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International investment positions and exchange rate dynamics

Binder, Michael; Offermanns, Christian J. - 2014

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

Persistent link: https://www.econbiz.de/10010414236

Investigating the Determinants of Exchange Rate Stability : An Empirical Evidence

Atta Arsanious, Essam - 2020

The major drivers of nominal and real effective exchange rates are investigated in a sample of 30 countries between 1977 and 2017. We used the multiple linear regression analysis by Fixed GLS AR1, and Pooled Mean Group (PMG). The main drivers of nominal exchange rate in the long run are found to...

Persistent link: https://www.econbiz.de/10012840434

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

Global Imbalances : Should We Use Fundamental Equilibrium Exchange Rates?

Saadaoui, Jamel - 2017

The reduction of global imbalances observed during the climax of crisis is incomplete. In this context, currencies' realignments are still proposed to ensure global macroeconomic stability. These realignments are based on equilibrium rates derived from equilibrium exchange rate models. Among...

Persistent link: https://www.econbiz.de/10012943656

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

Equilibrium Real Exchange Rate Estimates Across Time and Space

Fischer, Christoph A. - 2019

estimation method used to derive them. Essentially, these methods differ in their treatment of the time-series (time) and the … cross-section (space) variation in the panel. The study shows that conventional panel estimation methods (pooled OLS, fixed … literature to show that the distortion is generally very large. This suggests the use of the CRE model for the panel estimation …

Persistent link: https://www.econbiz.de/10012869995

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

Binder, Michael - 2016

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/10012991132

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

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

Binder, Michael - 2013

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

Cross-section dependence and the monetary exchange rate model : a panel analysis

Beckmann, Joscha; Belke, Ansgar; 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/10010209430