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A possible explanation of the 'exchange rate disconnect puzzle' : a common solution to three major macroeconomic puzzles?

Horioka, Charles; Ford, Nicholas - 2016

Meese and Rogoff (1983) and subsequent studies find that economic fundamentals are apparently not able to explain exchange rate movements, but we argue that this so-called "Exchange Rate Disconnect Puzzle" arose because researchers such as Meese and Rogoff (1983) did not use the right...

Persistent link: https://www.econbiz.de/10011502367

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

Real exchange rate variations, nontraded goods and disaggregated CPI data

Hernandez Vega, Marco A. - 2012

sticky prices. This study provides new empirical evidence on nontraded goods importance in real exchange volatility by using … real exchange rate volatility. In addition, the results show that the nontraded component is negatively correlated with the …

Persistent link: https://www.econbiz.de/10009580815

Sources of euro real exchange rate fluctuations : what is behind the euro weakness in 1999-2000?

Döpke, Jörg; Gottschalk, Jan; Kamps, Christophe - 2001

This paper analyzes the factors underlying the weakness of the euro. For this purpose, the framework advocated by Clarida and Gali (1994) is used. Within this model, three structural shocks drive the dynamics of the endogenous variables: aggregate supply shocks, aggregate spending shocks, and...

Persistent link: https://www.econbiz.de/10011473872

Exchange Rates and Oil Prices : A Multivariate Stochastic Volatility Analysis

Vo, Minh - 2011

volatility (MSV) and the multivariate conditional correlation GARCH (CC-MGARCH) framework to investigate the volatility … major findings. First, the volatility in each market is very persistent. It varies over time in a predictable manner …, conditioned on the past information. Second, the volatility in the oil market Granger-causes the volatility in the FX markets but …

Persistent link: https://www.econbiz.de/10013131145

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

The Sources of Real Exchange Rate Fluctuations in Pakistan

Khan, Muhammad Luqman - 2010

This study examines the sources of real exchange rate fluctuations in Pakistan and use the SVAR (Structure Vector Autoregressive) technique to analysis the impact of different macroeconomics shocks for fluctuation in real exchange rate of Pak rupee. According to Blanchard and Quah (1999), the...

Persistent link: https://www.econbiz.de/10013137655

Sources of Real Exchange Rate Volatility and International Financial Integration : A Dynamic GMM Panel Approach

Caporale, Guglielmo Maria - 2011

The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange … and monetary) can account for volatility of real exchange rates in emerging economies, with international financial …

Persistent link: https://www.econbiz.de/10013117985

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

Real Exchange Rate Behavior Under Peg : Evidence from the Chinese RMB and Malaysian MYR

Gu, Anthony Yanxiang - 2010

rate volatility of both the pegged currency/the anchor currency (the US dollar), and the pegged currency/the non …

Persistent link: https://www.econbiz.de/10013150619