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The Real Exchange Rate in the Long Run: Balassa-Samuelson Effects Reconsidered

Bordo, Michael D.; Choudhri, Ehsan U.; Fazio, Giorgio; … - 2014

Historical data for over hundred years and 14 countries is used to estimate the long-run effect of productivity on the … real exchange rate. We find large variations in the productivity effect across four distinct monetary regimes in the sample … argue that changes in trade costs over time may affect the impact of productivity on the real exchange rate over time. We …

Persistent link: https://www.econbiz.de/10010398573

Exchange Rate and Inflation Under Weak Monetary Policy : Turkey Verifies Theory

Gürkaynak, Refet S.; Kısacıkoğlu, Burçin; Lee, … - 2022

For the academic audience, this paper presents the outcome of a well-identified, large change in the monetary policy rule from the lens of a standard New Keynesian model and asks whether the model properly captures the effects. For policymakers, it presents a cautionary tale of the dismal...

Persistent link: https://www.econbiz.de/10014083478

Vehicle Currency Pricing and Exchange Rate Pass-Through

Chen, Natalie - 2019

Using detailed firm-level transactions data for UK imports, we find that invoicing in a vehicle currency is pervasive, with more than half of transactions in our sample invoiced in neither sterling nor the exporterâ€™s currency. We then study the relationship between invoicing currency...

Persistent link: https://www.econbiz.de/10012867016

Nonlinearities in the Exchange Rate Pass-Through : The Role of Inflation Expectations

Anderl, Christina; Caporale, Guglielmo Maria - 2022

This paper investigates nonlinearities in the exchange rate pass-through (ERPT) to consumer and import prices by estimating a smooth transition regression model with different inflation expectations regimes for five inflation targeting countries (the UK, Canada, Australia, New Zealand and...

Persistent link: https://www.econbiz.de/10013306953

Terms of trade, catch-up, and home market effect: the example of Japan

Urban, Dieter M. - 2007

interdependencies between the terms of trade and economic growth are offered: the home market effect and the productivity shock effect …

Persistent link: https://www.econbiz.de/10010264264

Fundamental and non-fundamental equilibria in the foreign exchange market : a behavioural finance framework

De Grauwe, Paul; Dieci, Roberto; Grimaldi, Marianna - 2005

We develop a simple model of the exchange rate in which agents optimize their portfolio and use different forecasting rules. They check the profitability of these rules ex post and select the more profitable one. This model produces two kinds of equilibria, a fundamental and a bubble one. In a...

Persistent link: https://www.econbiz.de/10010261158

Oil Prices, Exchange Rates and Interest Rates

Kilian, Lutz - 2019

There has been much interest in the relationship between the price of crude oil, the value of the U.S. dollar, and the U.S. interest rate since the 1980s. For example, the sustained surge in the real price of oil in the 2000s is often attributed to the declining real value of the U.S. dollar as...

Persistent link: https://www.econbiz.de/10012892101

A Jackknife Model Averaging Analysis of RMB Misalignment Estimates

Cheung, Yin-Wong - 2019

We adopt the Jackknife Model Averaging (JMA) technique to conduct a meta-regression analysis of 925 renminbi (RMB) misalignment estimates generated by 69 studies. The JMA method accounts for model selection and sampling uncertainties, and allows for non-nested model specifications and...

Persistent link: https://www.econbiz.de/10012861432

A Role Model for China? Exchange Rate Flexibility and Monetary Policy in Japan

Schnabl, Gunther; Danne, Christian - 2021

Few papers have tried to project how Chinese monetary policy will behave under flexible exchange rates. As Japan provides an important role model for China, this paper studies the role of the yen/dollar exchange rate for Japanese monetary policy after the shift of Japan from a fixed to a...

Persistent link: https://www.econbiz.de/10013316946

Are Entrepreneurs Aware of Covered Interest Parity and Dollar Shortage?

Nariman, Farhad; Heshmati, Almas - 2022

The purpose of this study is demonstrating why entrepreneurs should monitor the broad dollar index. This paper explains the reason why the broad dollar index has become a risk (leverage) gauge since 2008 using the Covered Interest Parity (CIP). CIP can be viewed as a reflection of the shadow...

Persistent link: https://www.econbiz.de/10013406442