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Predictable Movements in Yen/DM Exchange Rates

Kongsamut, Qingying - 2000

This paper examines the relevance of PPP, the adjustment channel of real exchange rate and the predictability of the movement in nominal exchange rate by studying the behavior of yen/DM exchange rate, using cointegration method. Results support PPP and find that the real exchange rate is...

Persistent link: https://www.econbiz.de/10014399967

Asset Market and Balance of Payments Characteristics : An Eclectic Exchange Rate Model for the Dollar, Mark, and Yen

MacDonald, Ronald - 1995

In this paper we use an exchange rate model that combines asset market characteristics with balance of payments interactions to examine the nominal effective exchange rates of the German mark, Japanese yen, and U.S. dollar for the recent experience with floating exchange rates. Our approach may...

Persistent link: https://www.econbiz.de/10014398230

Liberalized Markets Have More Stable Exchange Rates : Short-Run Evidence From Four Transition Countries

Bulir, Ales - 2004

The paper looks at the hypothesis that financial market liberalization can create a basis for more stable exchange rates, as deviations of exchange rates from equilibrium levels bring forth stabilizing flows of liquidity. This ""endogenous liquidity"" hypothesis suggests that opening financial...

Persistent link: https://www.econbiz.de/10014404080

U.S. dollar currency premium in corporate bonds

Caramichael, John; Gopinath, Gita; Liao, Gordon Y. - 2021

We isolate a U.S. dollar currency premium by comparing corporate bonds issued in the dollar and the euro by firms o … without a currency hedge and about the same with a currency hedge when compared to the euro. This observed parity in currency … mix of their debt issuance depending on the relative borrowing cost between dollar and euro debt. In sum, the …

Persistent link: https://www.econbiz.de/10012605639

The non-U.S. bank demand for U.S. dollar assets

Adrian, Tobias; Xie, Peichu - 2020

The USD asset share of non-U.S. banks captures the demand for dollars by these investors. An instrumental variable strategy identifies a causal link from the USD asset share to the USD exchange rate. Cross-sectional asset pricing tests show that the USD asset share is a highly significant...

Persistent link: https://www.econbiz.de/10012252026

Financial development, exchange rate fluctuations, and debt dollarization : a firm-level evidence

Kim, Minsuk - 2019

This paper examines how financial development influences the debt dollarization of nonfinancial firms in a sample of emerging market economies (EMEs). The macroeconomic channels are identified from an optimal portfolio allocation model and assessed empirically using the accounting information of...

Persistent link: https://www.econbiz.de/10012102196

U.S. dollar dynamics : how important are policy divergence and FX risk premiums?

Balakrishnan, Ravi; Laséen, Stefan; Pescatori, Andrea - 2016

the Canadian USD and the Euro; (iii) oil price shocks play a particularly important role for the Canadian USD (an oil …

Persistent link: https://www.econbiz.de/10011711595

Exchange Rates and Economic Fundamentals : A Methodological Comparison of Beers and Feers

MacDonald, Ronald - 1998

This paper compares two approaches for examining the extent to which a country’s actual real effective exchange rate is consistent with economic fundamentals: the FEER approach, which involves calculating the real exchange rate that equates the current account at full employment with...

Persistent link: https://www.econbiz.de/10014400711

Filtering the Beer : A Permanent and Transitory Decomposition

Clark, Peter B. - 2000

In this paper we extend the BEER (Behavioral Equilibrium Exchange Rate) approach which identifies an estimated equilibrium relationship between the real exchange rate and economic fundamentals. Here the economic fundamentals are decomposed using Johansen cointegration methods into transitory and...

Persistent link: https://www.econbiz.de/10014403514

Long-Run Purchasing Power Parity and the Dollar-Sterling Exchange Rate in the 1920's

Taylor, Mark P. - 1990

This paper replies to Ahking’s (1990) re-examination of Taylor and McMahon’s (1988) analysis of long-run purchasing power parity in the 1920s. We demonstrate that Ahking’s conclusions are only partially correct and reestablish our conclusion that, a form of long-run purchasing-power parity...

Persistent link: https://www.econbiz.de/10014395859

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