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A reappraisal of the border effect on relative price volatility
Cheung, Yin-Wong; Lai, Kon-Sun - 2006
Engel and Rogers (1996) find that crossing the US-Canada border can considerably raise relative price volatility and … that exchange rate fluctuations explain about one-third of the volatility increase. In re-evaluating the border effect …, this study shows that cross-country heterogeneity in price volatility can lead to significant bias in measuring the border …
Persistent link: https://www.econbiz.de/10010274494
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Cross-country relative price volatility : effects of market structure
Cheung, Yin-Wong; Fujii, Eiji - 2005
standard markup pricing model, reductions in market competition, along with increased nominal exchange rate volatility, are …
Persistent link: https://www.econbiz.de/10010261182
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Monetary policy, model uncertainty and exchange rate volatility
Markiewicz, Agnieszka - 2010
This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard … may lead agents to focus excessively on a subset of fundamental variables. As a result, exchange rate volatility is mainly … determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility …
Persistent link: https://www.econbiz.de/10010266075
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Pegxit Pressure: Evidence from the Classical Gold Standard
Mitchener, Kris James; Pina, Gonçalo - 2016
We develop a simple model that highlights the costs and benefits of fixed exchange rates as they relate to trade, and show that negative export-price shocks reduce fiscal revenue and increase the likelihood of an expected currency devaluation. Using a new high-frequency data set on...
Persistent link: https://www.econbiz.de/10011584911
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International Financial Market Integration, Asset Compositions, and the Falling Exchange Rate Pass-Through
Enders, Almira; Enders, Zeno; Hoffmann, Mathias - 2017
This paper provides an explanation for the observed decline of the exchange rate pass-through into import prices by modeling the effects of financial market integration on the optimal choice of the pricing currency in the context of rigid nominal goods prices. Contrary to previous literature, we...
Persistent link: https://www.econbiz.de/10011657204
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Oil Prices, Exchange Rates and Interest Rates
Kilian, Lutz; Zhou, Xiaoqing - 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/10012018175
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Vehicle Currency Pricing and Exchange Rate Pass-Through
Chen, Natalie; Chung, Wanyu; Novy, Dennis - 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 exporter’s currency. We then study the relationship between invoicing currency choices...
Persistent link: https://www.econbiz.de/10012052801
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Uncertainty and Hyperinflation: European Inflation Dynamics after World War I
Lopez, Jose A.; Mitchener, Kris James - 2018
Fiscal deficits, elevated debt-to-GDP ratios, and high inflation rates suggest hyperinflation could have potentially emerged in many European countries after World War I. We demonstrate that economic policy uncertainty was instrumental in pushing a subset of European countries into...
Persistent link: https://www.econbiz.de/10011872123
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The overvaluation of Renminbi undervaluation
Cheung, Yin-Wong; Chinn, Menzie D.; Fujii, Eijii - 2007
We evaluate whether the Renminbi (RMB) is misaligned, relying upon conventional statistical methods of inference. A framework built around the relationship between relative price and relative output levels is used. We find that, once sampling uncertainty and serial correlation are accounted for,...
Persistent link: https://www.econbiz.de/10010264069
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A role model for China?: exchange rate flexibility and monetary policy in Japan
Schnabl, Gunther; Danne, Christian - 2007
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/10010264171