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Can non-linear real shocks explain the persistence of PPP exchange rate disequilibria?

Peltonen, Tuomas A.; Popescu, Adina; Sager, Michael - 2009

adjustment process around PPP. By contrast, we combine these two explanations in the context of an innovative panel estimation … exchange rates from levels implied by Purchasing Power Parity (PPP) are very persistent. Empirical efforts to explain this … differentials that drive equilibrium exchange rates away from levels implied by PPP, or the presence of non-linearities in the …

Persistent link: https://www.econbiz.de/10011605119

Biases in FX-Forecasts: Evidence from Panel Data

Audretsch, David B.; Stadtmann, Georg - 2005

In this paper, we use the Wall Street Journal poll of FX forecasts to analyze how the group of forecasters form their expectations. One focus is whether forecasters build rational expectations. Furthermore, we analyze whether the group of forecasters can be regarded as homogeneous or...

Persistent link: https://www.econbiz.de/10010296155

The commodity currency puzzle

Bjørnland, Hilde C.; Hungnes, Håvard - 2005

This paper addresses the purchasing power parity (PPP) puzzle for a commodity currency. In particular, we analyse the …, PPP does not hold in the long run. We show that once we also control for the effect of the interest rate differential in … the real exchange rate relationship, the discrepancies from PPP are fully accounted for. Furthermore, with the interest …

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

Sources of Euro Real Exchange Rate Fluctuations: What Is Behind the Euro Weakness in 1999-2000?

Gottschalk, Jan; Döpke, Jörg; Kamps, Christophe - 2001

This paper analyzes the factors underlying the weakness of the euro. For this purpose, the framework advocated by Clarida and Gali (1994) is used. Within this model, three structural shocks drive the dynamics of the endogenous variables: aggregate supply shocks, aggregate spending shocks, and...

Persistent link: https://www.econbiz.de/10010260459

Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset

Kühl, Michael - 2008

The aim of this paper is to detect periods in which two currencies can be classified as being the'same' asset. Two currencies can be treated as the same asset if their exchange rates vis-à-vis the same base currency are cointegrated with a cointegration vector that is consistent with the...

Persistent link: https://www.econbiz.de/10010300152

Bank of England interest rate announcements and the foreign exchange market

Melvin, Michael; Saborowski, Christian; Sager, Michael; … - 2009

Since 1997, the Bank of England Monetary Policy Committee (MPC) has met monthly to set the UK policy interest rate. We examine evidence of systematic patterns in exchange rate movements on MPC days over the first decade of operation of the MPC. Daily data reveal significant differences in...

Persistent link: https://www.econbiz.de/10010264608

Exchange rate forecasters' performance: Evidence of skill?

MacDonald, Ronald; Menkhoff, Lukas; Rebitzky, Rafael R. - 2009

This paper sheds new light on a long-standing puzzle in the international finance literature, namely, that exchange rate expectations appear inaccurate and even irrational. We find for a comprehensive dataset that individual forecasters' performance is skill-based. 'Superior' forecasters show...

Persistent link: https://www.econbiz.de/10010264610

Customer trading in the foreign exchange market empirical evidence from an internet trading platform

Lechner, Sandra; Nolte, Ingmar - 2007

This paper analyzes the relationship between currency price changes and their expectations. Currency price change expectations are derived with the help of different order flow measures, from the trading behavior of investors on OANDA FXTrade, which is an internet trading platform in the foreign...

Persistent link: https://www.econbiz.de/10010266950

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

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

conventional trade cost channel and trade effects deriving from 'implicit currency misalignment'. Econometric estimation reveals …

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

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