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Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting

Georgetown University, Department of Economics - 2005

This paper compares the true, ex-ante forecasting performance of a micro-based model against both a standard macro … model and a random walk. In contrast to existing literature, which is focused on longer horizon forecasting, we examine … forecasting over horizons from one day to one month (the one-month horizon being where micro and macro analysis begin to overlap …

Persistent link: https://www.econbiz.de/10005622961

Germany versus the United States : monetary Dominance in the Eurozone

Quah, Chee Heong - In: Economies : open access journal 4 (2016) 2, pp. 1-16

This study inspects if there is greater convergence with Germany amongst the Eurozone founding members and if their relations with the hegemonic economy have been more symmetrical after "euroization". The dimensions explored are those inspired by the optimum currency areas (OCA) framework. To...

Persistent link: https://www.econbiz.de/10011499412

Better more than one : portfolio currency pricing and exchange rate hedging

Sokolova, Maria V. - 2016 - This version: March 2016

This paper examines the relationship between the composition of exporters' currency pricing portfolio - number and value of product sales in different currencies at a destination - and their success in trade as measured by continuing to their exporting activity. Detailed investigation of...

Persistent link: https://www.econbiz.de/10011478552

Impact of interest rate differential and exchange rate movement on the dynamics of Nigeria's international private capital flows

Karimo, Tari M. - In: CBN journal of applied statistics 11 (2020) 2, pp. 29-63

The study examines the impact of interest rate differential and exchange rate move-ment on the dynamics of Nigeria's international private capital flows from 2010Q1to 2019Q4. It uses the interest rate parity theory and the Markov Switching TimeVarying Transition Probability Modelling approach....

Persistent link: https://www.econbiz.de/10012513274

The behaviour of the real effective exchange rate of South Africa : is there a misalignment?

Khomo, Melvin M.; Aziakpono, Meshach Jesse - In: Cogent economics & finance 8 (2020) 1, pp. 1-16

This paper examines the extent of misalignment of the real effective exchange rate (REER) of South African rand. With South Africa being an open emerging market economy closely linked with global markets, the country’s economy is susceptible to external shocks and changes in global trade...

Persistent link: https://www.econbiz.de/10012440315

The imported price, inflation and exchange rate pass-through in China

Yue, Liu Hai; Chen, Xiao Lan - In: Cogent economics & finance 5 (2017) 1, pp. 1-13

This paper considers the effect of exchange rate (ER) level on China’s domestic prices during the period of 2003–2012. We examine China’s consumer price index (CPI), import price index (IPI) and producer price index (PPI) by using time series vector error correction analysis. The main...

Persistent link: https://www.econbiz.de/10011598073

Oil prices, exchange rates and interest rates

Kilian, Lutz; Zhou, Xiaoqing - 2019

There has been much interest in the relationship between the price of crude oil, the value of the U.S. dollar, and the U.S. interest rate since the 1980s. For example, the sustained surge in the real price of oil in the 2000s is often attributed to the declining real value of the U.S. dollar as...

Persistent link: https://www.econbiz.de/10011966739

Exchange rate shocks and inflation comovement in the euro area

Leiva-Leon, Danilo; Martínez-Martín, Jaime; Ortega, Eva - 2020

This paper decomposes the time-varying effect of exogenous exchange rate shocks on euro area countries in ation into country-specific (idiosyncratic) and region-wide (common) components. To do so, we propose a exible empirical framework based on dynamic factor models subject to drifting...

Persistent link: https://www.econbiz.de/10012181317

Modeling real exchange rate persistence in Chile

Salazar, Leonardo - In: Econometrics : open access journal 5 (2017) 3, pp. 1-21

The long and persistent swings in the real exchange rate have for a long time puzzled economists. Recent models built on imperfect knowledge economics seem to provide a theoretical explanation for this persistence. Empirical results, based on a cointegrated vector autoregressive (CVAR) model,...

Persistent link: https://www.econbiz.de/10011710999

Exchange rate risk, distribution asymmetry and deviations from purchasing power parity

Arghyrou, Michael Georgiou; Lu, Wenna; Pourpourides, … - 2020

Firstly, we show that domestic prices of net importer countries incorporate a risk premium, driven by higher moments of future nominal exchange rate returns and secondly, using US dollar exchange rates against three currencies of major net exporting countries to the US such as Canada, Japan and...

Persistent link: https://www.econbiz.de/10012230006