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International Business Cycles and Exchange Rates

Zimmermann, Christian - 1999

International real business cycle models are not able to account for the high volatility of imports, exports, the trade …, the model presented here comes much closer to replicating the relatively high volatility observed in the data while also …

Persistent link: https://www.econbiz.de/10014184124

Exchange Rate Dynamics, Asset Market Structure and the Role of the Trade Elasticity

Thoenissen, Christoph - 2008

markets can address the exchange rate volatility puzzle, the exchange rate persistence puzzle, the consumption real exchange …

Persistent link: https://www.econbiz.de/10014219402

DSGE Models of High Exchange-Rate Volatility and Low Pass-Through

Corsetti, Giancarlo; Dedola, Luca; Leduc, Sylvain - 2006

volatility, whereas a low degree of pass-through stems from both nominal rigidities (in the form of local currency pricing) and … price discrimination. We model real exchange rate volatility in response to real shocks by reconsidering and extending two …

Persistent link: https://www.econbiz.de/10014061212

A Survey on the Determination of Nominal Exchange Rate for USD vis-à-vis INR

Pillin, Punit - 2018

In this paper, I have investigated the out of sample forecast performance for a case study on the determination of the nominal exchange rate for USD vis-à-vis IN¬R under VEC, VAR (in first difference) and Bayesian VAR specification with the help of set of economic theories. The forecast...

Persistent link: https://www.econbiz.de/10012910274

International business cycles and risk sharing with uncertainty shocks and recursive preferences

Kollmann, Robert - 2016

Persistent link: https://www.econbiz.de/10011672367

Trend fundamentals and exchange rate dynamics

Huber, Florian; Kaufmann, Daniel - 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/10011326550

Trend fundamentals and exchange rate dynamics

Huber, Florian; Kaufmann, Daniel - 2019

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

Persistent link: https://www.econbiz.de/10012118184

International business cycles and risk sharing with uncertainty shocks and recursive preferences

Kollmann, Robert - In: Journal of economic dynamics & control 72 (2016), pp. 115-124

Persistent link: https://www.econbiz.de/10011708860

Floating versus fixed : how exchange rate regimes affect business cycles comovement between advanced and emerging economies

Elgahry, Baher Ahmed - In: Cogent economics & finance 10 (2022) 1, pp. 1-18

This article investigates the effects of the different exchange rate regimes on business cycles comovement between advanced and emerging countries. We use the Granger Causality test (VAR model) on panel data to examine the causal relationships. Our findings show the existence of a bidirectional...

Persistent link: https://www.econbiz.de/10013373499

The equilibrium rate of unemployment and the real exchange rate : an unobserved components system approach

Lindblad, Hans; Sellin, Peter - 2003

We set up and estimate a structural unobserved components open economy model for the rate of unemployment and the real exchange rate in Sweden. This approach enables us to simultaneously determine changes in both cyclical and equilibrium rates. Our results show that the Natural Rate/NAIRU has...

Persistent link: https://www.econbiz.de/10011583137