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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
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Explaining the money demand of non-financial corporations in the Euro area : a macro and a micro view
Martínez-Carrascal, Carmen; Landesberger, Julian von - 2010
This paper analyses euro area non-financial corporations (NFC) money demand, both from a macro and a microeconomic point of view. At a macro level, money holdings are modelled as a function of real gross added value, the price level, the long-term interest rate on bank lending to non-financial...
Persistent link: https://www.econbiz.de/10008688524
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The international dimension of an incomplete EMU
Ioannou, Demosthenes; Pagliari, Maria Sole; Stracca, Livio - 2020
This paper quantifies the economic influence that shocks to EMU cohesion, which in turn reflect the incomplete nature of the monetary union, have on the rest of the world. Disentangling euro area stress shocks and global risk aversion shocks based on a combination of sign, magnitude and...
Persistent link: https://www.econbiz.de/10012263010
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Non-fundamental exchange rate volatility and welfare
Straub, Roland; Tchakarov, Ivan - 2004
We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on economic activity and welfare. In the first part of the paper, the GARCH-SVARmodel is applied to measure empirically the effect of the conditional exogenous exchange rate...
Persistent link: https://www.econbiz.de/10009636551
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Exchange rate shocks and inflation comovement in the euro area
Leiva-Leon, Danilo; Martínez-Martín, Jaime; Ortega, Eva - 2020
This paper decomposes the time-varying effect of exogenous exchange rate shocks on euro area countries in ation into country-specific (idiosyncratic) and region-wide (common) components. To do so, we propose a exible empirical framework based on dynamic factor models subject to drifting...
Persistent link: https://www.econbiz.de/10012181317
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Budgetary and external imbalances relationship : a panel data diagnostic
Afonso, António; Rault, Christophe - 2008
We assess the cointegration relationship between current account and budget balances, and effective real exchange rates …, using recent bootstrap panel cointegration techniques and SUR methods. We investigate the magnitude of the relationship … panel cointegration tests used allow for within and between correlation, while the SUR results show both positive and …
Persistent link: https://www.econbiz.de/10003803327
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Testing the asset pricing model of exchange rates with survey data
Naszodi, Anna - 2010
This paper proposes a new test for the asset pricing model of the exchange rate. It examines whether the way market analysts generate their forecasts is closer to the one implied by the asset pricing model, or to any of those implied by some alternative models. The asset pricing model is...
Persistent link: https://www.econbiz.de/10003973394
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Exchange rate risks and asset prices in a small open economy
Derviz, Alexis - 2004
The paper proposes a multi-factor international asset pricing model in which the exchange rate is allowed to be co-determined by a risk factor imperfectly correlated to other priced risks in the economy. The significance of this factor can be established as long as one is able to observe a proxy...
Persistent link: https://www.econbiz.de/10009636537
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Production interdependence and welfare
Huang, Kevin X. D.; Liu, Zheng - 2004
The international welfare effects of a country's monetary policy shocks have been controversial in the new open economy macro (i.e., NOEM) literature. While a unilateral monetary expansion increases the production efficiency in each country, it affects the terms of trade in favor of one country...
Persistent link: https://www.econbiz.de/10009639409