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Exchange Rate Parities and Taylor Rule Deviations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper investigates the PPP and UIP conditions by taking into account possible nonlinearities as well as the role of Taylor rule deviations under alternative monetary policy frameworks. The analysis is conducted using monthly data from January 1993 to December 2020 for five...
Persistent link: https://www.econbiz.de/10013236279
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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
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Exchange Rates and Consumer Prices : Evidence from Brexit
Breinlich, Holger - 2020
This paper studies how the depreciation of sterling following the Brexit referendum affected consumer prices in the United Kingdom. Our identification strategy uses input-output linkages to account for heterogeneity in exposure to import costs across product groups. We show that, after the...
Persistent link: https://www.econbiz.de/10012844422
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An Equilibrium Theory of Nominal Exchange Rates
Hagedorn, Marcus - 2021
This paper proposes an equilibrium theory of nominal exchange rates, which offers a new perspective on various issues … features of this theory are that the nominal exchange rate is determined in international financial markets, that the risk … from the nominal exchange rate. In terms of policy, this novel theory implies that a country with an exchange rate peg and …
Persistent link: https://www.econbiz.de/10013212261
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The Impacts of the Dollar-Renminbi Exchange Rate Misalignment on the China-United States Commodity Trade : An Asymmetric Analysis
Ferjani, Sabrine; Saafi, Sami; Nouira, Ridha; Rault, … - 2022
Contrary to most existing studies of the literature that assumed that the effects of real exchange rate (RE) misalignment on trade flows are symmetric, this paper considers a more general and realistic framework allowing for possible asymmetric effects. We use monthly time-series data over the...
Persistent link: https://www.econbiz.de/10013291707
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The Worst of Both Worlds : Fiscal Policy and Fixed Exchange Rates
Born, Benjamin - 2019
Under fixed exchange rates, fiscal policy is an effective tool. According to classical views because it impacts the real exchange rate, according to Keynesian views because it impacts output. Both views have merit because the effects of government spending are asymmetric. A spending cut lowers...
Persistent link: https://www.econbiz.de/10012859987
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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
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Exchange Rate Elasticities of International Tourism and the Role of Dominant Currency Pricing
Ding, Ding; Timmer, Yannick - 2022
We estimate exchange rate elasticities of international tourism. We show that, in addition to the bilateral exchange rate, the exchange rate between the tourism origin country vis-à-vis the U.S. dollar is an important driver of tourism flows, indicating a strong role of U.S. dollar pricing. The...
Persistent link: https://www.econbiz.de/10014083483
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Selective Attention in Exchange Rate Forecasting
Kapounek, Svatopluk; Kučerová, Zuzana; Kočenda, Evžen - 2021
We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency markets react to a variety of different information, we hypothesize that market participants process only a limited amount of information. Our analysis includes more than 100,000...
Persistent link: https://www.econbiz.de/10013245625
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Can Time-Varying Currency Risk Hedging Explain Exchange Rates?
Bräuer, Leonie; Hau, Harald - 2022
Over the last decade foreign bond portfolio positions in US dollar assets have risen above the reciprocal US investor positions in foreign currencies. In periods of increased economic uncertainty, institutional investors hedge their international bond positions, which creates a net hedging...
Persistent link: https://www.econbiz.de/10014242128