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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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Forecasting with Panel Data : Estimation Uncertainty Versus Parameter Heterogeneity
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022
We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with … existing approaches. We conduct a systematic comparison of their predictive accuracy in settings with different cross …-sectional (N) and time (T) dimensions and varying degrees of parameter heterogeneity. We investigate conditions under which panel …
Persistent link: https://www.econbiz.de/10013292495
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Political Risk and Real Exchange Rate : What Can We Learn from Recent Developments in Panel Data Econometrics for Emerging and Developing Countries?
Bahmani‐Oskooee, Mohsen - 2019
Cross- Sectionally Augmented ARDL approach of Chudik and Pesaran (2015b), and the panel threshold estimation of Chudik et al … the International Country Risk Guide database over the 1984 to 2016 period. Based on the recently developed method of …
Persistent link: https://www.econbiz.de/10012892145
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Nonlinearities and Asymmetric Adjustment to PPP in an Exchange Rate Model with Inflation Expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper estimates a model of the real exchange rate including standard fundamentals as well as two alternative measures of inflation expectations for five inflation targeting countries (UK, Canada, Australia, New Zealand, Sweden) over the period January 1993-July 2019. Both a benchmark linear...
Persistent link: https://www.econbiz.de/10013243236
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Lending Cycles and Real Outcomes : Costs of Political Misalignment
Bircan, Cagatay; Saka, Orkun - 2021
We document a strong political cycle in bank credit and industry outcomes in Turkey. In line with theories of tactical redistribution, state-owned banks systematically adjust their lending around local elections compared with private banks in the same province based on electoral competition and...
Persistent link: https://www.econbiz.de/10013246909
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Global Investors, the Dollar, and U.S. Credit Conditions
Niepmann, Friederike - 2019
This paper documents that an appreciation of the U.S. dollar is associated with a reduction in the supply of commercial and industrial loans by U.S. banks. An increase in the broad dollar index by 2.5 points (one standard deviation) reduces U.S. banks’ corporate loan originations by 10...
Persistent link: https://www.econbiz.de/10012892284
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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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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 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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An Equilibrium Theory of Nominal Exchange Rates
Hagedorn, Marcus - 2021
features of this theory are that the nominal exchange rate is determined in international financial markets, that the risk …
Persistent link: https://www.econbiz.de/10013212261