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Engel, Charles - 2004

We show analytically that in a rational expectations present value model, an asset price manifests near random walk behavior if fundamentals are I(1) and the factor for discounting future fundamentals is near one. We argue that this result helps explain the well known puzzle that fundamental...

Persistent link: https://www.econbiz.de/10012467971

An International Comparison of Employment Adjustment to Exchange Rate Fluctuations

Burgess, Simon - 1996

This paper evaluates the response of employment to exchange rate shocks at the industry level for the G-7 countries. Using a simple empirical framework that places little a priori structure on the pattern of response to shocks, we find the data are consistent with the view that employment in...

Persistent link: https://www.econbiz.de/10012472967

Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility

Collin-Dufresne, Pierre - 2004

Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is … stochastic volatility (USV)." Of the models tested, only the A1(4) USV model is found to generate both realistic volatility … estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross …

Persistent link: https://www.econbiz.de/10012467934

Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets

Froot, Kenneth A. - 1987

Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...

Persistent link: https://www.econbiz.de/10012476706

External Imbalances in an Advanced, Commodity-Exporting Country : The Case of New Zealand

Edwards, Sebastian - 2006

During the last three years New Zealand has faced increasingly large external imbalances. The current account deficit has increased from 4.3% of GDP in 2003 to almost 9.0% of GDP in 2005. During the same period the country's net international investment position (NIIP) went from a negative level...

Persistent link: https://www.econbiz.de/10012466041

What Hurts Most? G-3 Exchange Rate or Interest Rate Volatility

Reinhart, Carmen M. - 2001

With many emerging market currencies tied to the U.S. dollar either implicitly or explicitly, movements in the exchange values of the currencies of major countries have the potential to influence the competitive position of many developing countries. According to some analysts, establishing...

Persistent link: https://www.econbiz.de/10012470183

The gold standard, Bretton Woods and other monetary regimes : an historical appraisal

Bordo, Michael D. - 1993

Persistent link: https://www.econbiz.de/10000109178

Productivity, External Balance and Exchange Rates : Evidence on the Transmission Mechanism Among G7 Countries

Corsetti, Giancarlo - 2006

This paper investigates the international transmission of productivity shocks in a sample of five G7 countries. For each country, using long-run restrictions, we identify shocks that increase permanently domestic labor productivity in manufacturing (our measure of tradables) relative to an...

Persistent link: https://www.econbiz.de/10012466182

Accounting for Exchange Rate Variability in Present-Value Models When the Discount Factor is Near One

Engel, Charles - 2004

Nominal exchange rates in low-inflation advanced countries are nearly random walks. Engel and West (2003a) offer an explanation for this in the context of models in which the exchange rate is determined as the discounted sum of current and expected future fundamentals. Engel and West show that...

Persistent link: https://www.econbiz.de/10012468426

The Adjustment of Prices and the Adjustment of the Exchange Rate

Engel, Charles - 2001

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/10012470168

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