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The Usual Suspects? Productivity and Demand Shocks and Asia-Pacific Real Exchange Rates
Chinn, Menzie David - Oesterreichische Nationalbank - 1998
The evidence for a productivity-based explanation for real exchange rate behavior of East Asian currencies is examined. Using sectoral output and employment data, relative prices and relative productivity levels are calculated for China, Indonesia, Japan, Korea, Malaysia, Philippines, Singapore,...
Persistent link: https://www.econbiz.de/10005839490
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Exchange Rate Volatility and Non-Traditional Exports Performance: Zambia, 1965–1999
Musonda, Anthony - Volkswirtschaftliche Fakultät, … - 2008
This study estimated an error correction model of the impact of real effective exchange rate volatility on the performance of non-traditional exports for Zambia between 1965 and 1999. Using a generalized autoregressive conditional heteroscedasticity (GARCH) measure of real exchange rate...
Persistent link: https://www.econbiz.de/10009004209
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Working Paper 31a
Chinn, Menzie David - Oesterreichische Nationalbank - 1998
The evidence for a productivity-based explanation for real exchange rate behavior of East Asian currencies is examined. Using sectoral output and employment data, relative prices and relative productivity levels are calculated for China, Indonesia, Japan, Korea, Malaysia, Philippines, Singapore,...
Persistent link: https://www.econbiz.de/10010727668
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The relative price of tradables and nontradables and the U.S. trade balance
Zietz, Joachim - In: Open Economies Review 7 (1996) 2, pp. 147-160
The real exchange rate is defined as the relative price of nontradables and tradables. An index of the relative price … exports than a comparable purchasing power parity real exchange rate. The relative price of nontradables, in turn, is shown to … be cointegrated with a set of variables that drive the demand for and supply of nontradables. These variables capture …
Persistent link: https://www.econbiz.de/10005715088
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Nonlinear Econometric Approaches in Testing PPP of SADC Economies towards Monetary Union
Zerihun, Mulatu F.; Breitenbach, Marthinus C.; Kemegue, … - Economic Research Southern Africa (ERSA) - 2014
The theory of purchasing power parity implies that real exchange rate series should be stationary. However, conventional unit root tests on the Southern African Development community (SADC) real exchange rates confirm the existence of a unit root. Such deficiencies in the investigation of the...
Persistent link: https://www.econbiz.de/10010747544
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External imbalance, valuation adjustments and real Exchange rate: evidence of predictability in an emerging economy.
Pincheira, Pablo; Selaive, Jorge - In: Revista de Analisis Economico – Economic Analysis Review 26 (2011) 1, pp. 107-125
In this paper we provide evidence of exchange rate predictability for a selected emerging market economy (EME) at intermediate horizons, arguably, the most relevant for policy purposes. This is important because the existing literature on exchange rate predictability has mainly focused on...
Persistent link: https://www.econbiz.de/10009416799
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Real Exchange Rate Dynamics in the Presence of Nontraded Goods and Transaction Costs
LEE, Inkoo; SHIN, Jonghyup - East Asian Bureau of Economic Research (EABER) - 2008
This paper studies the role of nontraded goods and transaction costs in accounting for the puzzling behavior of the real exchange rate. In particular, we develop a simple general equilibrium model and evaluate the quantitative performance of the model in replicating the dynamic properties of the...
Persistent link: https://www.econbiz.de/10009365409
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The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand
Aye, Goodness C.; Balcilar, Mehmet; Bosch, Adel; Gupta, … - Department of Economics, Faculty of Economic and … - 2013
This paper analyses the out-of-sample forecasting performance of non-linear vs. linear models for the South African Rand against the United States dollar and the British Pound, in real terms. We compare the forecasting performance of point, interval and density forecasts for non-linear Band- TAR...
Persistent link: https://www.econbiz.de/10010636769
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The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand
Aye, Goodness C.; Balcilar, Mehmet; Bosch, Adél; … - In: European Journal of Comparative Economics 10 (2013) 1, pp. 121-148
This paper analyses the out-of-sample forecasting performance of non-linear vs. linear models for the South African rand against the United States dollar and the British pound, in real terms. We compare the forecasting performance of point, interval and density forecasts for non-linear Band-TAR...
Persistent link: https://www.econbiz.de/10010643614
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Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?
Kilian, Lutz; Taylor, Mark P - C.E.P.R. Discussion Papers - 2001
We propose an exchange rate model that can explain both the observed volatility and the persistence of real and nominal exchange rate movements and thus in some measure resolves Rogoff’s (1996) purchasing power parity puzzle. Our analysis reconciles the well-known difficulties in beating the...
Persistent link: https://www.econbiz.de/10005124271