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

Chinn, Menzie D. - 2005

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/10012467158

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/10012456140

The Harrod-Balassa-Samuelson Hypothesis : Real Exchange Rates and their Long-Run Equilibrium

Chong, Yanping - 2010

Frictionless, perfectly competitive traded-goods markets justify thinking of purchasing power parity (PPP) as the main driver of exchange rates in the long-run. But differences in the traded/non-traded sectors of economies tend to be persistent and affect movements in local price levels in ways...

Persistent link: https://www.econbiz.de/10012462782

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

Traded and Nontraded Goods Prices, and International Risk Sharing : an Empirical Investigation

Corsetti, Giancarlo - 2011

Accounting for the pervasive evidence of limited international risk sharing is an important hurdle for open-economy models, especially when these are adopted in the analysis of policy trade-offs likely to be affected by imperfections in financial markets. Key to the literature is the evidence,...

Persistent link: https://www.econbiz.de/10012461156

Understanding Korea's Long-Run Real Exchange Rate Behavior

Irwin, Douglas A.; Obstfeld, Maurice - National Bureau of Economic Research - 2024

Korea's real exchange rate has displayed a mild downward trend since the 1980s, with fluctuations of ±20 percent around that trend. This pattern is surprising because the classic Harrod-Balassa-Samuelson framework suggests that countries experiencing rapid growth in the productivity of their...

Persistent link: https://www.econbiz.de/10015056095

What do Financial Markets say about the Exchange Rate?

Chernov, Mikhail; Haddad, Valentin; Itskhoki, Oleg - National Bureau of Economic Research - 2024

Financial markets play two roles with implications for the exchange rate: they accommodate risk sharing and act as a source of shocks. In prevailing theories, these roles are seen as mutually exclusive and individually face challenges in explaining exchange rate dynamics. However, we demonstrate...

Persistent link: https://www.econbiz.de/10014544715

Monetary Policy without Moving Interest Rates : The Fed Non-Yield Shock

Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2024

-announcement times. We use a heteroskedasticity-based procedure to estimate a "Fed non-yield shock", which is orthogonal to yield changes … and is identified from excess volatility in the S&P 500 and various dollar exchange rates. A positive non-yield shock …-yield shock is essentially uncorrelated with previous monetary policy shocks and its effects are large in comparison. Its strong …

Persistent link: https://www.econbiz.de/10014576665

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

What Drives the Exchange Rate?

Itskhoki, Oleg; Mukhin, Dmitry - National Bureau of Economic Research - 2023

We use a general open-economy wedge-accounting framework to characterize the set of shocks that can account for major exchange rate puzzles. Focusing on a near-autarky behavior of the economy, we show analytically that all standard macroeconomic shocks -- including productivity, monetary,...

Persistent link: https://www.econbiz.de/10014447328

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