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Keynes, Cocoa, and Copper; In Search of Commodity Currencies

Sahay, Ratna; Céspedes, Luis Felipe; Cashin, Paul - International Monetary Fund (IMF) - 2002

This paper examines whether the real exchange rates of commodity-exporting countries and the real prices of their … commodity exports move together over time. Using IMF data on the world prices of 44 commodities and national commodity export … shares, we construct new monthly indices of national commodity export prices for 58 countries over 1980-2002. A long …

Persistent link: https://www.econbiz.de/10005825719

Medium-Term Exchange Rate Forecasting; What Can We Expect?

Meredith, Guy - International Monetary Fund (IMF) - 2003

. Uncovered interest parity fares better at long horizons, but reflects information already embodied in market prices; in this …

Persistent link: https://www.econbiz.de/10005826261

Time-Varying Thresholds; An Application to Purchasing Power Parity

Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003

This paper introduces a time-varying threshold autoregressive model (TVTAR), which is used to examine the persistence of deviations from PPP. We find support for the stationary TVTAR against the unit root hypothesis; however, for some developing countries, we do not reject the TVTAR with a unit...

Persistent link: https://www.econbiz.de/10005604859

Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates

Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003

This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the adjustment toward PPP is symmetric from above and below. Using alternative nonlinear models, our results support mean reversion and asymmetric adjustment dynamics. We find differences...

Persistent link: https://www.econbiz.de/10005769039

Assessing Exchange Rate Competitiveness in the Eastern Caribbean Currency Union

Pineda, Emilio; Cashin, Paul; Sun, Yan - International Monetary Fund (IMF) - 2009

rates through the wealth effect induced by tourism-driven increases in terms of trade and productivity. …

Persistent link: https://www.econbiz.de/10004999972

Equilibrium Exchange Rates; Assessment Methodologies

Isard, Peter - International Monetary Fund (IMF) - 2007

The paper describes six different methodologies that have been used to assess the equilibrium values of exchange rates and discusses their limitations. It applies several of the approaches to data for the United States as of 2006, illustrates that different approaches sometimes provide...

Persistent link: https://www.econbiz.de/10005825724

Parity Reversion in Real Exchange Rates; Fast, Slow or Not At All?

McDermott, C. John; Cashin, Paul - International Monetary Fund (IMF) - 2004

Consensus estimates put the half-life of deviations from purchasing power parity (PPP) at about four years (Rogoff, 1996). However, conventional least squares estimates of half-lives are biased downward. Accordingly, as a preferred measure of the persistence of real exchange rate shocks, this...

Persistent link: https://www.econbiz.de/10005604970

Nonlinear Exchange Rate Models; A Selective Overview

Sarno, Lucio - International Monetary Fund (IMF) - 2003

This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange...

Persistent link: https://www.econbiz.de/10005825647

Empirical Exchange Rate Models of the Nineties; Are Any Fit to Survive?

Cheung, Yin-Wong; Pascual, Antonio Garcia; Chinn, … - International Monetary Fund (IMF) - 2004

We reassess exchange rate prediction using a wider set of models that have been proposed in the last decade. The performance of these models is compared against two reference specifications-purchasing power parity and the sticky-price monetary model. The models are estimated in first-difference...

Persistent link: https://www.econbiz.de/10005263978

Niger; Selected Issues and Statistical Appendix

International Monetary Fund (IMF); International … - 2009

This Selected Issues Paper and Statistical Appendix for Niger are discussed. The Nigerien economic outlook has been improving since 1999. After a long period of decline in per capita income, growth accelerated through 2007, attaining an annual average of 4 percent, or about 1 percent in per...

Persistent link: https://www.econbiz.de/10011245770

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