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World Consistent Equilibrium Exchange Rates
Bénassy-Quéré, Agnès; Lahrèche-Révil, Amina; … - Centre d'études prospectives et d'informations … - 2006
Persistent link: https://www.econbiz.de/10005607318
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Nonlinear Adjustment of the Real Exchange Rate Towards its Equilibrium Value: a Panel Smooth Transition Error Correction Modelling
Béreau, Sophie; Villavicencio, Antonia Lopez; Mignon, … - Centre d'études prospectives et d'informations … - 2008
We study the nonlinear dynamics of the real exchange rate towards its behavioral equilibrium value (BEER) using a Panel …
Persistent link: https://www.econbiz.de/10005062875
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Taux de change et mésalignements du franc CFA avant et après l’introduction de l’euro
Gnimassoun, Blaise - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2012
In this paper, we rely on panel cointegration techniques to estimate the equilibrium exchange rate of the CFA Franc …
Persistent link: https://www.econbiz.de/10009652079
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Détermination du taux de change réel d'equilibre par les fondamentaux de l'économie pour l'Algérie : approche par un modèle dynamique stochastique d'équilibre géneral
Achouche, Mohammed; Kherbachi, Hamid - In: Les cahiers du CREAD : revue du Centre de Recherches en … (2006) 75, pp. 109-148
Persistent link: https://www.econbiz.de/10003465640
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Le coût de la surévaluation réelle
Artus, Patrick - 1995
Persistent link: https://www.econbiz.de/10000919362
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Les taux de change d'équilibre fondamentaux : de l'approche théorique à l'évaluation empirique
Borowski, Didier; Couharde, Cécile; Thibault, Florence - In: Revue française d'économie : RFE 13 (1998) 3, pp. 177-206
Persistent link: https://www.econbiz.de/10001417768
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Currency Misalignments and Growth: a New Look Using Nonlinear Panel Data Methods
Béreau, Sophie; Villavicencio, Antonia Lopez; Mignon, … - Centre d'études prospectives et d'informations … - 2009
The aim of this paper is to investigate the link between currency misalignments and economic growth. Relying on panel … cointegration techniques, we calculate real exchange rate (RER) misalignments as deviations of actual RERs from their equilibrium … values for a set of advanced and emerging economies. Estimating panel smooth transition regression models, we show that RER …
Persistent link: https://www.econbiz.de/10008493437
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Fundamentals and exchange rate forecastability with machine learning methods
Amat, Christophe; Michalski, Tomasz; Stoltz, Gilles - 2014
Using methods from machine learning we show that fundamentals from simple exchange rate models (PPP or UIRP) or Taylor-rule based models lead to improved exchange rate forecasts for major currencies over the floating period era 1973--2014 at a 1-month forecast horizon which beat the no-change...
Persistent link: https://www.econbiz.de/10010499680
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Toxic arbitrage
Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah - 2015
Short lived arbitrage opportunities arise when prices adjust with a lag to new information. They are toxic because they expose dealers to the risk of trading at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities and a faster arbitrageurs' response to these...
Persistent link: https://www.econbiz.de/10010499534
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Dynamique à long terme du taux de change réel, libéralisation commerciale et intégration financière: cas des pays du Sud et de l'Est Méditerranéen
Hadj Amor, Thouraya; El Araj, Rita - In: Panoeconomicus 56 (2009) 1, pp. 73-93
Persistent link: https://www.econbiz.de/10003879020