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Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data
Wilfling, Bernd; Trede, Mark - 2004
Recently various exchange rate models capturing the dynamics during the transition from an exchange rate arrangement of floating rates into a currency union have been derived. Technically, these stochastic equilibrium models are diffusion processes which have to be estimated by discretely...
Persistent link: https://www.econbiz.de/10010295399
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Concepts to Calculate Equilibrium Exchange Rates: An Overview
MacDonald, Ronald - 2000
In this paper we present a critical overview of differnt methods of constructing an equilibrium exchange rate. The recent literature on purchasing power parity (PPP) indicates that on its own PPP is not a good vehicle for defining an equilibrium exchange rate. Rather, we argue that the latter...
Persistent link: https://www.econbiz.de/10010295691
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Central Bank Intervention and Exchange Rate Expectations: Evidence from the Daily DM/US-Dollar Exchange Rate
Reitz, Stefan - 2002
In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...
Persistent link: https://www.econbiz.de/10010295734
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Sterilized Foreign Exchange Market Interventions in a Chartist-Fundamentalist Exchange Rate Model
Schmidt, Robert; Wollmershäuser, Timo - 2004
Sterilized foreign exchange market interventions are commonly dismissed by economists as an ineffective policy instrument. Nevertheless many central banks operating under independently floating exchange rates regimes are often engaged in sales and purchases of foreign exchange in order to...
Persistent link: https://www.econbiz.de/10010296527
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The excess volatility of foreign exchange rates: Statistical puzzle or theoretical artifact?
Hauswald, Robert B. H. - 1999
The inability to reconcile observed levels of foreign exchange rate volatility with predictions derived from rational expectations models represents one of the most persistent challenges in international finance. This paper shows that such excess volatility puzzles arise from informational...
Persistent link: https://www.econbiz.de/10010301314
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An eclectic approach to real exchange rate: Determination
Cerveró, Susana G. - 1999
We present a model of bilateral real exchange rate determination based on different theories that can be combined into a common statistical framework. Although eclectic, the approach is successfully used to shape a final specification which performs surprisingly well when out of sample exercises...
Persistent link: https://www.econbiz.de/10010301775
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Preisträgheit und reale Wechselkursdynamik. Die Persistenz realer Wechselkurse in dynamischen stochastischen Gleichgewichtsmodellen
Heil, Volker - 2003
Dieses Arbeitspapier untersucht Erklärungen für das hohe Mass an Persistenz und Volatilität des realen Wechselkurses. Dabei wird dem Ansatz gefolgt, dass die Schwankungen des realen Wechselkurses zurückzuführen sind auf exogene Schocks in Interaktion mit trägen Güterpreisen. Der Fokus...
Persistent link: https://www.econbiz.de/10010323721
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Modeling optimism and pessimism in the foreign exchange market
de Grauwe, Paul; Kaltwasser, Pablo Rovira - 2007
In this paper we model how the existence of different beliefs about the underlying fundamental value of a currency affects the dynamics of the exchange rate. We find that a divergence of beliefs creates the potential for waves of optimism and pessimism that alternate in an unpredictable way....
Persistent link: https://www.econbiz.de/10010273768
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The damage from clean floats: From an anti-inflationary monetary policy
Pope, Robin; Selten, Reinhard; Kaiser, Johannes; Kube, … - 2007
embeds a new theory of exchange rate determination involving the uncontroversial power of fully cooperating central banks to … totally fix the exchange rate. The new model is within a broader theory that includes risk effects normally excluded, SKAT …, the Stages of Knowledge Ahead Theory. We use SKAT to analyse outliers in our experimental results, and indicate some new …
Persistent link: https://www.econbiz.de/10010274161
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Wechselkursunsicherheit und Außenhandel: Eine Analye der theoretischen Literatur
Fischer, Malte - 1997
and theory for a long time. The paper surveys the theoretical investigations on this topic. The early modeis which analyse …
Persistent link: https://www.econbiz.de/10010275374