Similar Search Results

Bjørnland, Hilde C.; Hungnes, Håvard - 2005

This paper addresses the purchasing power parity (PPP) puzzle for a commodity currency. In particular, we analyse the real exchange rate behaviour in Norway, which has a primary commodity (oil) that constitutes the majority of its exports. A substantial part of the literature on commodity...

Persistent link: https://www.econbiz.de/10010284496

Long run macroeconomic relations in the global economy

Dées, Stéphane; Holly, Sean; Pesaran, Hashem; Smith, … - 2007

This paper focuses on testing long run macroeconomic relations for interest rates, equity, prices and exchange rates suggested by arbitrage in financial and goods markets. It uses the global vector autoregressive (GVAR) model to test for long run restrictions in each country/region conditioning...

Persistent link: https://www.econbiz.de/10011604796

Noise Trading and the Effects of Monetary Policy Shocks on Nominal and Real Exchange Rates

Pierdzioch, Christian - 2003

monetary policy shocks. This result is puzzling. Economic theory suggests that the overshooting should occur immediately after …A number of empirical studies have reported the result that exchange rates show a delayed overshooting in response to … whether the assumption of noise trading in the foreign exchange market helps to resolve the delayed overshooting puzzle. The …

Persistent link: https://www.econbiz.de/10010260546

Some Notes on Overshooting

Homburg, Stefan - In: Zeitschrift für Wirtschafts- und Sozialwissenschaften 109 (1989) 3, pp. 443-447

"overshooting" in the Dornbusch sense. We proposed to use the interest differential between to countries as a direct and reliable … measure of the extend of overshooting. Observing that differential immediately reveals that the past appreciation of the … dollar against the mark has hardly anything to do with overshooting. …

Persistent link: https://www.econbiz.de/10010332568

Long run macroeconomic relations in the global economy

Dees, Stephane; Holly, Sean; Pesaran, Mohammad Hashem; … - 2007

This paper focuses on testing long run macroeconomic relations for interest rates, equity, prices and exchange rates within a model of the global economy. It considers a number of plausible long run relationships suggested by arbitrage in financial and goods markets, and uses the global vector...

Persistent link: https://www.econbiz.de/10010276204

Monetary policy and the illusionary exchange rate puzzle

Bjørnland, Hilde C. - 2005

Dornbusch’s exchange rate overshooting hypothesis is a central building block in international macroeconomics. Yet …, empirical studies of monetary policy have typically found exchange rate effects that are inconsistent with overshooting. This … with the Dornbusch overshooting hypothesis and with few exceptions consistent with UIP. …

Persistent link: https://www.econbiz.de/10010284488

Stabilizing rational speculation and price level targeting

Reither, Franco; Bennöhr, Lars - 2010

modification of the money demand specification. With a money supply rule, rational speculation dampens the overshooting of the …' inflation targeting, exchange rate overshooting induced by a monetary policy shock is less pronounced under rational speculation …

Persistent link: https://www.econbiz.de/10010289025

Readdressing the trade effect of the Euro: Allowing for currency misalignment

Hogrefe, Jan; Jung, Benjamin; Kohler, Wilhelm K. - 2010

We know that euro-area member countries have absorbed asymmetric shocks in ways that are inconsistent with a common nominal anchor. Based on a reformulation of the gravity model that allows for such bilateral misalignment, we disentangle the conventional trade cost channel and trade effects...

Persistent link: https://www.econbiz.de/10010300380

Purchasing power parity: Granger causality tests for the yen-dollar exchange rate

Schnabl, Gunther; Baur, Dirk - 2001

The paper analyses the causality between the Japanese-US relative export prices and the yen-dollar exchange rate. It explains why the Japanese yen proved strong even during the economic slump of the 1990s. The paper suggests that the appreciation of the Japanese yen forced the Japanese...

Persistent link: https://www.econbiz.de/10010305044

Is reversion to PPP in euro exchange rates non-linear?

Schnatz, Bernd - 2006

The paper tests for nonlinearities in the adjustment of the euro exchange rate towards purchasing power parity (PPP). It presents new survey based evidence consistent with non-linear patterns in euro exchange rate dynamics. Moreover, based on an exponential smooth transition autoregressive...

Persistent link: https://www.econbiz.de/10011604728

1
2
3
4
5
6
7
8
9
10
Next
Last