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Exchange Rate Volatility without the Contrivance of Fundamentals and the Failure of PPP

Bask, Mikael - 2007

Since the magnitude of exchange rate overshooting may not be the same for different exchange rates of a currency, a monetary expansion or contraction in, for example, the EMU, will affect the exchange rate between the U.S. dollar and the yen, even though there are no changes in monetary...

Persistent link: https://www.econbiz.de/10014223797

Supply Shocks and Real Exchange Rate Volatility in a Small Open Economy

Azcona, Nestor - 2016

This paper examines the effect of overall and sector-specific productivity shocks on the real exchange rate in small open economies. A dynamic stochastic small open economy model shows that productivity shocks impact the real exchange rate mostly through changes in the relative price of...

Persistent link: https://www.econbiz.de/10013005242

Sources of Exchange Rate Fluctuations : Are They Real or Nominal?

Juvenal, Luciana - 2010

I analyze the role of real and monetary shocks on the exchange rate behavior using a structural vector autoregressive model of the US vis-à-vis the rest of the world. The shocks are identified using sign restrictions on the responses of the variables to orthogonal disturbances. These...

Persistent link: https://www.econbiz.de/10013151170

Real Exchange Rate Movements and the Relative Price of Non-traded Goods

Betts, Caroline M. - 2008

We study the quarterly bilateral real exchange rate and the relative price of non-traded to traded goods for 1225 country pairs over 1980-2005. We show that the two variables are positively correlated, but that movements in the relative price measure are smaller than those in the real exchange...

Persistent link: https://www.econbiz.de/10012722646

Home Bias, Exchange Rate Disconnect, and Optimal Exchange Rate Policy

Wang, Jian - 2015

in consumption is important to duplicate the exchange rate volatility and exchange rate disconnect documented in the data … volatility while leaving the volatility of real macroeconomic variables, such as GDP, almost untouched. The model predicts the … volatility of the real exchange rate relative to that of GDP increases with the extent of home bias. This relation is strongly …

Persistent link: https://www.econbiz.de/10012707889

Consumption Smoothing and Exchange Rate Volatility

Turtelboom, Bart G. - 2006

for the period 1970-92. Simulation results indicate that the observed volatility of multilateral real exchange rates for … the United States, Germany and Japan is not inconsistent with exchange rate volatility implied by consumption …

Persistent link: https://www.econbiz.de/10012781855

Welfare Costs of Exchange Rate Fluctuations : Evidence from the 1972 Okinawa Reversion

Kano, Kazuko; Kano, Takashi - 2022

The main tenet of the New Keynesian (NK) paradigm is that price dispersion caused by nominal price stickiness is the primary source of allocative inefficiency. This study empirically evaluates the welfare implications of NK models by observing how internal and external price dispersion responds...

Persistent link: https://www.econbiz.de/10013308249

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

Consumption of traded goods, exchange rate dynamics, and risk sharing

Chaban, Maxym - 2020

The paper analyzes the consumption-real exchange rate anomaly in a multi-country model with complete markets under various preference specifications: (i) standard time-additive preferences; (ii) recursive preferences of Epstein and Zin; and (iii) habit formation preferences of Campbell and...

Persistent link: https://www.econbiz.de/10012848012

Nominal Exchange Rate Regimes and Relative Price Dispersion : On the Importance of Nominal Exchange Rate Volatility for the Width of the Border

Beck, Günter W. - 2004

Based on a broad set of regional aggregated and disaggregated consumer price index (CPI) data from major industrialized countries in Asia, North America and Europe we are examining the role that national borders play for goods market integration. In line with the existing literature we find that...

Persistent link: https://www.econbiz.de/10014029583