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Non-fundamental exchange rate volatility and welfare
Straub, Roland; Tchakarov, Ivan - 2004
We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on economic activity and welfare. In the first part of the paper, the GARCH-SVARmodel is applied to measure empirically the effect of the conditional exogenous exchange rate...
Persistent link: https://www.econbiz.de/10009636551
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Financial remoteness and the net external position
Schmitz, Martin - 2011
This paper shows that, controlling for standard determinants of net external positions, financially-remote countries exhibit more positive net external positions. This finding is found to be stronger for less advanced countries, hinting at external funding problems for more remote countries....
Persistent link: https://www.econbiz.de/10009640769
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Exchange rate risks and asset prices in a small open economy
Derviz, Alexis - 2004
The paper proposes a multi-factor international asset pricing model in which the exchange rate is allowed to be co-determined by a risk factor imperfectly correlated to other priced risks in the economy. The significance of this factor can be established as long as one is able to observe a proxy...
Persistent link: https://www.econbiz.de/10009636537
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Production interdependence and welfare
Huang, Kevin X. D.; Liu, Zheng - 2004
, we incorporate multiple stages of production and trade into a standard NEOM model to capture world production … interdependence, and show that increased world production interdependence tends to magnify the e±ciency-improvement effect while … potential conflict in a world with production interdependence. …
Persistent link: https://www.econbiz.de/10009639409
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Real exchange rate in an inter-temporal n-country-model with incomplete markets
Mercereau, Benoît - 2003
We develop an N-country model with stock markets in which closed-form solutions for the real exchange rate is derived. Our model allows for a given number of risky-assets, which form an incomplete market. Risky asset prices and allocations of risky assets among countries are determined...
Persistent link: https://www.econbiz.de/10009639862
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A note on identification patterns in DSGE models
Andrle, Michal - 2010
This paper comments on selected aspects of identification issues of DSGE models. It suggests the singular value decomposition (SVD) as a useful tool for detecting local weak and non-identification. This decomposition is useful for checking rank conditions of identification, identification...
Persistent link: https://www.econbiz.de/10009640305
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Chronicle of currency collapses
Bussière, Matthieu; Saxena, Sweta C.; Tovar, Camilo E. - 2010
The impact of currency collapses (i.e. large nominal depreciations or devaluations) on real output remains unsettled in the empirical macroeconomic literature. This paper provides new empirical evidence on this relationship using a dataset for 108 emerging and developing economies for the period...
Persistent link: https://www.econbiz.de/10009640314
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Methodological advances in the assessment of equilibrium exchange rates
Bussière, Matthieu; Ca’ Zorzi, Michele; Chudík, … - 2010
exchange rate, concluding that inference can be improved by panel estimation. The fourth and final issue addresses the presence … of strong and weak cross section dependence in panel estimation, suggesting which panel estimators one could use in this …. The third issue discusses the uncertainty associated to the estimation of a reduced form relationship for the real …
Persistent link: https://www.econbiz.de/10009640408
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Using the global dimension to identify shocks with sign restrictions
Chudik, Alexander; Fidora, Michael - 2011
Identification of structural VARs using sign restrictions has become increasingly popular in the academic literature. This paper (i) argues that identification of shocks can benefit from introducing a global dimension, and (ii) shows that summarising information by the median of the available...
Persistent link: https://www.econbiz.de/10009640694
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Productivity and the ('synthetic') euro-dollar exchange rate
Schnatz, Bernd; Vijselaar, Focco; Osbat, Chiara - 2003
This paper analyses the impact of productivity developments in the United States and the euro area on the euro-dollar exchange rate. The paper presents a new measure of relative average labour productivity (ALP), which does not suffer from the biases implicit in readily available relative ALP...
Persistent link: https://www.econbiz.de/10009639842