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The Micro-Macro Disconnect of Purchasing Power Parity
Bergin, Paul R. - 2010
This paper reconciles the persistence of aggregate real exchange rates with the faster adjustment of international relative prices in microeconomic data. Panel estimation of an error correction model using a micro data set uncovers new stylized facts regarding this puzzle. First, adjustment to...
Persistent link: https://www.econbiz.de/10013149574
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Exchange Rate Economics : 1986
Dornbusch, Rudiger - 2021
In the past fifteen years key exchange rates have moved in larger and more persistent ways than advocates of flexible rates in the late 1960s would have left anyone free to imagine. Certainly there was no expectation of constancy for nominal exchange rates. But real exchange rate movements of 30...
Persistent link: https://www.econbiz.de/10013214613
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Exchange Rates, Money and Relative Prices : The Dollar-Pound in the 1920'S
Clements, Kenneth W.; Frenkel, Jacob A. - 2021
This paper applies the analytical framework of the monetary approach to exchange rate determination to the analysis of the Dollar/Pound exchange rate during the first part of the 1920's. The analysis uses monthly data up to the return of Britain to gold in 1925. The equilibrium exchange rate is...
Persistent link: https://www.econbiz.de/10013243655
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Obstfeld and Rogoff's International Macro Puzzles : A Quantitative Assessment
Eaton, Jonathan - 2015
a dynamic multicountry model of international trade, production, and investment to data from 19 countries to assess this … a counterfactual world without trade frictions in manufactures. Removing these trade frictions goes a long way toward … resolving a number of the puzzles: The dependence of domestic investment on domestic saving falls by half or disappears entirely …
Persistent link: https://www.econbiz.de/10013010717
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Growth Accelerations
Hausmann, Ricardo; Pritchett, Lant; Rodrik, Dani - 2022
since the 1950s. Growth accelerations tend to be correlated with increases in investment and trade, and with real exchange …
Persistent link: https://www.econbiz.de/10013321621
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Foreign Direct Investment, Trade and Real Exchange Rate Linkages in Developing Countries
Goldberg, Linda S.; Klein, Michael W. - 2021
We investigate the relationships among trade, foreign direct investment and the real exchange rate between a set of … Southeast Asian and Latin American countries and both the United States and Japan. Foreign direct investment by both Japan and … direct investment. These sets of relationships, between the real exchange rate and foreign direct investment, and between …
Persistent link: https://www.econbiz.de/10013230184
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Conditional Risk Premia in Currency Markets and Other Asset Classes
Lettau, Martin - 2013
The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns....
Persistent link: https://www.econbiz.de/10013085923
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Crash Risk in Currency Markets
Farhi, Emmanuel - 2010
1996 to 2011 period using exchange rate spot, forward, and option data, we obtain a real-time index of world disaster risk …
Persistent link: https://www.econbiz.de/10013152552
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The Emergence of the Euro as an International Currency
Portes, Richard; Rey, Hélène - 2021
two effects interact, as we demonstrate. We use a three-region world model as a framework for alternative steady …
Persistent link: https://www.econbiz.de/10013218717
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The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market : a Bootstrap Approach
Levich, Richard M.; Thomas, Lee R. - 2021
In this paper, we present new evidence on the profitability and statistical significance of technical trading rules in the foreign exchange market. We utilize a new data base, currency futures contracts for the period 1976-1990, and we implement a new testing procedure based on bootstrap...
Persistent link: https://www.econbiz.de/10013224334