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The Macroeconomic Effects of Large Exchange Rate Appreciations
Kappler, Marcus - 2011
In this paper we study the macroeconomic effects of large exchange rate appreciations. Using a sample of 128 countries from 1960-2008, we identify large nominal and real appreciations shocks and study their macroeconomic effects in a dummy-augmented panel autoregressive model. Our results show...
Persistent link: https://www.econbiz.de/10013128677
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Euro-US real exchange rate dynamics : how far can we push general equilibrium models?
Dogan, Aydan - 2014
This paper re-assesses the problem of general equilibrium models in matching the behaviour of real exchange rate. We do so by developing a two country general equilibrium model with non-traded goods, home bias, incomplete markets and partial degrees of pass through as well as nominal rigidities...
Persistent link: https://www.econbiz.de/10010416685
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Estimating Consistent Fundamental Equilibrium Exchange Rates
Cline, William R. - 2011
This paper set forth a new methodology for obtaining a consistent set of exchange rate realignments needed to accomplish international adjustment in current account imbalances to reach fundamental equilibrium exchange rates (FEERs). The approach is named the symmetric matrix inversion method...
Persistent link: https://www.econbiz.de/10013123819
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Explaining International Business Cycle Synchronization : Recursive Preferences and the Terms of Trade Channel
Kollmann, Robert - 2017
The business cycles of advanced economies are synchronized. Standard macro models fail to explain that fact. This paper presents a simple model of a two-country, two-traded-good, complete-financial-markets world in which country-specific productivity shocks generate business cycles that are...
Persistent link: https://www.econbiz.de/10012960598
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Global Imbalances : Should We Use Fundamental Equilibrium Exchange Rates?
Saadaoui, Jamel - 2017
The reduction of global imbalances observed during the climax of crisis is incomplete. In this context, currencies' realignments are still proposed to ensure global macroeconomic stability. These realignments are based on equilibrium rates derived from equilibrium exchange rate models. Among...
Persistent link: https://www.econbiz.de/10012943656
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What Drives Investors' Behaviour in Different FX Market Segments? A Var-Based Return Decomposition Analysis
Castren, Olli; Osbat, Chiara; Sydow, Matthias - 2021
We apply the Campbell-Shiller return decomposition to exchange rate returns and fundamentals in a stationary panel vector autoregression framework. The return decomposition is then used to analyse how different investor segments react to news as captured by the different return components. The...
Persistent link: https://www.econbiz.de/10013317302
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Estimating Consistent Fundamental Equilibrium Exchange Rates
Cline, William - 2008
This paper sets forth a new methodology for obtaining a consistent set of exchange rate realignments needed to accomplish international adjustment in current account imbalances to reach fundamental equilibrium exchange rates (FEERs). The approach is named the symmetric matrix inversion method...
Persistent link: https://www.econbiz.de/10014216098
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Explaining International Business Cycle Synchronization : Recursive Preferences and the Terms of Trade Channel
Kollmann, Robert - 2017
The business cycles of advanced economies are synchronized. Standard macro models fail to explain that fact. This paper presents a simple model of a two-country, two-traded good, complete-financial-markets world in which country-specific productivity shocks generate business cycles that are...
Persistent link: https://www.econbiz.de/10014121891
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The Integration of Imperfect Financial Markets : Implications for Business Cycle Volatility
Buch, Claudia M.; Pierdzioch, Christian - 2004
During the last two decades, the degree of openness of national financial systems has increased substantially. At the same time, asymmetries in information and other financial market frictions have remain prevalent. We study both empirically and theoretically the implications of the opening up...
Persistent link: https://www.econbiz.de/10014072512
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Estimating exchange rate dynamics with diffusion processes : an application to Greek EMU data
Trede, Mark; Wilfling, Bernd - 2004
increased central bank intervention activities in the run-up to the Greek EMU entrance. Thus the modelling and estimation … processes ; estimation ; exchange rates ; EMU ; central bank interventions …-entrance in January 2001 this paper develops a rigorous estimation procedure. The estimates provide statistical evidence of …
Persistent link: https://www.econbiz.de/10009349862