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Imported intermediate goods and incomplete exchange rate pass-through into export prices

Firanchuk, Alexander - 2018

This paper analyses the effect of imported inputs and the exporting country share on the degree of exchange rate pass-through (ERPT) into export prices. I present a model where firms set variable markups under oligopoly competition and imported inputs affect marginal cost. It makes two...

Persistent link: https://www.econbiz.de/10011904603

Using a theory-consistent CVAR scenario to test an exchange rate model based on imperfect knowledge

Jusélius, Katarina - In: Econometrics : open access journal 5 (2017) 3, pp. 1-20

A theory-consistent CVAR scenario describes a set of testable regularieties one should expect to see in the data if the …

Persistent link: https://www.econbiz.de/10011711002

Exchange Rates, Monetary Policy Regimes, and Beliefs

Sill, Keith; Wrase, Jeff - 2019

The authors investigate an international monetary business-cycle model in which agents face monetary policy processes that incorporate regime shifts. In any given period agents cannot directly observe the policy regime, but instead form beliefs that are updated via Bayesian learning. As a...

Persistent link: https://www.econbiz.de/10014189321

Heterogeneous Expectations and Exchange Rate Dynamics

Chiarella, Carl; He, Xuezhong; Zheng, Min - 2009

This paper presents a continuous-time model of exchange rates relying not only on macroeconomic factors but also having a market microstructure component. The driving macroeconomic factor is the interest rate differential, while the market microstructure element is described by the expectations...

Persistent link: https://www.econbiz.de/10014210166

Exchange rate dynamics, expectations, and monetary policy

Chen, Qianying - 2011

This paper re-investigates the implications of monetary policy rules on changes in exchange rate, in a risk-adjusted, uncovered interest parity model with unrestricted parameters, emphasizing the importance of modeling market expectations of monetary policy. I use consensus forecasts as a proxy...

Persistent link: https://www.econbiz.de/10009244259

Transmission of Nominal Exchange Rate Changes to Export Prices and Trade Flows and Implications for Exchange Rate Policy

Holtemöller, Oliver - 2017

We discuss how the welfare ranking of fixed and flexible exchange rate regimes in a New Open Economy Macroeconomics model depends on the interplay between the degree of exchange rate pass-through and the elasticity of substitution between home and foreign goods. We identify combinations of these...

Persistent link: https://www.econbiz.de/10012951764

Transmission of Nominal Exchange Rate Changes to Export Prices and Trade Flows and Implications for Exchange Rate Policy

Hoffmann, Mathias - 2016

Persistent link: https://www.econbiz.de/10012991030

Expected Regime Change : Transition toward Nominal Exchange Rate Stability

Brázdik, František - 2013

This work presents an extension of a small open economy DSGE model allowing the transition toward a monetary policy regime aimed at exchange rate stability to be described. The model is estimated using the Bayesian technique to fit the properties of the Czech economy. In the scenarios assessed,...

Persistent link: https://www.econbiz.de/10013081050

Higher Order Beliefs and the Dynamics of Exchange Rates

Pancotto, Francesca - 2014

We estimate a model for exchange rate dynamics when expectations present higher order beliefs. A structural macro model for exchange rates is proposed where agents form their one-step-ahead predictions under a Bayesian learning process and in which aggregation of their choices is considered into...

Persistent link: https://www.econbiz.de/10013049856

Prominent numbers, indices and ratios in exchange rate determination and financial crashes : in Economists' models, in the field and in the laboratory

Pope, Robin; Selten, Reinhard; Kube, Sebastian; Hagen, … - 2009

laboratory. Third, nominalist heuristics are incompatible with expected utility theory which excludes the evaluation stage, and … are also incompatible with prospect theory which assumes that, while the evaluation stage can involve systematic mistakes … model and identify what is a mistake, and b) decision makers can maximise. However, contrary to prospect theory, in the …

Persistent link: https://www.econbiz.de/10003867227

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