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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

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

Exchange Rate Dynamics and Unconventional Monetary Policies : It’s All in the Shadows

De Polis, Andrea - 2019

In this paper we estimate an open economy New-Keynesian model to investigate the impact of unconventional monetary policies on the exchange rate, focusing on those adopted since the Global Financial Crisis in the euro area and in the United States. To this end we replace effective, short-term,...

Persistent link: https://www.econbiz.de/10012864902

The Exchange Rate Regimes and Borrowing Ability : Estimation of Linkage

Syrdybaev, Aibek - 2019

This study empirically investigates the linkage between borrowing ability and exchange rate regimes in emerging market economies using the panel data from 1970-2016. The paper focuses on evaluating the borrowing ability as the measure of quantity and price. The key findings indicate that...

Persistent link: https://www.econbiz.de/10012871493

Bond Convenience Yields and Exchange Rate Dynamics

Valchev, Rosen - 2017

I propose a new explanation for the failure of Uncovered Interest Parity (UIP) that can rationalize not only the classic UIP puzzle, but also the evidence that the puzzle reverses direction at longer horizons. In the model, excess currency returns arise as compensation for endogenous...

Persistent link: https://www.econbiz.de/10012969679

Exchange Rates, Borrowing Costs, and Exports : Firm-Level Evidence

Lee, Kwan Yong - 2017

This study empirically examines the effects of currency depreciation on the exporting firms' borrowing costs and exports. Using Korean data, first we find evidence that unanticipated currency depreciation increases the firm-level real interest rate for firms carrying foreign-currency debts, and...

Persistent link: https://www.econbiz.de/10012970960

On the Sustainability of Exchange Rate Target Zones with Central Parity Realignments

Martínez-García, Enrique - 2017

I show that parity realignments alone do not suffice to ensure the long-run sustainability of an exchange rate target zone with imperfect credibility due to the gambler's ruin problem. However, low credibility and frequent realignments can destabilize the exchange rate

Persistent link: https://www.econbiz.de/10012971235

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

Marçal, Emerson Fernandes - 2017

following points are addressed in the paper: i) explore and test over identifying restrictions implied by economic theory to …

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

Trend Inflation and Exchange Rate Dynamics : A New Keynesian Approach

Kano, Takashi - 2016

The paper studies exchange rate implications of trend inflation within a two-country New Keynesian (NK) model under incomplete international financial markets. A NK Phillips curve generalized by trend inflation with a positive long-run mean implies an expectational difference equation of...

Persistent link: https://www.econbiz.de/10012977289

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 … purchasing power parity for traded goods prices observed in the data. This paper also studies how the effect of productivity …

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