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This paper presents an estimation of the Tunisian equilibrium exchange rate based on the Behavioral Equilibrium Exchange Rate approach (BEER). The BEER framework links exchange rates to its fundamentals: Tunisian productivity, partners' productivity, trade openness and terms of trade. We...
Persistent link: https://www.econbiz.de/10012501404
This paper estimates a model of the real exchange rate including standard fundamentals as well as two alternative measures of inflation expectations for five inflation targeting countries (UK, Canada, Australia, New Zealand, Sweden) over the period January 1993-July 2019. Both a benchmark linear...
Persistent link: https://www.econbiz.de/10012438461
Transition VAR (CVSTAR) model incorporating nonlinearities and also taking into account the role of interest rate expectations …
Persistent link: https://www.econbiz.de/10012508617
addition, previous studies have mostly neglected nonlinearities which for example may stem from exogenous oil price shocks … changes over time, suggesting that nonlinearities are an important issue when analyzing oil prices and exchange rates. …
Persistent link: https://www.econbiz.de/10009771139
In this paper we introduce a new nonlinear Markov-STAR model to capture both the markov switching and smooth transition dynamics for real exchange rates. The Markov switching part captures the effect of time variations of the equilibrium exchange rates, while the smooth transition part models...
Persistent link: https://www.econbiz.de/10011429933
first clarify the logic of applying cointegration methods to the RERI and propose an alternative way of testing the …
Persistent link: https://www.econbiz.de/10011506475
Persistent link: https://www.econbiz.de/10015048121
Persistent link: https://www.econbiz.de/10014252490
This paper aims to analyze changes in the long-term and short-term oil price elasticities of the real ruble exchange rate, as well as the speed of convergence of the exchange rate to a long-term equilibrium. The analysis is conducted using an error correction model with time-varying parameters....
Persistent link: https://www.econbiz.de/10015394387
This paper investigates the PPP and UIP conditions by taking into account possible nonlinearities as well as the role …
Persistent link: https://www.econbiz.de/10012491545