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Real exchange rates and fundamentals: robustness across alternative model specifications
Grisse, Christian; Adler, Konrad - Schweizerische Nationalbank (SNB) - 2014
This paper explores the robustness of behavioural equilibrium exchange rate (BEER) models, focusing on a panel … to (1) the combination of explanatory variables included in the model, (2) the set of currencies included in the panel … predicted by economic theory. By contrast, several macroeconomic variables commonly thought to be linked to real exchange rates …
Persistent link: https://www.econbiz.de/10011086483
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Current account benchmarks for central and eastern Europe: a desperate search?
Ca' Zorzi, Michele; Chudik, Alexander; Dieppe, Alistair - European Central Bank - 2009
sustainability approach á la Lane and Milesi-Ferretti (LM) versus the structural current accounts literature (SCA) based on panel …
Persistent link: https://www.econbiz.de/10005344844
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Thousands of models, one story: current account imbalances in the global economy
Chudik, Alexander; Dieppe, Alistair; Ca' Zorzi, Michele - European Central Bank - 2012
The global financial crisis has led to a revival of the empirical literature on current account imbalances. This paper contributes to that literature by investigating the importance of evaluating model and parameter uncertainty prior to reaching any firm conclusion. We explore three alternative...
Persistent link: https://www.econbiz.de/10010686862
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Thousands of models, one story: Current account imbalances in the global economy
Ca’ Zorzi, Michele; Chudik, Alexander; Dieppe, Alistair - In: Journal of International Money and Finance 31 (2012) 6, pp. 1319-1338
The global financial crisis has led to a revival of the empirical literature on current account imbalances. This paper contributes to that literature by investigating the importance of evaluating model and parameter uncertainty prior to reaching any firm conclusion. We explore three alternative...
Persistent link: https://www.econbiz.de/10010599351
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Predicting Stock Market Returns by Combining Forecasts
Fung, Laurence; Yu, Ip-wing - Hong Kong Monetary Authority - 2008
The predictability of stock market returns has been a challenge to market practitioners and financial economists. This is also important to central banks responsible for monitoring financial market stability. A number of variables have been found as predictors of future stock market returns with...
Persistent link: https://www.econbiz.de/10005813726
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Concepts to Calculate Equilibrium Exchange Rates: An Overview
MacDonald, Ronald - Deutsche Bundesbank - 2000
In this paper we present a critical overview of differnt methods of constructing an equilibrium exchange rate. The recent literature on purchasing power parity (PPP) indicates that on its own PPP is not a good vehicle for defining an equilibrium exchange rate. Rather, we argue that the latter...
Persistent link: https://www.econbiz.de/10005083085
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What do we Understand about Exchange Rates
Vlaar, P.J.G. - de Nederlandsche Bank - 2002
One of the major puzzles of the economic profession is the pricing of exchange rates. Despite the development of numerous theories, the actual behaviour of exchange rates, especially in the short run, is not well understood. This article evaluates several popular exchange rate theories and...
Persistent link: https://www.econbiz.de/10005101887
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Real Equilibrium Exchange Rates: a Panel Data Approach for Advanced and Emerging Economies
Villavicencio, Antonia Lopez - In: Economie Internationale (2006) 108, pp. 59-81
exchange rate and evaluates the degree of misalignment of a group of currencies since 1980. Within a panel cointegration …
Persistent link: https://www.econbiz.de/10005406522
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Real equilibrium exchange rates. A panel data approach for advanced and emerging economies.
Villavicencio, Antonia López - Departament d'Economia Aplicada, Universitat Autònoma … - 2006
exchange rate and evaluates the degree of misalignment of a group of currencies since 1980. Within a panel cointegration …
Persistent link: https://www.econbiz.de/10005562454
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And then current accounts (over)adjusted
Michele Ca’ Zorzi; Chudik, Alexander; Dieppe, Alistair - In: Empirical Economics 43 (2012) 1, pp. 245-270
Persistent link: https://www.econbiz.de/10010557897