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Dissecting the PPP puzzle : the unconventional roles of nominal exchange rate and price adjustments
Cheung, Yin-Wong; Lai, Kon-sun; Bergman, Michael U. - 2003
The conventional view, as expounded by sticky-price models, is that price adjustment determines the PPP reversion rate. This study examines the mechanism by which PPP deviations are corrected. Nominal exchange rate adjustment, not price adjustment, is shown to be the key engine governing the...
Persistent link: https://www.econbiz.de/10001753613
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The Equilibrium Approach to Exchange Rates
Stockman, Alan C. - 2012
Media reports on foreign exchange rates are filled with discussions of “overvalued” or “undervalued” currencies. Stories in the financial press about changes in exchange rates frequently state that they affect international competitiveness and employment
Persistent link: https://www.econbiz.de/10013102514
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Bayesian Analysis of Nonlinear Exchange Rate Dynamics and the Purchasing Power Parity Persistence Puzzle
Lo, Ming Chien - 2013
estimation of nonlinear threshold models is developed. Unlike standard grid-based estimation, the Bayesian approach fully …
Persistent link: https://www.econbiz.de/10013083326
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Monetary Policy and the Predictability of Nominal Exchange Rates
Eichenbaum, Martin - 2017
This paper studies how the monetary policy regime affects the relative importance of nominal exchange rates and inflation rates in shaping the response of real exchange rates to shocks. We document two facts about inflation-targeting countries. First, the current real exchange rate predicts...
Persistent link: https://www.econbiz.de/10012963169
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Real Exchange Rate Volatility : Does the Nominal Exchange Rate Regime Matter?
Liang, Hong - 2006
A recent study by Grilli and Kaminsky (1991) argues that real exchange rate (RER) behavior is likely to be dependent on the particular historical period rather than on the nominal exchange rate arrangement itself. This paper reexamines RER behavior using alternative data sets, as well as...
Persistent link: https://www.econbiz.de/10012782130
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Out-of-Sample Exchange Rate Predictability with Real-Time Data
Ince, Onur - 2019
This paper evaluates short-run out-of-sample exchange rate predictability with real-time data for 15 OECD countries from 1973 to 2013. We consider the Taylor rule fundamentals model, where the variables that enter the Taylor rule are used to forecast exchange rate changes, and the Taylor rule...
Persistent link: https://www.econbiz.de/10012903719
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Out-of-Sample Exchange Rate Predictability with Taylor Rule Fundamentals
Molodtsova, Tanya - 2019
An extensive literature that studied the performance of empirical exchange rate models following Meese and Rogoff's (1983a) seminal paper has not convincingly found evidence of out-of-sample exchange rate predictability. This paper extends the conventional set of models of exchange rate...
Persistent link: https://www.econbiz.de/10012893399
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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
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Out-of-Sample Exchange Rate Predictability with Taylor Rule Fundamentals
Molodtsova, Tanya - 2009
An extensive literature that studied the performance of empirical exchange rate models following Meese and Rogoff's (1983a) seminal paper has not convincingly found evidence of out-of-sample exchange rate predictability. This paper extends the conventional set of models of exchange rate...
Persistent link: https://www.econbiz.de/10012764841
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Equilibrium Real Exchange Rate Estimates Across Time and Space
Fischer, Christoph A. - 2019
estimation method used to derive them. Essentially, these methods differ in their treatment of the time-series (time) and the … cross-section (space) variation in the panel. The study shows that conventional panel estimation methods (pooled OLS, fixed … literature to show that the distortion is generally very large. This suggests the use of the CRE model for the panel estimation …
Persistent link: https://www.econbiz.de/10012869995