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Modeling optimism and pessimism in the foreign exchange market
De Grauwe, Paul (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003496811
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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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A two-country NATREX model for the euro/dollar
Belloc, Marianna (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003688935
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The Euro/Dollar exchange rate : chaotic or non-chaotic?
Federici, Daniela; Gandolfo, Giancarlo - 2011
The aim of this paper is to develop a continuous time exchange rate model that allows for heterogeneity of the agents' beliefs, in order to explore non-linearities and possible chaotic behaviour. The theoretical model contains an intrinsic non-linearity that gives rise to a jerk differential...
Persistent link: https://www.econbiz.de/10009011774
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Nominal and real exchange rate models in South Africa : how robust are they?
Égert, Balázs - 2012
This paper addresses difficulties in modelling exchange rates in South Africa. Real exchange rate models of earlier research seem to be sensitive to the sample period considered, alternative variable definition, data frequency and estimation methods. Alternative exchange rate models proposed in...
Persistent link: https://www.econbiz.de/10009570595
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Endogenous growth in an open economy and the real exchange rate
Federici, Daniela; Gandolfo, Giancarlo - 2001
This paper is a step in the direction of a larger research project aimed at determining the long run equilibrium value of the euro/dollar real exchange rate. Given this value, one could then give a precise meaning to the notion of undervaluation or overvaluation of the euro, and calculate its...
Persistent link: https://www.econbiz.de/10011399353
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What do we know about recent exchange rate models? : in-sample fit and out-of-sample performance evaluated
Cheung, Yin-Wong; Chinn, Menzie David; Pascual, Antonio … - 2003
Previous assessments of nominal exchange rate determination have focused upon a narrow set of models typically of the 1970 s vintage, including monetary and portfolio balance models. In this paper we re-assess the in-sample fit and out-of-sample prediction of a wider set of models that have been...
Persistent link: https://www.econbiz.de/10011507659
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The exchange rate and its fundamentals : a chaotic perspective
De Grauwe, Paul; Grimaldi, Marianna - 2002
We analyse the workings of a simple non-linear exchange rate model in which agents hold different beliefs about the underlying model. We distinguish between chartists and fundamentalists . The non-linearities in the model originate from transactions costs and from the existence of non-linear...
Persistent link: https://www.econbiz.de/10011408799
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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/10012619299
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On the pass-through of large devaluations
Casacuberta, Carlos; Licandro, Omar - 2023
In 2002 Uruguay faced a sudden stop of international capital flows, inducing a deep financial crisis and a large devaluation of the peso. The real exchange rate depreciated and exports expanded. Paradoxically, export shares and real exchange rates negatively correlate among Uruguayan exporters...
Persistent link: https://www.econbiz.de/10014261323