The unbiasedness hypothesis - the joint hypothesis of uncovered interest parity (UIP) and rational expectations - has been almost universally rejected in studies of exchange rate movements. In contrast to previous studies, which have used short-horizon data, we test this hypothesis using...

Purpose – There has been significant interest in the classification of exchange rate regimes in order to investigate a wide range of hypotheses. Studies of the effects of exchange rate regimes on crises and other aspects of economic performance can have important implications for policy...

The unbiasedness hypothesis - the joint hypothesis of uncovered interest parity (UIP) and rational expectations - has been almost universally rejected in studies of exchange rate movements. In contrast to previous studies, which have used short-horizon data, we test this hypothesis using...

This study provides new evidence on the degree of exchange rate pass-through (ERPT) within the euro area after the launch of the euro up to the end of 2007. ERPT to import, producer, and consumer prices is estimated within a simple vector auto regression (VAR) framework. ERPT in the euro area is...

While exchange rate dynamics is an important topic in open economy macroeconomics, the standard tool commonly used to introduce exchange rate dynamics - the Dornbusch (1976) seminal paper along with phase diagram - is not well-suited for undergraduate students as most of them do not have yet a...

We analyze the contribution of speculation to exchange rate volatility using different assumptions regarding speculation strategies and monetary policy rules. We take the DORNBUSCH (1976) model as the starting point and adopt a slight modification of the money demand specification. With a money...

While exchange rate dynamics is an important topic in open economy macroeconomics, the standard tool commonly used to introduce exchange rate dynamics - the Dornbusch (1976) seminal paper along with phase diagram - is not well-suited for undergraduate students as most of them do not have yet a...

This eBook covers the more relevant subjects in international finance and risk managment from an emerging markets perspective. The general approach is on open economy macroeconomics, very useful to comprehend the main effects of the financial crisis of 2008 and understand international finance...

International real business cycle models are not able to account for the high volatility of imports, exports, the trade balance and the terms of trade. By introducing exogenous exchange rate movements in addition to standard technological shocks, the model presented here comes much closer to...

We analyze the contribution of speculation to exchange rate volatility using different assumptions regarding speculation strategies and monetary policy rules. We take the DORNBUSCH (1976) model as the starting point and adopt a slight modification of the money demand specification. With a money...