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Deviations of Exchange Rates from Purchasing Power Parity : A Story Featuring Two Monetary Unions

Bayoumi, Tamim - 2006

We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group appear...

Persistent link: https://www.econbiz.de/10012782287

Exchange Rate Risk in the U.S. Stock Market : A Pooled Panel Data Regression Approach

Lee, Cheng-Few - 2019

This paper focuses on revisiting an old issue by advanced econometrics analysis: the risks in the U.S. stock market. We analyze the firm's exposure to exchange rate, interest rate, and market shocks by the pooled regression with the error cross-section dependency. We not only examine the...

Persistent link: https://www.econbiz.de/10012868070

Cross-Section Dependence and the Monetary Exchange Rate Model : A Panel Analysis

Beckmann, Joscha; Belke, Ansgar Hubertus; Dobnik, Frauke - 2011

This paper tackles the issue of cross-section dependence for the monetary exchange rate model in the presence of unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we distinguish between common factors and idiosyncratic...

Persistent link: https://www.econbiz.de/10014183198

Some Further Evidence on Exchange-Rate Volatility and Exports

Hondroyiannis, G.; Swamy, P.A.V.B; Tavlas, G. S.; Ulan, … - 2022

elasticities of demand for industrial-country exports might differ from those of industrial countries. Five estimation techniques …, including a generalized method of moments (GMM) and random coefficient (RC) estimation, are employed on panel data covering the … estimation period 1977:1-2003:4 using three measures of volatility. In contrast to recent studies employing panel data, we do not …

Persistent link: https://www.econbiz.de/10014080676

The Original Sin and Exchange Rate Dynamics : Panel Cointegration Evidence

Cain, Donneil - 2013

Developing country governments are often forced to issue debt in a foreign currency or commit the "original sin". The "original sin", regardless of exchange rate regime, exacerbates debt problems for these countries. Consequently, this paper investigates the relationship between US dollar...

Persistent link: https://www.econbiz.de/10013077545

Does the Prediction Horizon Matter for the Forward Premium Anomaly? Evidence from Panel Data

Yang, Kun; Shintani, Mototsugu - 2010

The forward unbiasedness regression is revisited by varying the prediction horizons from 1 day to 1 year. The panel data suggests some possibility of a positive slope coefficient at a short horizon while the negative coefficient improves forecasting performance at longer horizons

Persistent link: https://www.econbiz.de/10014225568

International Investment Positions and Exchange Rate Dynamics : A Dynamic Panel Analysis

Binder, Michael - 2013

In this paper we revisit medium- to long-run exchange rate determination, focusing on the role of international investment positions. To do so, we develop a new econometric framework accounting for conditional long-run homogeneity in heterogeneous dynamic panel data models. In particular, in our...

Persistent link: https://www.econbiz.de/10012753853

Gravity, distance, and international trade

Baier, Scott L.; Kerr, Amanda; Yotov, Yoto V. - 2017

We review and interpret the main theoretical developments in the gravity literature from its very early, a-theoretical applications to the latest structural contributions. We also discuss challenges and implement methods to estimate empirical gravity equations. We finish with a presentation and...

Persistent link: https://www.econbiz.de/10011611143

Distance and border effects in international trade : a comparison of estimation methods

Magerman, Glenn; Studnicka, Zuzanna; Van Hove, Jan - 2016

This paper compares various estimation methods often used in the estimation of gravity models of international trade …. The authors first discuss different structural and consistent estimation techniques, their underlying assumptions and … empirical methodologies. They focus on a comparison of the distance and border effects across estimation techniques. For the …

Persistent link: https://www.econbiz.de/10011502657

Return of the tariffs : the interwar trade collapse revisited

Adam, Marc Christopher - 2019

collapse of the gold standard? Using recent advances in the estimation of gravity equations, I examine the partial and general …

Persistent link: https://www.econbiz.de/10012023385