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Monetary Policy in Japan, Germany and the United States : Does One Size Fit All?

Chinn, Menzie David; Dooley, Michael P. - 2021

We study the post-war evidence for Japan to see if the same specification for both the economy and the monetary policy rule is useful for understanding Japan's economy and monetary policy. A recurrent theme in the literature on Japanese monetary policy is that there are significant differences...

Persistent link: https://www.econbiz.de/10013245712

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 performance...

Persistent link: https://www.econbiz.de/10012960174

Financial Spillovers and Macroprudential Policies

Aizenman, Joshua - 2017

We estimate the impact of the extensity of macroprudential policies on the correlation of the policy interest rates between the center economies (CEs, i.e., the U.S., Japan, and the Euro area), and the peripheral economies (PHs). We find a more extensive implementation of macroprudential...

Persistent link: https://www.econbiz.de/10012941469

Three Current Account Balances : A "Semi-Structuralist" Interpretation

Chinn, Menzie David - 2006

Three large current account imbalances -- one deficit (the United States) and two surpluses (Japan and the Euro area) -- are subjected to a minimalist structural interpretation. Though simple, this interpretation enables us to assess how much of each of the imbalances require a real exchange...

Persistent link: https://www.econbiz.de/10012783481

The Current Account and the Real Exchange Rate : A Structural VAR Analysis of Major Currencies

Lee, Jaewoo - 2006

A sticky-price model is used to motivate a structural VAR analysis of the current account and the real exchange rate for seven major industrialized countries (the US, Canada, the UK, Japan, Germany, France and Italy). The analysis is distinguished from previous work in that it adopts minimal...

Persistent link: https://www.econbiz.de/10012783968

Estimating Currency Misalignment Using the Penn Effect : It's Not as Simple as it Looks

Cheung, Yin-Wong - 2016

We investigate the strength of the Penn effect in the most recent version of the Penn World Tables (PWTs). We find that the earlier findings of a Penn effect are confirmed, but that there is some evidence for nonlinearity. Developed and developing countries display different types of nonlinear...

Persistent link: https://www.econbiz.de/10012984753

Sectoral Productivity, Government Spending and Real Exchange Rates : Empirical Evidence for OECD Countries

Chinn, Menzie David - 2000

This paper investigates the long- and short-run determinants of the real exchange rate using a panel of data for … fourteen OECD countries. The data are analyzed using time series and panel unit root and panel cointegration methods. Two … price of oil. The empirical results indicate that it is easier to detect cointegration in panel data than in the available …

Persistent link: https://www.econbiz.de/10014158072

For a Few Dollars More : Reserves and Growth in Times of Crises

Bussière, Matthieu - 2014

Based on a dataset of 112 emerging economies and developing countries, this paper addresses two key questions regarding the accumulation of international reserves: first, has the accumulation of reserves effectively protected countries during the 2008-09 financial crisis? And second, what...

Persistent link: https://www.econbiz.de/10013061062

Are Macroeconomic Forecasts Informative? Cointegration Evidence from the Asa-Nber Surveys

Cheung, Yin-Wong; Chinn, Menzie David - 2021

We examine the properties of the ASA-NBER forecasts for several US macroeconomic variables, specifically: (i) are the actual and forecast series integrated of the same order; (ii) are they cointegrated, and; (iii) is the cointegrating vector consistent with long run unitary elasticity of...

Persistent link: https://www.econbiz.de/10013224861

Exchange Rate Expectations and the Risk Premium : Tests for a Cross- Section of 17 Currencies

Chinn, Menzie David; Frankel, Jeffrey A. - 2021

Survey data on a broad cross section of 17 currencies are used to determine whether the forward discount moves primarily in response to changes in expectations of depreciation, or in the risk premium. We find that changes in expected depreciation are quantitatively significant. However we also...

Persistent link: https://www.econbiz.de/10013226178