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Exchange Rates, Natural Rates, and the Price of Risk
Kekre, Rohan; Lenel, Moritz - National Bureau of Economic Research - 2024
We study the source of exchange rate fluctuations using a general equilibrium model accommodating shocks in goods and financial markets. These shocks differ in their induced comovements between exchange rates, interest rates, and quantities. A calibration matching data from the U.S. and G10...
Persistent link: https://www.econbiz.de/10015072917
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Breaks in the Phillips Curve : Evidence from Panel Data
Smith, Simon C.; Timmermann, Allan; Wright, Jonathan H. - National Bureau of Economic Research - 2023
We revisit time-variation in the Phillips curve, applying new Bayesian panel methods with breakpoints to US and European Union disaggregate data. Our approach allows us to accurately estimate both the number and timing of breaks in the Phillips curve. It further allows us to determine the...
Persistent link: https://www.econbiz.de/10014250170
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Understanding the Strength of the Dollar
Jiang, Zhengyang; Richmond, Robert J.; Zhang, Tony - National Bureau of Economic Research - 2022
We link the sustained appreciation of the U.S. dollar from 2011 to 2019 to international capital flows driven by primitive economic factors. We show that increases in foreign investors' net savings, increases in U.S. monetary policy rates relative to the rest of the world, and shifts in investor...
Persistent link: https://www.econbiz.de/10013435120
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Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
Andersen, Torben G. - 2000
It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular models such as GARCH. We consider two major dollar exchange rates, and we...
Persistent link: https://www.econbiz.de/10012471288
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Answering the Critics : Yes, ARCH Models Do Provide Good Volatility Forecasts
Andersen, Torben G. - 1997
Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …
Persistent link: https://www.econbiz.de/10012472795
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Impulse Response Functions for Self-Exciting Nonlinear Models
Francis, Neville; Owyang, Michael T.; Soques, Daniel F. - National Bureau of Economic Research - 2023
. Finally, we apply these findings to the empirical estimation of regime-dependent fiscal multipliers and find multipliers less …
Persistent link: https://www.econbiz.de/10014372466
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The Global Dollar Cycle
Obstfeld, Maurice; Zhou, Haonan - National Bureau of Economic Research - 2023
The U.S. dollar's nominal effective exchange rate closely tracks global financial conditions, which themselves show a cyclical pattern. Over that cycle, world asset prices, leverage, and capital flows move in concert with global growth, especially influencing the fortunes of emerging and...
Persistent link: https://www.econbiz.de/10014247924
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Exchange Rate Models are Better than You Think, and Why They Didn't Work in the Old Days
Engel, Charles; Wu, Steve P. Y. - National Bureau of Economic Research - 2024
Exchange-rate models fit very well for the U.S. dollar in the 21st century. A "standard" model that includes real interest rates and a measure of expected inflation for the U.S. and the foreign country, the U.S. comprehensive trade balance, and measures of global risk and liquidity demand is...
Persistent link: https://www.econbiz.de/10015056131
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Exchange Rates, Money and Relative Prices : The Dollar-Pound in the 1920's
Clements, Kenneth W. - 1980
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/10012478716
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Uncovered Interest Parity, Forward Guidance, and the Exchange Rate
Galí, Jordi - 2020
Under uncovered interest parity (UIP), the size of the effect on the real exchange rate of an anticipated change in real interest rate differentials is invariant to the horizon at which the change is expected. Empirical evidence using US, euro area and UK data points to a substantial deviation...
Persistent link: https://www.econbiz.de/10012479321