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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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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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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/10013440410
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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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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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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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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 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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Global investors, the dollar, and U.S. credit conditions
Niepmann, Friederike; Schmidt-Eisenlohr, Tim - 2018
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 percent....
Persistent link: https://www.econbiz.de/10011922169
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Exchange-rate adjustment and macroeconomic interdependence between stagnant and fully employed countries
Ono, Yoshiyasu - 2014
This paper presents a two-country two-commodity dynamic model with free international asset trade in which one country achieves full employment and the other suffers long-run unemployment. Own and spill-over effects of changes in policy, technological and preference parameters that emerge...
Persistent link: https://www.econbiz.de/10010250169