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Filtering the Beer; A Permanent and Transitory Decomposition
Clark, Peter B.; MacDonald, Ronald - International Monetary Fund (IMF) - 2000
In this paper we extend the BEER (Behavioral Equilibrium Exchange Rate) approach which identifies an estimated equilibrium relationship between the real exchange rate and economic fundamentals. Here the economic fundamentals are decomposed using Johansen cointegration methods into transitory and...
Persistent link: https://www.econbiz.de/10005769018
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Purchasing Power Parity and New Trade Theory
Ricci, Luca Antonio; MacDonald, Ronald - International Monetary Fund (IMF) - 2002
US dollar real exchange rates, we derive long-run coefficients for relative productivity and competitiveness in the …
Persistent link: https://www.econbiz.de/10005605250
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PPP and the Balassa Samuelson Effect; The Role of the Distribution Sector
MacDonald, Ronald; Ricci, Luca Antonio - International Monetary Fund (IMF) - 2001
result is that an increase in the productivity and competitiveness of the distribution sector with respect to foreign … countries leads to an appreciation of the real exchange rate, similarly to what a relative increase in the domestic productivity …
Persistent link: https://www.econbiz.de/10005605202
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Estimation of the Equilibrium Real Exchange Rate for South Africa
MacDonald, Ronald; Ricci, Luca Antonio - International Monetary Fund (IMF) - 2003
partners), real commodity prices, trade openness, the fiscal balance, and the extent of net foreign assets. On the basis of …
Persistent link: https://www.econbiz.de/10005769327
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The Monetary Approach to the Exchange Rate; Rational Expectations, Long-Run Equilibrium and Forecasting
MacDonald, Ronald; Taylor, Mark P. - International Monetary Fund (IMF) - 1992
We re-examine the monetary approach to the exchange rate from a number of perspectives, using monthly data on the deutschemark-dollar exchange rate. Using the Campbell-Shiller technique for testing present value models, we reject the restrictions imposed upon the data by the forward-looking...
Persistent link: https://www.econbiz.de/10005263652
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The real exchange rate in the long run : Balassa-Samuelson effects reconsidered
Bordo, Michael D.; Choudhri, Ehsan U.; Fazio, Giorgio; … - 2014
Historical data for over hundred years and 14 countries is used to estimate the long-run effect of productivity on the … real exchange rate. We find large variations in the productivity effect across four distinct monetary regimes in the sample … argue that changes in trade costs over time may affect the impact of productivity on the real exchange rate over time. We …
Persistent link: https://www.econbiz.de/10010374513
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The real exchange rate in the long run : Balassa-Samuelson effects reconsidered
Bordo, Michael D.; Choudhri, Ehsan U.; Fazio, Giorgio; … - In: Journal of international money and finance 75 (2017), pp. 69-92
Persistent link: https://www.econbiz.de/10011788025
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Decomposition of the uncovered equity parity correlation
Kunkler, Michael; MacDonald, Ronald - In: Journal of international financial markets, … 57 (2018), pp. 44-58
Persistent link: https://www.econbiz.de/10012127595
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Exchange rate forecasts and expected fundamentals
Dick, Christian D.; MacDonald, Ronald; Menkhoff, Lukas - 2014
Using a large panel of individual professionals' forecasts, this paper demonstrates that good exchange rate forecasts are related to a proper understanding of fundamentals, specifically good interest rate forecasts. This relationship is robust to individual fixed effects and further controls....
Persistent link: https://www.econbiz.de/10010429778
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Exchange rate forecasts and expected fundamentals
Dick, Christian D.; MacDonald, Ronald; Menkhoff, Lukas - In: Journal of international money and finance 53 (2015), pp. 235-256
Persistent link: https://www.econbiz.de/10011475961