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Can Non-Linear Real Shocks Explain the Persistence of PPP Exchange Rate Disequilibria?

Peltonen, Tuomo - 2011

A core stylized fact of the empirical exchange rate literature is that half-life deviations of equilibrium real exchange rates from levels implied by Purchasing Power Parity (PPP) are very persistent. Empirical efforts to explain this persistence typically proceed along two distinct paths,...

Persistent link: https://www.econbiz.de/10013134541

Productivity Shocks and Real Exchange Rates : A Reappraisal

Peltonen, Tuomas A. - 2009

We reappraise the relationship between productivity and equilibrium real exchange rates using a panel estimation framework that incorporates a large number of countries and importantly, a dataset that allows explicit consideration of the role of non-traded, as well as traded, sector productivity...

Persistent link: https://www.econbiz.de/10012764033

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

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

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

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

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

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

The link between interest rates and exchange rates: do contractionary depreciations make a difference?

Sánchez, Marcelo - 2005

The link between exchange rates and interest rates features prominently in the theoretical and empirical literature on small open economies. This paper revisits this relationship using a simple model that incorporates the role of exchange rate pass-through into domestic prices and distinguishes...

Persistent link: https://www.econbiz.de/10011604594

How does information affect the comovement between interest rates and exchange rates?

Sánchez, Marcelo - 2006

This paper compares the link between exchange rates and interest rates under full information and two alternative asymmetric information approaches. It also distinguishes between cases of expansionary and contractionary depreciations. Full information results are not robust to the presence of...

Persistent link: https://www.econbiz.de/10011604654