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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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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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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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Global Commodity Cycles and Linkages : A FAVAR Approach
Lombardi, Marco - 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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What Explains Global Exchange Rate Movements during the Financial Crisis
Fratzscher, Marcel - 2009
A striking and unexpected feature of the financial crisis has been the sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific macroeconomic shocks during the crisis have triggered a significant strengthening of the US dollar,...
Persistent link: https://www.econbiz.de/10013159289
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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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Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model
Dées, Stéphane; 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
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Optimal Sticky Prices under Rational Inattention
Maćkowiak, Bartosz - 2009
This paper presents a model in which price setting firms decide what to pay attention to, subject to a constraint on information flow. When idiosyncratic conditions are more variable or more important than aggregate conditions, firms pay more attention to idiosyncratic conditions than to...
Persistent link: https://www.econbiz.de/10012765187
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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