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Can Oil Prices Forecast Exchange Rates?
Ferraro, Domenico; Rogoff, Kenneth; Rossi, Barbara - C.E.P.R. Discussion Papers - 2011
This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find little systematic relation between oil prices and the exchange rate at the monthly and quarterly...
Persistent link: https://www.econbiz.de/10009359490
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An Economic Evaluation of Empirical Exchange Rate Models
Della Corte, Pasquale; Sarno, Lucio; Tsiakas, Ilias - C.E.P.R. Discussion Papers - 2007
This paper provides a comprehensive evaluation of the short-horizon predictive ability of economic fundamentals and forward premia on monthly exchange rate returns in a framework that allows for volatility timing. We implement Bayesian methods for estimation and ranking of a set of empirical...
Persistent link: https://www.econbiz.de/10005123849
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The Valuation Channel of International Adjustment
Ghironi, Fabio; Lee, Jaewoo; Rebucci, Alessandro - C.E.P.R. Discussion Papers - 2015
position through the “valuation channel” of external adjustment, namely capital gains and losses on the country’s external … assets and liabilities. We examine this valuation channel theoretically in a dynamic equilibrium portfolio model with … quantities in the definition of net foreign assets, we can characterize the first-order dynamics of both valuation effects and …
Persistent link: https://www.econbiz.de/10011266533
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Asset Prices, Exchange Rates and the Current Account
Fratzscher, Marcel; Juvenal, Luciana; Sarno, Lucio - C.E.P.R. Discussion Papers - 2009
This paper analyses the role of asset prices in comparison to other factors, in particular exchange rates, as a driver of the US trade balance. It employs a Bayesian structural VAR model that requires imposing only a minimum of economically meaningful sign restrictions. We find that equity...
Persistent link: https://www.econbiz.de/10008502576
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Is There a Safe Passage to EMU? Evidence on Capital Controls and a Proposal
Eichengreen, Barry; Rose, Andrew K; Wyplosz, Charles - C.E.P.R. Discussion Papers - 1994
This paper provides evidence on the effects of capital controls. We show that controls have been associated with significant differences in macroeconomic behaviour, especially in monetary policy. While they have not prevented speculative attacks, they have provided the breathing space needed to...
Persistent link: https://www.econbiz.de/10005067603
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Why Have a Target Zone?
Krugman, Paul; Miller, Marcus - C.E.P.R. Discussion Papers - 1992
The desire to avoid speculative runs on currencies appears to be one of the main reasons leading policy-makers to impose currency bands, but the standard analysis of target zones rules out any speculative inefficiencies by assumption. As an alternative we first present simple models of excess...
Persistent link: https://www.econbiz.de/10005792196
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The Long or Short of it: Determinants of Foreign Currency Exposure in External Balance Sheets
Lane, Philip R.; Shambaugh, Jay C - C.E.P.R. Discussion Papers - 2008
Recently, there have been numerous advances in modelling optimal international portfolio allocations in macroeconomic models. A major focus of this literature has been on the role of currency movements in determining portfolio returns that may hedge various macroeconomic shocks. However, there...
Persistent link: https://www.econbiz.de/10005661478
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Exchange Rate Dynamics and Financial Market Integration
Sutherland, Alan - C.E.P.R. Discussion Papers - 1996
Imperfect capital mobility is modelled in a two-country intertemporal general equilibrium framework by assuming that agents face costs of adjusting asset stocks in foreign asset markets. Goods markets are imperfectly competitive and goods prices are subject to sluggish adjustment. Simulation...
Persistent link: https://www.econbiz.de/10005661798
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Where Did All The Borrowing Go? A Forensic Analysis of the U.S. External Position
Lane, Philip R.; Milesi-Ferretti, Gian Maria - C.E.P.R. Discussion Papers - 2008
The deterioration in the U.S. net external position in recent years has been much smaller than the extensive net borrowing associated with large current account deficits would have suggested. This paper examines the sources of discrepancies between net borrowing and accumulation of net...
Persistent link: https://www.econbiz.de/10005656142
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Valuation Effects and the Dynamics of Net External Assets
Devereux, Michael B; Sutherland, Alan - C.E.P.R. Discussion Papers - 2009
. Using gross asset and liability positions at the country level, a number of 'valuation effects' have been identified which … portfolio allocation in general equilibrium to investigate valuation effects in a two-country model. The model can be used to … analyze both qualitatively and quantitatively the role of valuation effects. Broadly speaking, the valuation effects in the …
Persistent link: https://www.econbiz.de/10005792271