Similar Search Results

The hitchhiker’s guide to missing import price changes and pass-through

Gagnon, Etienne; Mandel, Benjamin R.; Vigfusson, Robert J. - Federal Reserve Bank of New York - 2012

that pass-through to U.S. import prices is low over the short- to medium-term horizons that are most useful for both …

Persistent link: https://www.econbiz.de/10010551304

Capital controls or exchange rate policy? a pecuniary externality perspective

Benigno, Gianluca; Chen, Huigang; Otrok, Christopher; … - Federal Reserve Bank of St. Louis - 2012

In the aftermath of the global nancial crisis, a new policy paradigm has emerged in which old-fashioned policies such as capital controls and other government distor- tions have become part of the standard policy toolkit (the so-called macro-prudential policies). On the wave of this seemingly...

Persistent link: https://www.econbiz.de/10010562130

Comment on "Taylor rule exchange rate forecasting during the financial crisis"

McCracken, Michael W. - Federal Reserve Bank of St. Louis - 2012

In this note we discuss the paper on exchange rate forecasting by Molodtsova> and Papell (2012). In particular we discuss issues related to forecast origins and forecast> horizons when higher frequency exchange rate movements are predicted using lower> frequency quarterly macroaggregates.

Persistent link: https://www.econbiz.de/10010570178

A bargaining theory of trade invoicing and pricing

Goldberg, Linda; Tille, Cédric - Federal Reserve Bank of New York - 2013

tolerant. A higher effective bargaining weight of importers relative to exporters in turn translates into lower import prices … and greater exchange rate pass-through into import prices. We show the range of price and invoicing outcomes that arise …

Persistent link: https://www.econbiz.de/10010640519

Capital controls and exchange rate instability in developing economies

Glick, Reuven; Hutchison, Michael - Center for Pacific Basin Monetary and Economic Studies, … - 2002

A large literature on the appropriate sequencing of financial liberalization suggests that removing capital controls prematurely may contribute to currency instability. This paper investigates whether legal restrictions on international capital flows are associated with greater currency...

Persistent link: https://www.econbiz.de/10010641751

Foreign exchange: macro puzzles, micro tools

Lyons, Richard K. - Center for Pacific Basin Monetary and Economic Studies, … - 2001

This paper reviews recent progress in applying information-theoretic tools to long-standing exchange rate puzzles. I begin by distinguishing the traditional public information approach (e.g., monetary models, including new open-economy models) from the newer dispersed information approach. (The...

Persistent link: https://www.econbiz.de/10010641761

A Variance Ratio Test of Random Walks in Foreign Exchange Rates of Developing Markets: Evidence From Six African Countries

Karemera, David - In: Journal of African Development 2 (1996) 1

Current literature reveals that tests of the random walk hypothesis (RWH) on financial prices have focused on major …

Persistent link: https://www.econbiz.de/10010938874

Nonparametric lag selection for time series

Tschernig, Rolf; Yang, Lijian - Sonderforschungsbereich 373, Quantifikation und … - 1997

A nonparametric version of the Final Prediction Error (FPE) is proposed for lag selection in nonlinear autoregressive time series. We derive its consistency for both local constant and local linear estimators using a derived optimal bandwidth. Further asymptotic analysis suggests a greater...

Persistent link: https://www.econbiz.de/10010956477

Long-run exchange rate determination: A neural network study

VERKOOIJEN, W.J.H.; PLASMANS, J.E.J.; DANIËLS, H.A.M. - Faculteit Toegepaste Economische Wetenschappen, … - 1995

Persistent link: https://www.econbiz.de/10010888242

Endogenous uncertainty: A unified view of market volatility

Kurz, Mordecai - 1997

reviews four basic problems which have constituted puzzles or anomalies in REE : (i) Why are asset prices much more volatile … and the equity risk premium so low? (iii) Why do asset prices exhibit the "GARCH" behaviour without exogenous fundamental … phenomenon of time varying variance of asset prices is explained in the simulation model by the presence of both persistence in …

Persistent link: https://www.econbiz.de/10011608344