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We construct a model in which the real exchange rate is affected by the real interest rate and price differentials as well as real factors that cause shocks to the expected flexible-price equilibrium value of the real exchange rate. The model is then employed to test for the "generalized"...
Persistent link: https://www.econbiz.de/10014085409
In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Bayesian non-linear time series framework, our modeling approach assumes that different regimes are characterized by...
Persistent link: https://www.econbiz.de/10011930302
This paper presents a method to test the volatility predictions of the textbook asset-pricing exchange rate model … on existing tests of excess volatility in asset prices, combining them with a procedure that extracts unobservable … 1984 and find broad evidence of excess exchange rate volatility with respect to the predictions of the canonical asset …
Persistent link: https://www.econbiz.de/10013317694
Persistent link: https://www.econbiz.de/10002007148
Persistent link: https://www.econbiz.de/10013430555
Previous assessments of nominal exchange rate determination, following Meese and Rogoff (1983) have focused upon a narrow set of models. Cheung et al. (2005) augmented the usual suspects with productivity based models, and "behavioral equilibrium exchange rate" models, and assessed performance...
Persistent link: https://www.econbiz.de/10011637474
Over the last decade foreign bond portfolio positions in US dollar assets have risen above the reciprocal US investor positions in foreign currencies. In periods of increased economic uncertainty, institutional investors hedge their international bond positions, which creates a net hedging...
Persistent link: https://www.econbiz.de/10014236684
Over the last decade foreign bond portfolio positions in US dollar assets have risen above the reciprocal US investor positions in foreign currencies. In periods of increased economic uncertainty, institutional investors hedge their international bond positions, which creates a net hedging...
Persistent link: https://www.econbiz.de/10013440410
investment and a relationship between trade and exchange rate volatility that depend on the sign of bilateral trade balances …
Persistent link: https://www.econbiz.de/10011372974
This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility … state. In particular, net bond inflows increase the probability of remaining in the low volatility state in the case of …
Persistent link: https://www.econbiz.de/10011382694