Similar Search Results

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 … of the conditional exogenous exchange rate volatility on the conditional mean of the endogenous variables in our open … economy VAR. Our results for Canada, Germany and UK indicate that the effects of exchange rate uncertainty are small …

Persistent link: https://www.econbiz.de/10009636551

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

International risk-sharing and the transmission of productivity shocks

Corsetti, Giancarlo; Dedola, Luca; Leduc, Sylvain - 2004

A central puzzle in international finance is that real exchange rates are volatile and, in stark contradiction to effcient risk-sharing, negatively correlated with cross-country consumption ratios. This paper shows that incomplete asset markets and a low price elasticity of tradables can account...

Persistent link: https://www.econbiz.de/10009636531

Production interdependence and welfare

Huang, Kevin X. D.; Liu, Zheng - 2004

The international welfare effects of a country's monetary policy shocks have been controversial in the new open economy macro (i.e., NOEM) literature. While a unilateral monetary expansion increases the production efficiency in each country, it affects the terms of trade in favor of one country...

Persistent link: https://www.econbiz.de/10009639409

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

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

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

Methodological advances in the assessment of equilibrium exchange rates

Bussière, Matthieu; Ca’ Zorzi, Michele; Chudík, … - 2010

address them. The first issue relates to the presence of model uncertainty in deriving benchmarks for the current account … identification schemes, the uncertainty surrounding export and import exchange rate elasticities is large even at longer horizons …. 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

Comparing economic dynamics in the EU and CEE accession countries

Süppel, Ralph - 2003

This paper presents evidence for structural differences in economic growth dynamics between the current EU and the central- and eastern European accession countries. Two important results emerge from the analysis. First, accession countries have posted higher average growth and wider output...

Persistent link: https://www.econbiz.de/10009635910

Exchange rates and fundamentals

Engel, Charles; West, Kenneth David - 2003

Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...

Persistent link: https://www.econbiz.de/10009635953