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Dynamic demand adjustment and exchange rate volatility
Corbo, Vesna - 2014
A common finding in the international-economics literature is that the elasticity of substitution between domestically produced and imported goods is smaller in the short than in the long run. Despite this, most of today's commonly used macroeconomic models assume this elasticity to be constant....
Persistent link: https://www.econbiz.de/10010437790
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The International Risk-Sharing Puzzle is at Business-Cycle and Lower Frequency
Corsetti, Giancarlo - 2012
We decompose the correlation between relative consumption and the real exchange rate into its dynamic components at …
Persistent link: https://www.econbiz.de/10013110295
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Global macro risks in currency excess returns
Berg, Kimberly A.; Mark, Nelson C. - 2016
We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk. The cross-country high-minuslow (HML) conditional skewness of the unemployment gap - our measure of global macroeconomic uncertainty - is a factor that...
Persistent link: https://www.econbiz.de/10011517046
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Exchange Rate Volatility and Domestic Consumption : Evidence from Japan
Bahmani‐Oskooee, Mohsen - 2012
to producers it could lead to a decline in aggregate domestic consumption. This was based on the assumption that wages do … addition to the exchange rate itself, exchange rate uncertainty could also affect domestic consumption. We demonstrate our …
Persistent link: https://www.econbiz.de/10013104150
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What Happens When the Kiwi Flies? The Sectoral Effects of the Exchange Rate Shocks
Karagedikli, Özer - 2013
We estimate a Factor Augmented Vector autoregression (FAVAR) to identify idiosyncratic exchange rate shocks and examine the effects of these shocks on different sectors of the economy. We find that an unexpected shock to the exchange rate has significant effects on the tradable sector of the...
Persistent link: https://www.econbiz.de/10013072839
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Macroeconomic Reversal Rate : Evidence from a Nonlinear IS-Curve
van den End, Jan Willem - 2020
estimate the impulse responses of the output gap, the growth of consumption, investment, and savings to a contractionary …
Persistent link: https://www.econbiz.de/10012832976
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Frontiers of Macrofinancial Linkages
Claessens, Stijn - 2018
The Great Financial Crisis of 2007-09 confirmed the vital importance of advancing our understanding of macrofinancial linkages, the two-way interactions between the real economy and the financial sector. The crisis was a bitter reminder of how sharp fluctuations in asset prices, credit and...
Persistent link: https://www.econbiz.de/10012929483
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Oil Export Revenue and Exchange Rate : An Investigation of Asymmetric Effects on Households’ Consumption Expenditure in Nigeria
Akpa, Emeka - 2020
revenue and, thus, is perceived to affect aggregate consumption expenditure in Nigeria. This paper employed Nonlinear ARDL … consumption in Nigeria from 1981 to 2016. Variables of interest in the paper were oil export earnings (OEE), consumer price index … (CPI) as proxy for inflation, nominal effective exchange rate (NEER) and final consumption expenditure (FCE). Based on …
Persistent link: https://www.econbiz.de/10012827186
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Backus–Smith Puzzle and the European Union : It's Not Just the Nominal Exchange Rate
Petrovic, Predrag - 2017
The goal of our research is testing of presence and background examination of Backus–Smith puzzle in the EU. The research is based on the technique of econometric analysis of panel data, i.e. on the estimation of one-way/two-way error component models and models without effects. The results of...
Persistent link: https://www.econbiz.de/10012965085
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The Effect of Exchange Rate Volatility on Trade in Durables
Lee, Jaewoo - 1998
Because durable goods have the quality of an asset, risk-averse consumers want to pay a lower price for durable than for nondurable goods so that they are compensated for the risk of price changes; they require risk premium. Since the exchange rate is a strong source of uncertainty in import...
Persistent link: https://www.econbiz.de/10014068232