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for the period 1970–92. Simulation results indicate that the observed volatility of multilateral real exchange rates for … the United States, Germany and Japan is not inconsistent with exchange rate volatility implied by consumption …
Persistent link: https://www.econbiz.de/10014397963
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group appear...
Persistent link: https://www.econbiz.de/10014400558
This paper investigates the relationship between the nominal exchange rate regime and the volatility of relative … for primary commodities, the volatility of relative commodity prices rises when exchange rate uncertainty increases. If …
Persistent link: https://www.econbiz.de/10014401290
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
evidence supporting the nonneutrality hypothesis of nominal exchange regime on RER volatility. Also, regime shifts play an …
Persistent link: https://www.econbiz.de/10014400664
The consequences of large depreciations on economic activity depend on the relative strength of the contractionary balance sheet and expansionary expenditure switching effects. However, the two operate over different time horizons: the balance sheet effect hits almost immediately, while...
Persistent link: https://www.econbiz.de/10012251364
Models of Fundamental Equilibrium Exchange Rates (FEERs) impose internal and external balance, and so appeal to fundamental notions of equilibrium from a macroeconomic perspective. However, the need to estimate internal and external imbalances creates uncertainty in the approach. Parameters must...
Persistent link: https://www.econbiz.de/10014396237
This paper examines the links between capital inflows and the real exchange rate under pegged exchange rates. The analytical framework is described, and a near-VAR model linking capital inflows, interest rate differentials, government spending, money base velocity, and the temporary component of...
Persistent link: https://www.econbiz.de/10014398353
The Great Recession affected export and import patterns in our sample countries, and these changes, coupled with a more volatile external environment, have profound impact on our estimates of real exchange rate misalignments and projections of sustainable real exchange rates. We find that real...
Persistent link: https://www.econbiz.de/10014398417
Relative GDP shares are frequently used as weights in aggregations. In order to ensure that these weights reflect countries’ shares in real output, GDP data in national currencies should be converted into a common numeraire currency at purchasing power parity (PPP) rates. A review of the...
Persistent link: https://www.econbiz.de/10014398543