This paper studies a dynamic-optimizing model of a semi-small open economy with sticky nominal prices and wages. The model exhibits exchange rate overshooting in response to money supply shocks. The predicted variability of nominal and real exchange rates is roughly consistent with that of G7...

Two type of statistical models are empirically applied to test the pattern of volatility in the exchange rate markets. One conciders the autoregressive models and tests the random walk hypothesis. The other considers the sonditional variance process and tests the hypothesis of chaotic dynamics....

The half-life of deviations from purchasing power parity (PPP) plays a central role in the ongoing debate about the ability of macroeconomic models to account for the time series behavior of the real exchange rate. The main contribution of this paper is a general framework in which alternative...

This paper aims at measuring the robustness of Real Business Cycle international stylized facts across exchange rate regimes. I thus investigate th e impact of the Bretton Woods System and the ERM on the business cycle regularities. Thanks to bootstrap techniques, I measure the accuracy of the...

The paper investigates exchange rate cycles and their relationship to the business cycle in 7 major emerging market economies. We document the presence of periodic cycles in nominal US-dollar exchange rates and show that these are closely aligned with cycle frequencies in real output. Joint...

This paper adds to the empirical literature on business cycle properties across exchange rate regimes. Earlier research examined the consequences of the Bretton Woods system on international stylized facts. However, the conclusions might be biased by the oil shocks at the beginning of the...

In 1994-97 Poland has recorded an outstanding economic performance in terms of GDP growth, simultaneous reduction of inflation and unemployment, fiscal balance, zloty real revaluation, capacity restructuring, private sector growth and institution building. The Polish success needed a market...

Multi-countru models have not been very successful in replicating features of the international transmission of business cycles. Standard models predict cross-country correlations of output and consumption which are respectively too low and loo high. In this paper, we built a multi-country model...

Structural models are apowerful tool for business cycle and monetary analysis because they are invariant to either policy changes or external stocks. In this paper, we derive a sidrauski-type model in which both the demand and supply side are structural in the sense that the behavorial equations...