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Forecasting exchange rates of major currencies with long maturity forward rates
Darvas, Zsolt M.; Schepp, Zoltán - 2020
This paper presents unprecedented exchange rate forecasting results, based upon a new model that approximates the gap between the fundamental equilibrium exchange rate and the actual exchange rate with the long-maturity forward exchange rate. The theoretical derivation of our forecasting...
Persistent link: https://www.econbiz.de/10012302033
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Hierarchical time varying estimation of a multi factor asset pricing model
Baillie, Richard; Calonaci, Fabio; Kapetanios, George - 2019
This paper presents a new hierarchical methodology for estimating multi factor dynamic asset pricing models. The approach is loosely based on the sequential approach of Fama and MacBeth (1973). However, the hierarchical method uses very flexible bandwidth selection methods in kernel weighted...
Persistent link: https://www.econbiz.de/10011960113
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Energy prices and the real exchange rate of commodity-exporting countries
Dauvin, Magali - 2013
This paper investigates the relationship between energy prices and the real effective exchange rate of commodity-exporting countries. We consider two sets of countries: 10 energy-exporting and 23 non-fuel commodity-exporting countries over the period 1980-2011. Estimating a panel cointegrating...
Persistent link: https://www.econbiz.de/10010225994
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Forecasting exchange rates with a large Bayesian VAR
Carriero, Andrea (contributor);  … - 2008
Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the same problem. In this paper, we propose to forecast exchange rates with a...
Persistent link: https://www.econbiz.de/10003765975
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Is the Chinese currency substantially misaligned to warrant further appreciation?
Qin, Duo; He, Xinhua - 2010
This study provides quarterly time-series estimates of the misalignment in the REER of the Renminbi (RMB). The … misalignment exists in the trilateral rates between the RMB, US$ and euro. The finding refutes the claim that RMB appreciation is … the primary and necessary solution to the current global trade imbalance. -- Real exchange rate misalignment …
Persistent link: https://www.econbiz.de/10003933930
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Exchange rate misalignments : historical experience of Japan, Germany, Singapore and Taiwan compared to China today
Qin, Duo; He, Xinhua; Liu, Yimeng - 2010
This is a comparative study on the historical experience of real effective exchange rate (REER) misalignment of …) valuation. Panel-based misalignment estimates of the four economies show that net foreign asset build-up does not necessarily … result in currency misalignment, and the recent misalignment of RMB is not unprecedented in terms of magnitude, duration or …
Persistent link: https://www.econbiz.de/10003990427
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Is the Rupee over-valued?
Bhagwati, Jaimini; Barua, Abheek; Khan, M. Shuheb - 2015
The paper's objective is to examine whether the Indian Rupee was fairly valued as of end March 2015. First, the movements of the trade weighted real effective exchange rate (REER) of the Rupee are tracked over the last ten years. Next, the underpinnings of the Harrod-Balassa-Samuelson effect,...
Persistent link: https://www.econbiz.de/10011284447
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Inflation targeting in Colombia, 2002 - 2012
Urrutia, Miguel; Hofstetter Gascón, Marcel; Hamann S., … - 2014
After decades using monetary aggregates as the main instrument of monetary policy and having different varieties of crawling peg exchange rate regimes, Colombia adopted a full-fledged inflation-targeting (IT) regime in 1999, with inflation as the nominal anchor, a floating exchange rate, and the...
Persistent link: https://www.econbiz.de/10011285649
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Timely measurement of real effective exchange rates
Darvas, Zsolt M. - 2021
We demonstrate that short-run real exchange effective rate changes are dominated by nominal effective exchange rate changes, while inflation rates are sticky and contribute little to short-run real exchange rate changes. These observations allow a rather accurate real-time approximation of the...
Persistent link: https://www.econbiz.de/10013184685
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Competition-adjusted measures of real exchange rates
Stein, Ernesto; Fernández, Andrés; Rosenow, Samuel; … - 2018
We develop a methodology to construct real effective exchange rates that incorporate two distinctive elements not accounted for in the traditional measures: i) competition in third markets and ii) adjustments for similarity in export baskets between exporters and their competitors. In addition...
Persistent link: https://www.econbiz.de/10011882792