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The monetary approach to exchange rates in the CEECs
Crespo-Cuaresma, Jesús; Fidrmuc, Jarko; McDonald, Ronald - EconWPA - 2004
A panel data set for six Central and Eastern European countries (the Czech Republic, Hungary, Poland, Romania, Slovakia and Slovenia) is used to estimate the monetary exchange rate model with panel cointegration methods, including the Pooled Mean Group estimator, the Fully Modified Least Square...
Persistent link: https://www.econbiz.de/10005561077
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Exchange Rates and Fundamentals : Is there a Role for Nonlinearities in Real Time?
Akdogan, Kurmas; Aksoy, Yunus - Türkiye Cumhuriyet Merkez Bankası - 2007
We examine the out-of-sample predictive power of real time linear monetary models with possible nonlinear adjustment in forecast errors for the GBP/USD exchange rates. Real time revisions of U.K. and U.S. monetary aggregates and output are significant; therefore the use of final data on...
Persistent link: https://www.econbiz.de/10005667279
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Target Zones in Theory and History: Credibility, Efficiency, and Policy Autonomy
Flandreau, Marc; Komlos, John - C.E.P.R. Discussion Papers - 2005
A natural experiment with an exchange-rate band in Austria-Hungary in the early 20th century provides a rare opportunity to discuss critical aspects of the theory of target zones. Providing a new derivation of the target zone model as a set of nested hypotheses, the inference is drawn that...
Persistent link: https://www.econbiz.de/10005661480
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Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data
Bruyn, Riane de; Gupta, Rangan; stander, Lardo - Department of Economics, Faculty of Economic and … - 2011
Evidence in favour of the monetary model of exchange rate determination for the South African Rand is at best mixed. A co-integrating relationship between the nominal exchange rate and fundamentals forms the basis of the monetary model. With the econometric literature suggesting that it is the...
Persistent link: https://www.econbiz.de/10009370795
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Estimando o desalinhamento cambial: Metodologia para cálculo de bandas de precisão
Marçal, Emerson Fernandes - 2013
exchange misalignment is not directly observed and its precision depends on the coefficients that link fundamentals to real … and suggest a bootstrap approach to calculate error bands. The misalignment estimative is based on cointegration … is important to highlight the precision and the limitations of the misalignment exchange rate calculus exercise and …
Persistent link: https://www.econbiz.de/10010330572
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Exchange rate misalignment under different exchange rate regimes in Nigeria
Essien, Sunday N.; Uyaebo, Stephen O. U.; Omotosho, … - In: CBN Journal of Applied Statistics 08 (2017) 1, pp. 1-21
RER misalignment under different exchange rate policies considered, model results indicated that the naira was overvalued …
Persistent link: https://www.econbiz.de/10011961660
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A two-country NATREX model for the euro/dollar
Belloc, Marianna; Federici, Daniela - 2008
This paper develops a NATREX (NATural Real EXchange rate) model for two large economies, the Eurozone and the United States, which are fully specified and allowed to interact. After description of the theoretical framework grounding on dynamic disequilibrium modelling approach in continuous...
Persistent link: https://www.econbiz.de/10010264355
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International financial integration and real exchange rate long-run dynamics in emerging countries : some panel evidence
Caporale, Guglielmo Maria; Amor, Thouraya Hadj; Rault, … - 2009
The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...
Persistent link: https://www.econbiz.de/10010266058
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International financial integration and real exchange rate long-run dynamics in emerging countries: some panel evidence
Caporale, Guglielmo Maria; Hadj Amor, Thouraya; Rault, … - 2009
The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...
Persistent link: https://www.econbiz.de/10010271098
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International financial integration and Real Exchange Rate long-run dynamics in emerging countries: some panel evidence
Caporale, Guglielmo Maria; Amor, Thouraya Hadj; Rault, … - 2009
The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...
Persistent link: https://www.econbiz.de/10010271575