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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
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Monetary Policy and the Predictability of Nominal Exchange Rates
Eichenbaum, Martin - 2017
This paper studies how the monetary policy regime affects the relative importance of nominal exchange rates and inflation rates in shaping the response of real exchange rates to shocks. We document two facts about countries with floating exchange rates where monetary policy controls inflation...
Persistent link: https://www.econbiz.de/10012455523
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Relative Prices, Employment, and the Exchange Rate in an Economy with Foresight
Obstfeld, Maurice - 1981
This paper studies the effects of monetary policy in a small, open economy with a floating exchange rate, sticky wages, and rational expectations in both the asset and labor markets. The model developed emphasizes the link between exchange-rate depreciation and nominal wage inflation, embodying...
Persistent link: https://www.econbiz.de/10012478433
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The Adjustment of Prices and the Adjustment of the Exchange Rate
Engel, Charles - 2001
The purchasing power parity puzzle relates to the adjustment of real exchange rates. Real exchange rates are extremely volatile, suggesting that temporary shocks emanate from the monetary sector. But the half-life of real exchange rate deviations is extremely large -- 2.5 to 5 years. This...
Persistent link: https://www.econbiz.de/10012470168
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Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data
Choi, Chi-Young - 2004
deviations from panel data. They are the bias associated with inapproiate aggregation across heterogeneous coefficients, time … aggregation of commodity prices, and downward bias in estimation of dynamic lag coefficients. Each of these biases have been … annual panel data set of real exchange rates for 21 OECD countries from 1948 to 2002, our point estimate of the half-life is …
Persistent link: https://www.econbiz.de/10012468077
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Modeling and Forecasting Realized Volatility
Andersen, Torben G. - 2001
and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic …
Persistent link: https://www.econbiz.de/10012470566
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The Predictive Ability of Several Models of Exchange Rate Volatility
West, Kenneth D. - 1994
We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and nonparametric models for conditional variances, using five bilateral weekly exchange rates for the dollar, 1973-1989. For a one week horizon, GARCH models tend to make slightly more...
Persistent link: https://www.econbiz.de/10012474328
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The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates : Correcting the Errors
Clarida, Richard H. - 1993
We present theory and evidence that challenges the view that forward premia contain little information regarding …
Persistent link: https://www.econbiz.de/10012474508
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Can the Markov Switching Model Forecast Exchange Rates?
Engel, Charles - 1992
A Markov-switching model is fit for eighteen exchange rates at quarterly and monthly frequencies. This model fits well in-sample at the quarterly frequency for many exchange rates. By the mean-squared-error or mean-absolute-error criterion. the Markov model does not generate superior forecasts...
Persistent link: https://www.econbiz.de/10012474755
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Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets
Froot, Kenneth A. - 1987
Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...
Persistent link: https://www.econbiz.de/10012476706