Showing 71 - 80 of 15,860
In this paper we revisit medium- to long-run exchange rate determination, focusing on the role of international investment positions. To do so, we develop a new econometric framework accounting for conditional long-run homogeneity in heterogeneous dynamic panel data models. In particular, in our...
Persistent link: https://www.econbiz.de/10010295860
Empirical evidence suggests that a monetary shock induces the exchange rate to overshoot its long-run level. The estimated magnitude and timing of the overshooting, however, varies across studies. This paper generates delayed overshooting in a new Keynesian model of a small open economy by...
Persistent link: https://www.econbiz.de/10010295865
We estimate the process underlying the pricing of American options by using higher-order lattices combined with a multigrid method. This paper also tests whether the risk-neutral densities given from American options provide a good forecasting tool. We use a nonparametric test of the densities...
Persistent link: https://www.econbiz.de/10010295898
Early warning systems (EWSs) are subject to restrictions that apply to exchange rates in general: fundamentals matter but their influence is small and unstable. Keeping this in mind, five lessons emerge : First, EWSs have robust forecasting power and thus help policy-makers to prevent crises....
Persistent link: https://www.econbiz.de/10010295956
This paper discusses the role of foreign exchange interventions in the inflation-targeting regime, focusing on the Czech experience since 1998. It concludes that the case for foreign exchange interventions is not clear in an inflation targeting regime both from the theoretical and empirical...
Persistent link: https://www.econbiz.de/10010296153
In this paper, we use the Wall Street Journal poll of FX forecasts to analyze how the group of forecasters form their expectations. One focus is whether forecasters build rational expectations. Furthermore, we analyze whether the group of forecasters can be regarded as homogeneous or...
Persistent link: https://www.econbiz.de/10010296155
Real exchange rates are quite persistent. Standard unit root tests are not very powerful in drawing a conclusion regarding the validity of purchasing power parity [PPP]. Rather than asking if PPP holds throughout the whole sample period, we examine if PPP holds sometimes by employing...
Persistent link: https://www.econbiz.de/10010296288
We extend the model by DeGrauwe and Grimaldi (2006, EER) by currency transaction taxes. This model explains the exchange rate behavior by the interaction of heterogeneous traders who display either trend chasing behavior or rely on a return of the exchange rate back to its arbitrage free...
Persistent link: https://www.econbiz.de/10010296291
This paper investigates the implications of alternative scale variables of money demand for the comparison of a flexible exchange rate regime with a monetary union in a NOEM setup. The welfare evaluation of exchange rate regimes depends on the exchange rate response under the flexible regime....
Persistent link: https://www.econbiz.de/10010296330
Der Druck auf die chinesische Regierung, die Wechselkursbindung des chinesischen Yuan an den US Dollar aufzugeben, ist groß. Seitdem der Dollar unter kontinuierlichem Abwertungsdruck steht, wird in den westlichen Industriestaaten Chinas Festkurs einer merkantilistischen Handelspolitik...
Persistent link: https://www.econbiz.de/10010296338