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Exchange Rate Shocks and Inflation Comovement in the Euro Area

Leiva‐Leon, Danilo - 2020

This paper decomposes the time-varying effect of exogenous exchange rate shocks on euro area countries inflation into … quarters of the past six years, especially in turning point periods. Our main results indicate that headline inflation in euro … inflation this increasing sensitivity is solely reliant on a sustained surge in the degree of comovement, for energy inflation …

Persistent link: https://www.econbiz.de/10012838756

E pluribus plures: Shock dependency of the USD pass-through to real and financial variables

Ferrari, Massimo Minesso; Gräb, Johannes - 2022

This paper quantifies the pass-through of a US dollar appreciation on trade variables and domestic financial conditions in a panel of 34 countries. Pass-through coefficients are highly shock-dependent: if the appreciation is driven by a US expansionary shock, the positive effects of stronger...

Persistent link: https://www.econbiz.de/10014278393

Exchange Rate Misalignment Estimates – Sources of Differences

Cheung, Yin-Wong - 2011

We study the differences in currency misalignment estimates obtained from alternative datasets derived from two International Comparison Program (ICP) surveys. A decomposition exercise reveals that the year 2005 misalignment estimates are substantially affected by the ICP price revision....

Persistent link: https://www.econbiz.de/10013119692

Exchange Rate Misalignments : A Comparison of China Today Against Recent Historical Experiences of Japan, Germany, Singapore and Taiwan

He, Xinhua - 2011

propagating inflation in the home economy …

Persistent link: https://www.econbiz.de/10013121272

The Predictive Power of Equilibrium Exchange Rate Models

Ca' Zorzi, Michele - 2020

In this paper we evaluate the predictive power of the three most popular equilibrium exchange rate concepts: Purchasing Power Parity (PPP), Behavioral Equilibrium Exchange Rate (BEER) and the Macroeconomic Balance (MB) approach. We show that there is a clear trade-off between storytelling and...

Persistent link: https://www.econbiz.de/10012844460

Modelling Ireland's Exchange Rates : From EMS to EMU

Bond, Derek - 2007

This paper attempts to model the nominal and real exchange rate for Ireland, relative to Germany and the UK from 1975 to 2003. It offers an overview of the theory of purchasing power parity (Ppp), focusing particularly on likely sources of nonlinearity. Potential difficulties in placing the...

Persistent link: https://www.econbiz.de/10012775859

The Exchange Rate, Asymmetric Shocks and Asymmetric Distributions

Demian, Vlad - 2015

double in size when the country and sector specific firm productivity distribution is taken into account in empirical …

Persistent link: https://www.econbiz.de/10013020655

Exchange Rate Forecasting on a Napkin

Ca' Zorzi, Michele - 2018

This paper shows that there are two regularities in foreign exchange markets in advanced countries with flexible regimes. First, real exchange rates are mean-reverting, as implied by the Purchasing Power Parity model. Second, the adjustment takes place via nominal exchange rates. These features...

Persistent link: https://www.econbiz.de/10012918409

Corporate Investment and the Exchange Rate : The Financial Channel

Banerjee, Ryan; Hofmann, Boris; Mehrotra, Aaron N. - 2021

Using firm-level data for 18 major global economies, we find that the exchange rate affects corporate investment through a financial channel: exchange rate depreciation dampens corporate investment through firm leverage and FX debt. These findings are consistent with the predictions of a...

Persistent link: https://www.econbiz.de/10013250472

Exchange Rate Fluctuations and the Financial Channel in Emerging Economies

Beckmann, Joscha; Comunale, Mariarosaria - 2021

This paper assesses the financial channel of exchange rate fluctuations for emerging countries and the link to the conventional trade channel. We analyze whether the effective exchange rate affects GDP growth, the domestic credit and the global liquidity measure as the credit in foreign...

Persistent link: https://www.econbiz.de/10013214255