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Noise Trading and the Effects of Monetary Policy Shocks on Nominal and Real Exchange Rates

Pierdzioch, Christian - 2003

A number of empirical studies have reported the result that exchange rates show a delayed overshooting in response to … monetary policy shocks. This result is puzzling. Economic theory suggests that the overshooting should occur immediately after … whether the assumption of noise trading in the foreign exchange market helps to resolve the delayed overshooting puzzle. The …

Persistent link: https://www.econbiz.de/10010260546

Shifts in monetary policy and exchange rate dynamics : is Dornbusch's overshooting hypothesis intact, after all?

Rüth, Sebastian - 2019

- empirical support for his hypothesis is at best mixed. I argue that the failure to discover overshooting may result from …

Persistent link: https://www.econbiz.de/10012124364

Exchange rate overshooting : unraveling the puzzles

Braig, Miriam; Rüth, Sebastian; Van der Veken, Wouter - 2024

vector autoregression, and assess whether best-practice structural identifications detect textbook "overshooting" after a … monetary policy hike-i.e., an instant real appreciation that monotonically reverts. Our results include "delayed overshooting …," "exchange rate puzzles," "forward discount puzzles," and model-consistent overshooting. Identifications that regularly indicate …

Persistent link: https://www.econbiz.de/10015069881

Exports and the exchange rate : a general equilibrium perspective

Alexander, Patrick; Reza, Abeer - 2022 - Last updated: April 4, 2022

Understanding and predicting the evolution of exports after a change in the nominal exchange rate is of central importance in international economics. Most of the literature focuses on estimating this relationship by reduced form, with the aim of uncovering a single structural parameter, but...

Persistent link: https://www.econbiz.de/10013172465

Productivity Shocks and Delayed Exchange-Rate Overshooting

Pierdzioch, Christian - 2004

can give rise to a delayed overshooting of the exchange rate. …

Persistent link: https://www.econbiz.de/10010260479

Equilibrium Exchange rates and Time-Consistent Policies : Stressing the Importance of Policymakers Preferences (in French)

Ducoudre, Bruno - 2009

Equilibrium exchange rate theories make the assumption that the Real Equilibrium Exchange Rate (RER) is independent from internal equilibrium and economic policies. We develop a model in which economic policies depend on the minimisation of an intertemporal loss function, and we show that in a...

Persistent link: https://www.econbiz.de/10013159119

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

Addressing Econometric Issues on How to Construct Theoretical Based Exchange Rate Misalignment Estimates : Searching for a Comprehensive Approach

Marçal, Emerson Fernandes - 2017

Assessing real effective exchange rate equilibrium is a challenging task. There is no consensus in the literature on which methodologies and norms apply best to tackle real effective exchange rate misalignment estimation. The novelty of our paper consists of showing that different methodologies...

Persistent link: https://www.econbiz.de/10012972106

Methodological Advances in the Assessment of Equilibrium Exchange Rates

Bussière, Matthieu - 2010

This paper reviews three different concepts of equilibrium exchange rates that are widely used in policy analysis and constitute the backbone of the IMF CGER assessment: the Macroeconomic Balance, the External Sustainability and the reduced form approaches. We raise a number of econometric...

Persistent link: https://www.econbiz.de/10013149063

A Theory of Foreign Exchange Interventions

Fanelli, Sebastian - 2016

We develop a theory of foreign exchange interventions in the presence of limited capital mobility. We study a real small open economy subject to global liquidity and endowment shocks. Home and foreign bond markets are segmented and intermediaries have a limited capacity to arbitrage between both...

Persistent link: https://www.econbiz.de/10012982006

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