Narrow search
Showing 1 - 10 of 863
Cover Image
The Predictive Power of Equilibrium Exchange Rate Models
Ca' Zorzi, Michele - 2020
In this paper we evaluate the predictive power of the three most popular equilibrium exchange rate concepts: Purchasing Power Parity (PPP), Behavioral Equilibrium Exchange Rate (BEER) and the Macroeconomic Balance (MB) approach. We show that there is a clear trade-off between storytelling and...
Persistent link: https://www.econbiz.de/10012844460
Cover Image
Methodological Advances in the Assessment of Equilibrium Exchange Rates
Bussière, Matthieu - 2010
. The third issue discusses the uncertainty associated to the estimation of a reduced form relationship for the real … exchange rate, concluding that inference can be improved by panel estimation. The fourth and final issue addresses the presence … of strong and weak cross section dependence in panel estimation, suggesting which panel estimators one could use in this …
Persistent link: https://www.econbiz.de/10013149063
Cover Image
Fiscal Stimulus in Times of High Debt : Reconsidering Multipliers and Twin Deficits
Nickel, Christiane - 2013
We investigate the impact of fiscal stimuli at different levels of the government debt-to-GDP-ratio for a sample of 17 European countries from 1970 to 2010. This is implemented in an interacted panel VAR framework in which all coefficient parameters are allowed to change continuously with the...
Persistent link: https://www.econbiz.de/10013087096
Cover Image
Modelling Ireland's Exchange Rates : From EMS to EMU
Bond, Derek - 2007
This paper attempts to model the nominal and real exchange rate for Ireland, relative to Germany and the UK from 1975 to 2003. It offers an overview of the theory of purchasing power parity (Ppp), focusing particularly on likely sources of nonlinearity. Potential difficulties in placing the...
Persistent link: https://www.econbiz.de/10012775859
Cover Image
A Structural Break in the Effects of Japanese Foreign Exchange Intervention on Yen/Dollar Exchange Rate Volatility
Hillebrand, Eric T.; Schnabl, Gunther - 2021
volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …
Persistent link: https://www.econbiz.de/10013317566
Cover Image
Does the Euro Make a Difference? Spatio-Temporal Transmission of Global Shocks to Real Effective Exchange Rates in an Infinite VAR
Bussière, Matthieu - 2011
This paper provides evidence on whether the creation of the euro has changed the way global turbulences affect euro area and other economies. Specifically, it considers the impact of global shocks on the competitiveness of individual euro area countries and assesses whether their responses to...
Persistent link: https://www.econbiz.de/10013130602
Cover Image
Boosting Carry with Equilibrium Exchange Rate Estimates
Rubaszek, Michał; Beckmann, Joscha; Ca’ Zorzi, Michele; … - 2022
We build currency portfolios based on the paradigm that exchange rates slowly converge to their equilibrium to highlight three results. First, this property can be exploited to build profitable portfolios. Second, the slow pace of convergence at short-horizons is consistent with the evidence of...
Persistent link: https://www.econbiz.de/10014239531
Cover Image
The Impact of Monetary Policy and Exchange Rate Shocks in Poland : Evidence from a Time-Varying VAR
Arratibel, Olga - 2014
This paper follows the Bayesian time-varying VAR approach with stochastic volatility developed by Primiceri (2005), to …
Persistent link: https://www.econbiz.de/10013060040
Cover Image
Domestic and Multilateral Effects of Capital Controls in Emerging Markets
Pasricha, Gurnain Kaur - 2015
Using a novel dataset on changes in capital controls and currency-based prudential measures in 17 major emerging market economies (EMEs) over the period 2001-2011, this paper provides new evidence on domestic and multilateral (or spillover) effects of capital controls before and after the global...
Persistent link: https://www.econbiz.de/10013016947
Cover Image
External Imbalances and the US Current Account : How Supply-Side Changes Affect an Exchange Rate Adjustment
Engler, Philipp; Fidora, Michael; Thimann, Christian - 2021
The influential work of Obstfeld and Rogoff argues that a closing-up of the US current account deficit involves a large exchange rate adjustment. However, the Obstfeld-Rogoff model works exclusively via demand-side channels and abstracts from possible supply-side changes. We extend the framework...
Persistent link: https://www.econbiz.de/10013317053