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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/10010374513
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Reconsidering the price-income relationship across countries
Fujii, Eiji - 2013 - This version: February 2013
positive price-income association is attributable, at least partly, to the Balassa-Samuelson productivity differential effect …
Persistent link: https://www.econbiz.de/10009707555
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The exchange rate in a model with heterogeneous agents and transactions costs
De Grauwe, Paul; Grimaldi, Marianna - 2002
In this paper we develop a model of the exchange rate. The existence of transactions costs introduces an important non-linearity. Agents have different beliefs about the future exchange rate. We show that this simple model creates great complexity in the market which is characterised by the fact...
Persistent link: https://www.econbiz.de/10011539052
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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/10013201664
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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/10011966739
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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 present value exchange rate models. Agents are uncertain about the true data generating model and deal with the model uncertainty by making inference on the models and their...
Persistent link: https://www.econbiz.de/10003937806
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Exchange rate misalignment : the case of the Chinese Renminbi
Cheung, Yin-Wong - 2012
Assessing exchange rate misalignment is not an easy task. With reference to the debate on the value of China's currency, the renminbi (RMB), this article highlights a few challenges in properly assessing the extent of currency misalignment. The results derived from the fundamental equilibrium...
Persistent link: https://www.econbiz.de/10009533965
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Dissecting the PPP puzzle : the unconventional roles of nominal exchange rate and price adjustment
Cheung, Yin-Wong; Lai, Kon-sun; Bergman, Michael U. - 2003
The conventional view, as expounded by sticky-price models, is that price adjustment determines the PPP reversion rate. This study examines the mechanism by which PPP deviations are corrected. Nominal exchange rate adjustment, not price adjustment, is shown to be the key engine governing the...
Persistent link: https://www.econbiz.de/10011507767
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China, Hong Kong, and Taiwan : a quantitative assessment of real and financial integration
Cheung, Yin-Wong; Chinn, Menzie David; Fujii, Eiji - 2003
The status of real and financial integration of China, Hong Kong, and Taiwan is investigated using monthly data on one-month interbank rates, exchange rates, and prices. Specifically, the degree of integration is assessed based on the empirical validity of real interest parity, uncovered...
Persistent link: https://www.econbiz.de/10011514149
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Exchange rate misalingment estimates : sources of differences
Cheung, Yin-Wong; Fujii, Eiji - 2011
We study the differences of currency misalignment estimates obtained from alternative datasets derived from two International Comparison Program (ICP) surveys. A decomposition exercise reveals that the year 2005 misalignment estimates are substantially affected by the ICP price revision....
Persistent link: https://www.econbiz.de/10009272286