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Are structural models getting closer to being able to forecast exchange rates at short horizons? Here we argue that misinterpretation of some new out-of-sample tests for nested models, over-reliance on asymptotic test statistics, and failure to sufficiently check robustness to alternative time...
Persistent link: https://www.econbiz.de/10012771554
Over the past century, the world economy has passed through a succession of phases characterized by very different levels of international capital flows. This paper asks what accounts for these dramatic shifts in the extent of capital movements across national borders, three categories of...
Persistent link: https://www.econbiz.de/10012776702
. In this context, we test for greater fiscal dominance over 2000-2017 under Inflation Targeting (IT) and non-IT regimes … with greater exchange rate volatility, inflation volatility, and underlying commodity exposure exhibit stronger …
Persistent link: https://www.econbiz.de/10012867640
This paper investigates the dependency of the adjustment of prices, exchange rates, and production on the nature of the trade regime. We contrast the adjustment between a quota and a tariff regime for a 'semi-small' economy characterized by monopolistic competitive market structure and short-run...
Persistent link: https://www.econbiz.de/10012760281
The perceptions of a central bank's inflation aversion may reflect institutional structure or, more dynamically, the … for persistent variation in market perceptions of central bank inflation aversion. The first years of the European Central … the ECB during its first six years of operation significantly evolved, with a belief in its inflation aversion increasing …
Persistent link: https://www.econbiz.de/10012761892
We argue that the Great Inflation experienced by both the United Kingdom and the United States in the 1970s has an … common doctrine underlying the systematic monetary policy choices in each country. The nonmonetary approach to inflation …
Persistent link: https://www.econbiz.de/10012757531
yields on long maturity inflation - indexed bonds. This relationship can be interpreted as defining the fair value of the … exchange rate that will prevail in any model or real world economy in which inflation indexed bonds are traded. An advantage of … with a 50 basis point rise in the inflation indexed bond return differential in favor of the foreign country and an 50 …
Persistent link: https://www.econbiz.de/10013087887
inflation rates account for a share of the PPP changes, although less so for the 2011 revisions than prior ICP rounds. A marked …
Persistent link: https://www.econbiz.de/10013050153
held constant in the face of a domestic inflation. In this circumstance, import duties and export subsidies would have to … domestic inflation. If such passive policy is not accompanied by the elimination of trade barriers, however, the black market …
Persistent link: https://www.econbiz.de/10013218115
This paper estimates simultaneously dynamic equations for the Deutsche Mark/Dollar exchange rate and the German wholesale price index, which emerge from a model in which German prices are sticky. This stickiness is due to price adjustment costs which take the form posited by Rotemberg(1982).The...
Persistent link: https://www.econbiz.de/10013220974