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Bond market co-movements, expected inflation and the equilibrium real exchange rate
Macchiarelli, Corrado - 2011
changes in inflation rates, but, possibly, also to investors' behavior. Secondly, we show that the special US dollar status of …
Persistent link: https://www.econbiz.de/10009405600
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Bond Market Co-Movements, Expected Inflation and the Equilibrium Real Exchange Rate
Macchiarelli, Corrado - 2011
changes in inflation rates, but, possibly, also to investors' behavior. Secondly, we show that the special US dollar status of …
Persistent link: https://www.econbiz.de/10013118031
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Nonlinearities and asymmetric adjustment to PPP in an exchange rate model with inflation expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
measures of inflation expectations for five inflation targeting countries (UK, Canada, Australia, New Zealand, Sweden) over the … PPP. Moreover, inflation expectations play an important role, with survey-based ones having a more sizable effect than … fluctuations effectively. The inflation targeting framework might be especially appropriate for this purpose. …
Persistent link: https://www.econbiz.de/10012438461
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Exchange rate risk, distribution asymmetry and deviations from purchasing power parity
Arghyrou, Michael Georgiou; Lu, Wenna; Pourpourides, … - 2020
Firstly, we show that domestic prices of net importer countries incorporate a risk premium, driven by higher moments of future nominal exchange rate returns and secondly, using US dollar exchange rates against three currencies of major net exporting countries to the US such as Canada, Japan and...
Persistent link: https://www.econbiz.de/10012230006
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Moderating remittance and economic growth relationship with exchange rate : what new can we learn from Africa's economy?
Genevieve, Gyasi; Frimpong, Joseph Magnus; Kwame, Mireku - In: Cogent economics & finance 11 (2023) 1, pp. 1-31
The paper employs partial and biwavelet coherence techniques to examine the time-frequency dependence structure of international remittance inflow on economic growth by moderating the effect of exchange rates. We investigate the comovements of remittance and economic growth from 1980 to 2020. We...
Persistent link: https://www.econbiz.de/10014500520
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Investor sentiment in the US-dollar : longer-term, nonlinear orientation on PPP
Menkhoff, Lukas (contributor);  … - 2007
How is it possible that exchange rates move in the long run towards fundamentals, while professionals form consistently irrational exchange rate expectations? We look at this puzzle from a different perspective by analyzing investor sentiment in the US-dollar market. First, long-horizon...
Persistent link: https://www.econbiz.de/10003575469
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On the nature of shocks driving exchange rates in emerging economies
Kolev, Galina V. - 2015
The paper analyzes the sources of exchange rate movements in emerging economies in the context of monetary tapering by the Federal Reserve. A structural vector autoregression framework with a long-run restriction is used to decompose the movements of nominal ex-change rates into two components:...
Persistent link: https://www.econbiz.de/10011374055
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Large swings in currencies driven by fundamentals
Cumperayot, Phornchanok J.; Vries, Casper G. de - 2006
Exchange rate returns are fat-tailed distributed. We provide evidence that the apparent non-normality derives from the behavior of macroeconomic fundamentals. Economic and probabilistic arguments are offered for such a relationship. Empirical support is given by testing against normality and...
Persistent link: https://www.econbiz.de/10011349716
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A real differential view of equilibrium real exchange rates and misalignments
Hoffmann, Mathias; MacDonald, Ronald - 2000
This paper examines the interaction of G7 real exchange rates with real output and interest rate differentials. Using cointegration methods, we generally find a link between the real exchange rate and the real interest differential. This finding contrasts with the majority of the extant research...
Persistent link: https://www.econbiz.de/10009767694
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Net foreign assets, real exchange rates and net exports revisited
Bleaney, Michael F.; Tian, Mo - 2013
Theory suggests a significant positive relationship in long-run equilibrium between net foreign assets (NFA) as a …
Persistent link: https://www.econbiz.de/10009792044