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Exchange Rate Prediction Redux : New Models, New Data, New Currencies
Cheung, Yin-Wong - 2017
Previous assessments of nominal exchange rate determination, following Meese and Rogoff (1983) have focused upon a narrow set of models. Cheung et al. (2005) augmented the usual suspects with productivity based models, and “behavioral equilibrium exchange rate” models, and assessed...
Persistent link: https://www.econbiz.de/10012963129
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Estimating the Elasticity of Consumer Prices to the Exchange Rate : An Accounting Approach
Camatte, Hadrien; Daudin, Guillaume; Faubert, Violaine; … - 2021
We analyse the elasticity of the household consumption expenditure (HCE) deflator to the exchange rate, using world …
Persistent link: https://www.econbiz.de/10013323979
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Does the Euro Make a Difference? Spatio-Temporal Transmission of Global Shocks to Real Effective Exchange Rates in an Infinite VAR
Bussière, Matthieu - 2011
dollar shock, generalised impulse response function shocks and a global shock to risk aversion. Our results show that the way … depends crucially on the nature of the shock. This result is noteworthy given the apparent divergence in competitiveness …
Persistent link: https://www.econbiz.de/10013130602
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The Impact of Monetary Policy and Exchange Rate Shocks in Poland : Evidence from a Time-Varying VAR
Arratibel, Olga - 2014
-2012) in the Polish economy. The empirical findings show that: (1) output appears more responsive to an interest rate shock at … the beginning of our sample. Since 2000, absorbing this shock has become less costly in terms of output, notwithstanding … some reversal since the beginning of the global financial crisis. The exchange rate shock also has a time-varying effect on …
Persistent link: https://www.econbiz.de/10013060040
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Global Commodity Cycles and Linkages : A FAVAR Approach
Lombardi, Marco J. - 2010
In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and a food prices. These factors are included...
Persistent link: https://www.econbiz.de/10013146204
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Global Exchange Rate Configurations : Do Oil Shocks Matter?
Bützer, Sascha; Habib, Maurizio Michael; Stracca, Livio - 2021
, oil exporters experience significant appreciation pressures following an oil demand shock, which they tend to counter by …
Persistent link: https://www.econbiz.de/10013315906
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US Shocks and Global Exchange Rate Configurations
Fratzscher, Marcel - 2021
The paper analyses the heterogeneity in the link between macroeconomic fundamentals and exchange rates. For a set of important US-specific economic shocks, it shows that such shocks have exerted a remarkably heterogeneous effect on global exchange rate configurations over the past 25 years....
Persistent link: https://www.econbiz.de/10013316761
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External Shocks and International Inflation Linkages : A Global VAR Analysis
Galesi, Alessandro - 2009
Amid the recent commodity price gyrations, policy makers have become increasingly concerned in assessing to what extent oil and food price shocks transmit to the inflationary outlook and the real economy. In this paper, we try to tackle this issue by means of a Global Vector Autoregressive...
Persistent link: https://www.econbiz.de/10013159237
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Global Impacts of Us Monetary Policy Uncertainty Shocks
Lastauskas, Povilas; Minh, Anh - 2021
declines in output, inflation, and the interest rate. Moreover, we document strong global impacts, making the world move in a …
Persistent link: https://www.econbiz.de/10013243822
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Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model
Dees, Stephane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2021
. We discuss estimation of impulse response functions and variance decompositions in such large systems, and present … through error spillover effects. Bootstrapped error bands are also provided for the cross country responses of a shock to the …
Persistent link: https://www.econbiz.de/10013316169