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Productivity shocks and real exchange rate : a reappraisal
Peltonen, Tuomo; Sager, Michael - 2009
We reappraise the relationship between productivity and equilibrium real exchange rates using a panel estimation … role of non-traded, as well as traded, sector productivity shocks in exchange rate determination. We find evidence of … significant correlation between real exchange rates and productivity differentials in both sectors. But our finding of a …
Persistent link: https://www.econbiz.de/10003832627
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Can non-linear real shocks explain the persistence of PPP exchange rate disequilibria?
Peltonen, Tuomo; Popescu, Adina; Sager, Michael - 2009
persistence typically proceed along two distinct paths, resorting either to the presence of real shocks such as productivity … rates. -- EPSTAR ; exchange rate ; PPP ; Balassa-Samuelson ; productivity …
Persistent link: https://www.econbiz.de/10003867086
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Boosting carry with equilibrium exchange rate estimates
Rubaszek, Michał; Beckmann, Joscha; Ca'Zorzi, Michele; … - 2022
We build currency portfolios based on the paradigm that exchange rates slowly converge to their equilibrium to highlight three results. First, this property can be exploited to build profitable portfolios. Second, the slow pace of convergence at short-horizons is consistent with the evidence of...
Persistent link: https://www.econbiz.de/10013375145
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Bond market co-movements, expected inflation and the equilibrium real exchange rate
Macchiarelli, Corrado - 2011
Since the end of the fixed rates in 1973 and after the EMS sterling dismissal in 1992, the value of the pound has undergone large cyclical fluctuations on average. Of particular interest to policy makers is the understanding of whether such movements are consistent with the lack or not of a...
Persistent link: https://www.econbiz.de/10009405600
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A VAR analysis for the uncovered interest parity and the ex-ante purchasing power parity : the role of macroeconomic and financial information
Macchiarelli, Corrado - 2011
This study revisits the relation between the uncovered interest parity (UIP), the ex ante purchasing power parity (EXPPP) and the real interest parity (RIP) using a VAR approach for the US dollar, the British sterling and the Japanese yen interest rates, exchange rates and changes in prices. The...
Persistent link: https://www.econbiz.de/10009405601
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Real exchange rate misalignments in the euro area
Fidora, Michael; Giordano, Claire; Schmitz, Martin - 2017
Building upon a Behavioural Equilibrium Exchange Rate (BEER) model, estimated at a quarterly frequency since 1999 on a broad sample of 57 countries, this paper assesses whether both the size and the persistence of real effective exchange rate misalignments from the levels implied by economic...
Persistent link: https://www.econbiz.de/10011745793
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The admission of accession countries to an enlarged monetary union : a tentative assessment
Ca'Zorzi, Michele (contributor);  … - 2003
Persistent link: https://www.econbiz.de/10001762876
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Real exchange rate in an inter-temporal n-country-model with incomplete markets
Mercereau, Benoît (contributor) - 2003
Persistent link: https://www.econbiz.de/10001749466
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Exchange rate forecasting on a napkin
Ca'Zorzi, Michele; Rubaszek, Michał - 2018
This paper shows that there are two regularities in foreign exchange markets in advanced countries with flexible regimes. First, real exchange rates are mean-reverting, as implied by the Purchasing Power Parity model. Second, the adjustment takes place via nominal exchange rates. These features...
Persistent link: https://www.econbiz.de/10011856403
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The predictive power of equilibrium exchange rate models
Ca'Zorzi, Michele; Cap, Adam; Mijakovic, Andrej; … - 2020
In this paper we evaluate the predictive power of the three most popular equilibrium exchange rate concepts: Purchasing Power Parity (PPP), Behavioral Equilibrium Exchange Rate (BEER) and the Macroeconomic Balance (MB) approach. We show that there is a clear trade-off between storytelling and...
Persistent link: https://www.econbiz.de/10012139745