchange Rate: a FEER / BEER Comparison

Lòpez-Villavicencio, Antonia; Mazier, Jacques; … - HAL - 2012

We analyze, in a unified theoretical framework, the two main models for equilibrium exchange rate, namely, the BEER and … these two measures. Our results show that, in average, the BEER and the FEER are closely related. Yet, important differences … real effective exchange rate, and so, between the FEER and the BEER. Our analysis puts forward the structural changes in …

Persistent link: https://www.econbiz.de/10009645460

On the inclusion of the Chinese renminbi in the SDR basket

Bénassy-Quéré, Agnès; Capelle, Damien - HAL - 2012

We study the impact of a broadening of the SDR basket to the Chinese currency on the composition and volatility of the basket. Although, in the past, RMB inclusion would have had negligible impact due to its limited weight, a much more significant impact can be expected in the next decades, and...

Persistent link: https://www.econbiz.de/10011025822

Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model

Bec, Frédérique; Bensalem, Mélika; Carrasco, Marine - HAL - 2010

Recent studies on general equilibrium models with transaction costs show that the dynamics of the real exchange rate are necessarily nonlinear. Our contribution to the literature on nonlinear price adjustment mechanisms is threefold. First, we model the real exchange rate by a Multi-Regime...

Persistent link: https://www.econbiz.de/10010899153

Forecasting exchange rates better than the random walk thanks to machine learning techniques

Amat, Christophe; Michalski, Tomasz; Stoltz, Gilles - HAL - 2014

Using methods from machine learning - adaptive sequential ridge regression with discount factors - that prevent overfitting in-sample for better and more stable forecasting performance out-of-sample we show that fundamentals from the PPP, UIRP and monetary models consistently improve the...

Persistent link: https://www.econbiz.de/10010899931

Are Southeast Asian Real Exchange Rates Mean Reverting?

Bec, Frédérique; Zeng, Songlin - HAL - 2012

Since the late nineties, both theoretical and empirical analysis devoted to the real exchange rate suggest that their dynamics might be well approximated by nonlinear models. This paper examines this possibility for post-1970 monthly ASEAN-5 data, extending the existing research in two...

Persistent link: https://www.econbiz.de/10010540567

Equilibrium on International Assets and Goods Markets

Fontaine, Patrice; Van, Cuong Le - HAL - 2010

Most of the international asset pricing models are developed in the situation where purchasing power parity (PPP) is not respected. Investors of different countries do not agree on expected security returns. However, in this case, an equilibrium on the international assets market may exist but...

Persistent link: https://www.econbiz.de/10010603675