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Trend Fundamentals and Exchange Rate Dynamics

Huber, Florian - 2015

We estimate a multivariate unobserved components-stochastic volatility model to explain the dynamics of a panel of six …

Persistent link: https://www.econbiz.de/10013015703

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 - 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

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

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

Betts, Caroline - 2017

We show that the quarterly bilateral real exchange rate for 1275 country pairs over 1980–2015 is positively correlated with the relative price of non-traded to traded goods, but that movements in the relative price measure are smaller than those in the real exchange rate. Variance...

Persistent link: https://www.econbiz.de/10012945763

Integration of Financial Markets and National Price Levels : The Role of Exchange Rate Volatility

Hoffmann, Mathias - 2016

How does international financial integration affect national price levels? To analyze this question, this paper formulates a two-country open economy sticky-price model under either segmented or complete asset markets. It is shown that the effect of financial integration, i.e. moving from...

Persistent link: https://www.econbiz.de/10012991245

International investment positions and exchange rate dynamics

Binder, Michael; Offermanns, Christian J. - 2014

We revisit medium- to long-run exchange rate determination, focusing on the role of international investment positions. To do so, we make use of a new econometric framework accounting for conditional long-run homogeneity in heterogeneous dynamic panel data models. In particular, in our model the...

Persistent link: https://www.econbiz.de/10010414236

Exchange Rates, Prices and Interest Rates - Reconsidering the Basic Relationships of Exchange Rate Dynamics

Schulmeister, Stephan - 2010

The first part of this paper briefly summarizes the assumptions of economic theory on the relationships between exchange rates, prices and interest rates and the same time compares these assumptions with the empirical evidence. The fact that there exist strong discrepancies, which in recent...

Persistent link: https://www.econbiz.de/10013135774

Real exchange rate decompositions

Feunou, Bruno; Fontaine, Jean-Sébastien; Krohn, Ingomar - 2022

We provide a novel daily decomposition of the real exchange rate that exploits a direct link between bond and foreign exchange (FX) markets. Real exchange rate dynamics can be attributed to changes in the expected future level of the exchange rate; cross-country differentials of expected...

Persistent link: https://www.econbiz.de/10013175434

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