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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

Investment, Pass-Through and Exchange Rates : A Cross-Country Comparison

Campa, José Manuel; Goldberg, Linda S. - 2022

Although large changes in real exchange rates have occurred during the past decades, the real implications of these movements remain an empirical question. Using detailed data from the United States, Canada, the United Kingdom, and Japan we examine the implications of exchange rates for time...

Persistent link: https://www.econbiz.de/10014158798

Nonlinear Aspects of Goods-Market Arbitrage and Adjustment : Heckscher's Commodity Points Revisited

Obstfeld, Maurice; Taylor, Alan M. - 2022

We propose that analysis of purchasing power parity (PPP) and the law of one price (LOOP) should explicitly take into account the possibility of commodity points' thresholds delineating a region of no central tendency among relative prices, possibly due to lack of perfect arbitrage in the...

Persistent link: https://www.econbiz.de/10013308328

Monetary Policy and the Predictability of Nominal Exchange Rates

Eichenbaum, Martin - 2017

This paper studies how the monetary policy regime affects the relative importance of nominal exchange rates and inflation rates in shaping the response of real exchange rates to shocks. We document two facts about inflation-targeting countries. First, the current real exchange rate predicts...

Persistent link: https://www.econbiz.de/10012963169

Consumption Risk-Sharing and the Real Exchange Rate : Why Does the Nominal Exchange Rate Make Such a Difference?

Devereux, Michael B. - 2011

A basic prediction of effcient risk-sharing is that relative consumption growth rates across countries or regions should be positively related to real exchange rate growth rates across the same areas. We investigate this hypothesis, employing a newly constructed multi-country and multi-regional...

Persistent link: https://www.econbiz.de/10013121595

The Adjustment of Prices and the Adjustment of the Exchange Rate

Engel, Charles M.; Morley, James - 2021

The purchasing power parity puzzle relates to the adjustment of real exchange rates. Real exchange rates are extremely volatile, suggesting that temporary shocks emanate from the monetary sector. But the half-life of real exchange rate deviations is extremely large -- 2.5 to 5 years. This...

Persistent link: https://www.econbiz.de/10013228227

Forecasting Exchange Rates and Relative Prices with the Hamburger Standard : Is What You Want What You Get with Mcparity?

Cumby, Robert E. - 2021

provide useful information for forecasting exchange rates. After accounting for currency-specific constants, a 10 percent …. Finally, deviations from relative Big Mac parity seem to be helpful in forecasting relative local currency prices. When the U ….S. dollar price of Big Macs is high in a country, the relative local currency price of Big Macs in that country is likely to …

Persistent link: https://www.econbiz.de/10013220795

A Primer on Real Effective Exchange Rates : Determinants, Overvaluation, Trade Flows and Competitive Devaluation

Chinn, Menzie David - 2021

Several alternative measures of "effective" exchange rates are discussed in the context of their theoretical underpinnings and actual construction. Focusing on contemporary indices and recently developed econometric methods, the empirical characteristics of these differing series are examined,...

Persistent link: https://www.econbiz.de/10013222072

Before the Fall : Were East Asian Currencies Overvalued?

Chinn, Menzie David - 2021

numeraire currency are undertaken. Second, I calculate the implied equilibrium rates from a monetary model augmented by a proxy …

Persistent link: https://www.econbiz.de/10013211646

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