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Bjørnland, Hilde C.; Hungnes, Håvard - 2005

. Adjustment to equilibrium (half-lives) is also substantially reduced, taking no more than one year on average. Hence, contrary to …

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

Nominal exchange rate flexibility and real exchange rate adjustment : evidence from dual exchange rates in developing countries

Cheung, Yin-Wong; Lai, Kon-Sun - 2005

This study investigates whether exchange rate flexibility aids real exchange rate adjustment based on intra-period data … produces faster or slower real exchange rate adjustment than the much less flexible official rate does. Half-life estimates of … adjustment speeds are obtained using fractional time series analysis. We find no systematic evidence that greater exchange rate …

Persistent link: https://www.econbiz.de/10010274493

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

How successful is the G7 in managing exchange rates?

Fratzscher, Marcel - 2008

The paper assesses the extent to which the Group of Seven (G7) has been successful in its management of major currencies since the 1970s. Using an event-study approach, the paper finds evidence that the G7 has been overall effective in moving the US dollar, yen and euro in the intended direction...

Persistent link: https://www.econbiz.de/10011604998

PPP: a Disaggregated View

Fischer, Christoph - 2004

By disaggregating price indices, it becomes apparent that the real exchange rate consists of the real exchange rate for a single good and a weighted sum of relative prices between goods. When applying a battery of panel unit root tests to this sum and its components, it is found that both the...

Persistent link: https://www.econbiz.de/10010295634

Do real exchange rate appreciations matter for growth?

Bussière, Matthieu; Lopez, Claude; Tille, Cédric - 2014

While the impact of exchange rate changes on economic growth has long been an issue of key importance in international macroeconomics, it has received renewed attention in recent years, owing to weaker growth rates and the debate on "currency wars". However, in spite of its prevalence in the...

Persistent link: https://www.econbiz.de/10011381204

Investor sentiment in the US-dollar: longer-term, nonlinear orientation on PPP

Menkhoff, Lukas; Rebitzky, Rafael R. - 2007

How is it possible that exchange rates move in the long run towards fundamentals, while professionals form consistently irrational exchange rate expectations? We look at this puzzle from a different perspective by analyzing investor sentiment in the US-dollar market. First, long-horizon...

Persistent link: https://www.econbiz.de/10010264930

International capital flow pressures

Goldberg, Linda S.; Krogstrup, Signe - 2018

rate adjustments. The formulation is theory-based, relying on balance of payments equilibrium conditions and international …

Persistent link: https://www.econbiz.de/10011942779

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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