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Time-varying dynamics of the real exchange rate : a structural VAR analysis
Mumtaz, Haroon; Sunder-Plassmann, Laura - 2010
United Kingdom, euro area and Japan and after the mid-1990s for Canada. Nominal shocks had a larger impact on output and …
Persistent link: https://www.econbiz.de/10003940278
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Accounting for the Source of Exchange Rate Movements : New Evidence
Farrant, Katie; Peersman, Gert - 2005
Kingdom, euro area, Japan and Canada versus the United States. A new identification strategy is proposed building on sign …
Persistent link: https://www.econbiz.de/10014061901
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A new measure of the Canadian effective exchange rate
Barnett, Russell; Charbonneau, Karyne; Poulin-Bellisle, … - 2016
Canada's international competitiveness has received increasing attention in recent years as exports have fallen short … of expectations and Canada has lost market share. This paper asks whether the Bank of Canada's current effective exchange … rate measure, the CERI, is still an accurate measure of Canada's international competitiveness. Overall, while the CERI …
Persistent link: https://www.econbiz.de/10011414603
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Deviations of Exchange Rates from Purchasing Power Parity : A Story Featuring Two Monetary Unions
Bayoumi, Tamim - 2006
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group appear...
Persistent link: https://www.econbiz.de/10012782287
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Paper Pushers or Paper Money? Empirical Assessment of Fiscal and Monetary Models of Exchange Rate Determination
Chinn, Menzie David - 1998
This paper documents the evidence in support of fiscal and monetary exchange rates for the Canadian dollar, Deutschemark, Yen, and Pound over the 1974-1993 period. Cointegrating relationships between the real exchange rate and (i) fiscal impulses and (ii) productivity and government spending are...
Persistent link: https://www.econbiz.de/10014116846
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A re-examination of the link between real exchange rates and real interest rate differentials
Hoffmann, Mathias; MacDonald, Ronald - 2003
The real exchange rate - real interest rate (RERI) relationship is central to most open economy macroeconomic models. However, empirical support for the relationship, especially when cointegrationbased methods are used, is rather weak. In this paper we reinvestigate the RERI relationship using...
Persistent link: https://www.econbiz.de/10011506475
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Uncover Latent PPP by Dynamic Factor Error Correction Model (Df-Ecm) Approach : Evidence from Five OECD Countries
Qin, Duo - 2011
This study explores a new modelling approach that bridges the gap between multilateral country-level data and the bilateral-model based, goods-market specific purchasing power parity (PPP) hypothesis. Under this approach, PPP is embedded in latent common factors, extractable from a large set of...
Persistent link: https://www.econbiz.de/10013132129
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Uncover Latent PPP by Dynamic Factor Error Correction Model (Df-Ecm) Approach : Evidence from Five OECD Countries
Qin, Duo - 2011
This study explores a new modelling approach to bridge the gap between the bilateral setting of one 'domestic' economy facing one 'foreign' entity in theory and multilateral country data in reality. Under the approach, purchasing power parity (PPP) is embedded in latent disequilibrium factors,...
Persistent link: https://www.econbiz.de/10013132428
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Long Run Relationship between Real Exchange Rate and Real Interest Rate Differentials : The Cointegration Approach
Patra, Nilanjan - 2006
Despite the centrality of the theoretical relationship between real exchange rates and real interest rates differential in open economy macroeconomics, its empirical evidence, particularly when cointegration methods are used, is rather mixed. The study uses IFS, IMF data for India and US for the...
Persistent link: https://www.econbiz.de/10012732476
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A Re-Examination of the Link between Real Exchange Rates and Real Interest Rate Differentials
Hoffmann, Mathias; MacDonald, Ronald - 2021
The real exchange rate - real interest rate (RERI) relationship is central to most open economy macroeconomic models. However, empirical support for the relationship, especially when cointegration-based methods are used, is rather weak. In this paper we reinvestigate the RERI relationship using...
Persistent link: https://www.econbiz.de/10013320033