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Modelling Ireland’s exchange rates: from EMS to EMU
Bond, Derek; Harrison, Michael J.; O'Brien, Edward J. - 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/10011604869
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The Predictive Power of Equilibrium Exchange Rate Models
Ca' Zorzi, Michele - 2020
Power Parity (PPP), Behavioral Equilibrium Exchange Rate (BEER) and the Macroeconomic Balance (MB) approach. We show that … has good predictive power. The BEER framework, which links exchange rates to fundamentals, does not deliver forecasts of … terms. Sensitivity analysis confirms that changing the composition of fundamentals in the BEER model or modifying key …
Persistent link: https://www.econbiz.de/10012844460
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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
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Measuring the Effectiveness of Cost and Price Competitiveness in External Rebalancing of Euro Area Countries : What Do Alternative HCIs Tell Us?
Christodoulopoulou, Styliani - 2014
This study examines the marginal effects of traditional determinants of exports and imports with a focus on the role of price competitiveness in restoring external balances. It is a first attempt to compare marginal effects of various harmonised competitiveness indicators (HCIs) on both exports...
Persistent link: https://www.econbiz.de/10013047096
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Methodological Advances in the Assessment of Equilibrium Exchange Rates
Bussière, Matthieu - 2010
This paper reviews three different concepts of equilibrium exchange rates that are widely used in policy analysis and constitute the backbone of the IMF CGER assessment: the Macroeconomic Balance, the External Sustainability and the reduced form approaches. We raise a number of econometric...
Persistent link: https://www.econbiz.de/10013149063
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Explaining and Forecasting Euro Area Exports : Which Competitiveness Indicator Performs Best?
Ca’ Zorzi, Michele; Schnatz, Bernd - 2022
From a conceptual point of view there is little consensus of what should be the 'ideal indicator' of international cost and price competitiveness as each of the standard measures typically employed has its own merits and drawbacks. This calls for addressing the question from an empirical angle,...
Persistent link: https://www.econbiz.de/10014222682
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Explaining and forecasting euro area exports: which competitiveness indicator performs best?
Ca' Zorzi, Michele; Schnatz, Bernd - 2007
From a conceptual point of view there is little consensus of what should be the “ideal indicator” of international cost and price competitiveness as each of the standard measures typically employed has its own merits and drawbacks. This calls for addressing the question from an empirical...
Persistent link: https://www.econbiz.de/10011604879
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Exchange rate forecasting on a napkin
Ca' Zorzi, Michele; Rubaszek, Michał - 2018
This paper shows that there are two regularities in foreign exchange markets in advanced countries with flexible regimes. First, real exchange rates are mean-reverting, as implied by the Purchasing Power Parity model. Second, the adjustment takes place via nominal exchange rates. These features...
Persistent link: https://www.econbiz.de/10011916855
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China's dominance hypothesis and the emergence of a tri-polar global currency system
Fratzscher, Marcel; Mehl, Arnaud - 2011
euro and the Chinese renminbi (RMB). It focuses on what we call China’s “dominance hypothesis”, i.e. whether the renminbi … global financial crisis. These results are consistent with China’s dominance hypothesis and with the view that the … international monetary system is already tri-polar. However, we also find that China’s currency movements are to some extent …
Persistent link: https://www.econbiz.de/10011605438
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The Euro bloc, the Dollar bloc and the Yen bloc: how much monetary policy independence can exchange rate flexibility buy in an interdependent world?
Fratzscher, Marcel - 2002
The paper analyses the trade-off between exchange rate flexibility and monetary policy autonomy. It tests empirically the 'Possible Duality' hypothesis, i.e. whether countries with more flexible currency regimes are indeed able to exert more monetary policy autonomy than those with less flexible...
Persistent link: https://www.econbiz.de/10011604200