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Forecasting Exchange Rates and Relative Prices with the Hamburger Standard : Is What You Want What You Get With McParity?

Cumby, Robert E. - 1996

A decade ago the Economist began an annual survey of Big Mac prices as a guide to whether currencies are trading at the right exchange rates. This paper asks how well the hamburger standard has performed. Although average deviations from absolute Big Mac parity are large for several currencies,...

Persistent link: https://www.econbiz.de/10012473167

Currency Crashes in Emerging Markets : Empirical Indicators

Frankel, Jeffrey A. - 1996

We use a panel of annual data for over one hundred developing countries from 1971 through 1992 to characterize currency crashes. We define a currency crash as a large change of the nominal exchange rate that is also a substantial increase in the rate of change of nominal depreciation. We examine...

Persistent link: https://www.econbiz.de/10012473427

Collapsing Exchange Rate Regimes : Another Linear Example

Flood, Robert P. - 1995

In the literature on speculative attacks on a fixed exchange rate, it is usually assumed that the monetary authority responsible for fixing the exchange rate reacts passively to the monetary disruption caused by the attack. This assumption is grossly at odds with actual experience where...

Persistent link: https://www.econbiz.de/10012473552

Fixes : Of The Forward Discount Puzzle

Flood, Robert P. - 1994

Regressions of ex post changes in floating exchange rates on appropriate interest differentials typically imply that the high- interest rate currency tends to appreciate, the `forward discount puzzle.' Using data from the European Monetary System, we find that a large part of the forward...

Persistent link: https://www.econbiz.de/10012473976

Fixing Exchange Rates : A Virtual Quest for Fundamentals

Flood, Robert P. - 1993

Fixed exchange rates are less volatile than floating rates. But the volatility of macroeconomic variables such as money and output does not change very much across exchange rate regimes. This suggests that exchange rate models based only on macroeconomic fundamentals are unlikely to be very...

Persistent link: https://www.econbiz.de/10012474442

An Empirical Exploration of Exchange Rate Target-Zones

Flood, Robert P. - 1990

In the context of a flexible-price monetary exchange rate model and the assumption of uncovered interest parity, we obtain a measure of the fundamental determinant of exchange rates. Daily data for the European Monetary System are used to explore the importance of non-linearities in the...

Persistent link: https://www.econbiz.de/10012475458

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

Frankel, Jeffrey A. - 1990

The paper presents new empirical results that elucidate the dynamics of the foreign exchange market. The first half of the paper is an updated study of the exchange rate expectations held by market participants, as reflected in responses to surveys, and contains the following conclusions. First,...

Persistent link: https://www.econbiz.de/10012475557

The Linkage Between Speculative Attack and Target Zone Models of Exchange Rates

Flood, Robert P. - 1989

-sized interventions in defense of the zone. The main contributions of these pages consist of linking the recent developments in the theory … of target zones to the mirror-image theory of speculative attacks on asset price fixing regimes and in using aspects of …

Persistent link: https://www.econbiz.de/10012476135

Exchange Rate Dynamics Under Stochastic Regime Shifts : A Unified Approach

Froot, Kenneth A. - 1989

Techniques of regulated Brownian motion are used to analyze the behavior of the exchange rate when official policy reaction functions are subject to future stochastic changes. We examine exchange-rate dynamics in alternative cases where the authorities promise (i) to confine a floating rate...

Persistent link: https://www.econbiz.de/10012476221

The Flexible Exchange Rate System : Experience and Alternatives

Dornbusch, Rudiger - 1987

the system was supposed to have in theory. We conclude that the foreign exchange market is characterized by high … from the equilibrium level dictated by fundamentals, contrary to theory. We then look at ten proposed alternatives to the …, McKinnon "world monetarism," and a "Hosomi Fund." Two propose enhanced independence: a "Tobin tax" on transactions, and a dual …

Persistent link: https://www.econbiz.de/10012476603