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Sources of Exchange Rate Fluctuations : Are They Real or Nominal?

Juvenal, Luciana - 2010

I analyze the role of real and monetary shocks on the exchange rate behavior using a structural vector autoregressive model of the US vis-à-vis the rest of the world. The shocks are identified using sign restrictions on the responses of the variables to orthogonal disturbances. These...

Persistent link: https://www.econbiz.de/10013151170

A Multiple-Horizon Search for the Role of Trade and Financial Factors in Bilateral Real Exchange Rate Volatility

Cheung, Yin-Wong - 2009

This study investigates the sources of bilateral real exchange rate (RER) volatility in industrial countries. Going … RER volatility at different time horizons. The results suggest that RER volatility tends to increase with financial …. Financial factors (financial openness and financial depth) are found to influence RER volatility at primarily short horizons …

Persistent link: https://www.econbiz.de/10013158418

Real Exchange Rate Dynamics Beyond Business Cycles

Cao, Dan - 2020

We examine how medium-term movements in real exchange rates and GDP vary with international financial conditions. For this purpose, we study the international transmission of productivity shocks across a variety of IRBC models that incorporate different assumptions about the persistence of...

Persistent link: https://www.econbiz.de/10012839806

Consumption Smoothing and Exchange Rate Volatility

Turtelboom, Bart - 2006

for the period 1970-92. Simulation results indicate that the observed volatility of multilateral real exchange rates for … the United States, Germany and Japan is not inconsistent with exchange rate volatility implied by consumption …

Persistent link: https://www.econbiz.de/10012781855

Real Exchange Rate Volatility : Does the Nominal Exchange Rate Regime Matter?

Liang, Hong - 2006

evidence supporting the nonneutrality hypothesis of nominal exchange regime on RER volatility. Also, regime shifts play an …

Persistent link: https://www.econbiz.de/10012782130

China : Sources of Real Exchange Rate Fluctuations

Wang, Tao - 2006

This paper reviews the evolution of China`s real effective exchange rate between 1980 and 2002, and uses a structural vector autoregression model to study the relative importance of different types of macroeconomic shocks for fluctuations in the real exchange rate. The structural decomposition...

Persistent link: https://www.econbiz.de/10012783233

What's News in Exchange Rate Dynamics : A DSGE Approach

Chen, Kan - 2017

This paper examines the medium and long-term impacts of economic news on exchange rate movements. We extend a standard new open economy macroeconomics model by allowing anticipated (news) shocks in purchasing power parity and real interest rates, and perform a structural Bayesian estimation....

Persistent link: https://www.econbiz.de/10012958318

Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?

Lustig, Hanno N. - 2018

the exchange rate volatility, cyclicality and the FX risk premia in the data …

Persistent link: https://www.econbiz.de/10012937279

Bond Convenience Yields and Exchange Rate Dynamics

Valchev, Rosen - 2017

I propose a new explanation for the failure of Uncovered Interest Parity (UIP) that can rationalize not only the classic UIP puzzle, but also the evidence that the puzzle reverses direction at longer horizons. In the model, excess currency returns arise as compensation for endogenous...

Persistent link: https://www.econbiz.de/10012969679

Does the Financial Channel of Exchange Rates Offset the Trade Channel?

Kearns, Jonathan - 2016

While the trade channel indicates that an exchange rate depreciation will stimulate domestic economic activity, the financial channel can have the opposite effect. When banks and non-banks have foreign currency liabilities, an exchange rate depreciation has valuation effects that can lead to a...

Persistent link: https://www.econbiz.de/10012977169