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Consumption And Real Exchange Rates In Professional Forecast
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Book Synopsis Consumption and Real Exchange Rates in Professional Forecasts by : Michael B. Devereux
Download or read book Consumption and Real Exchange Rates in Professional Forecasts written by Michael B. Devereux and published by . This book was released on 2010 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: Standard models of international risk sharing with complete asset markets predict a positive association between relative consumption growth and real exchange-rate depreciation across countries. The striking lack of evidence for this link the consumption/real-exchange-rate anomaly or Backus-Smith puzzle - has prompted research on risk-sharing indicators with incomplete asset markets. That research generally implies that the association holds in forecasts, rather than realizations. Using professional forecasts for 28 countries for 1990-2008 we find no such association, thus deepening the puzzle. Independent evidence on the weak link between forecasts for consumption and real interest rates suggests that the presence of 'hand-to-mouth' consumers may help to resolve the anomaly.
Book Synopsis Consumption and Real Exchange Rates in Professional Forecast by : Michael B. Devereux
Download or read book Consumption and Real Exchange Rates in Professional Forecast written by Michael B. Devereux and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Consumption Risk-Sharing and the Real Exchange Rate by : Michael B. Devereux
Download or read book Consumption Risk-Sharing and the Real Exchange Rate written by Michael B. Devereux and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A basic prediction of effcient risk-sharing is that relative consumption growth rates across countries or regions should be positively related to real exchange rate growth rates across the same areas. We investigate this hypothesis, employing a newly constructed multi-country and multi-regional data set. Within countries, we find signifcant evidence for risk sharing: episodes of high relative regional consumption growth are associated with regional real exchange rate depreciation. Across countries however, the association is reversed: relative consumption and real exchange rates are negatively correlated. We identify this failure of risk sharing as a border effect. We find that the border effect is substantially (but not fully) accounted for by nominal exchange rate variability. We then ask whether standard open economy macro models can explain these features of the data. We argue that they cannot. To explain the role of the nominal exchange rate in deviations from cross country consumption risk sharing, it is necessary to combine multiple sources of shocks, ex-ante price setting, and incomplete financial markets.
Book Synopsis Expected Consumption Growth from Cross-country Surveys by : Charles Engel
Download or read book Expected Consumption Growth from Cross-country Surveys written by Charles Engel and published by . This book was released on 2008 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: Survey data show that the expected growth rates of consumption across countries vary widely and are not highly correlated. This data contradicts the simplest of open-economy models in which there is a freely traded non- state-contingent bond and purchasing power parity holds. We explore two alternative explanations for the finding: that households in each country in effect face different ex ante real interest rates or that there are significant credit constraints, so that expected consumption growth rates are driven largely by expected income growth. The empirical evidence strongly supports the latter hypothesis. These findings challenge the modeling of consumption that is at the heart of many, if not most, macroeconomic models.
Book Synopsis Monetary Policy Credibility and Exchange Rate Pass-Through by : Mr.Yan Carriere-Swallow
Download or read book Monetary Policy Credibility and Exchange Rate Pass-Through written by Mr.Yan Carriere-Swallow and published by International Monetary Fund. This book was released on 2017-01-18 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: A long-standing conjecture in macroeconomics is that recent declines in exchange rate pass-through are in part due to improved monetary policy performance. In a large sample of emerging and advanced economies, we find evidence of a strong link between exchange rate pass-through to consumer prices and the monetary policy regime’s performance in delivering price stability. Using input-output tables, we decompose exchange rate pass-through to consumer prices into a component that reflects the adjustment of imported goods at the border, and another that captures the response of all other prices. We find that price stability and central bank credibility have reduced the second component.
Book Synopsis Real Exchange Rates, Saving and Growth: by : Peter J. Montiel
Download or read book Real Exchange Rates, Saving and Growth: written by Peter J. Montiel and published by World Bank Publications. This book was released on 2008 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: The view that policies directed at the real exchange rate can have an important effect on economic growth has been gaining adherents in recent years. Unlike the traditional "misalignment" view that temporary departures of the real exchange rate from its equilibrium level harm growth by distorting a key relative price in the economy, the recent literature stresses the growth effects of the equilibrium real exchange rate itself, with the claim being that a depreciated equilibrium real exchange rate promotes economic growth. While there is no consensus on the precise channels through which this effect is generated, an increasingly common view in policy circles points to saving as the channel of transmission, with the claim that a depreciated real exchange rate raises the domestic saving rate - which in turn stimulates growth by increasing the rate of capital accumulation. This paper offers a preliminary exploration of this claim. Drawing from standard analytical models, stylized facts on saving and real exchange rates, and existing empirical research on saving determinants, the paper assesses the link between the real exchange rate and saving. Overall, the conclusion is that saving is unlikely to provide the mechanism through which the real exchange rate affects growth.
Book Synopsis Consumptionrisk-sharing and the real exchange rate : why does the nominal exchange rate make such a difference? by : Michael B. Devereux
Download or read book Consumptionrisk-sharing and the real exchange rate : why does the nominal exchange rate make such a difference? written by Michael B. Devereux and published by . This book was released on 2011 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: A basic prediction of effcient risk-sharing is that relative consumption growth rates across countries or regions should be positively related to real exchange rate growth rates across the same areas. We investigate this hypothesis, employing a newly constructed multi-country and multi-regional data set. Within countries, we find signifcant evidence for risk sharing: episodes of high relative regional consumption growth are associated with regional real exchange rate depreciation. Across countries however, the association is reversed: relative consumption and real exchange rates are negatively correlated. We identify this failure of risk sharing as a border effect. We find that the border effect is substantially (but not fully) accounted for by nominal exchange rate variability. We then ask whether standard open economy macro models can explain these features of the data. We argue that they cannot. To explain the role of the nominal exchange rate in deviations from cross country consumption risk sharing, it is necessary to combine multiple sources of shocks, ex-ante price setting, and incomplete financial markets.
Book Synopsis Real Exchange Rates and Macroeconomics by : Rudiger Dornbusch
Download or read book Real Exchange Rates and Macroeconomics written by Rudiger Dornbusch and published by . This book was released on 1988 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses exchange rate issues in advanced and in developing countries. For the determination of exchange rates among industrialized countries the key question is the following: What is the right framework -- the monetary approach, the equilibrium approach, the new classical approach or the macroeconomic model in the tradition of Mundell-Fleming. To shed light on that question two empirical problems are considered: What is known about the behavior of real exchange rates and how well do alternative models explain the relation among interest rates, expected depreciation and actual depreciation. The second half of the paper discusses real exchange rates in developing countries. This strand of literature has become important in the context of adjustment programs. We focus on the relation between real exchange rates and the profitability of capital. The model highlights the sharp discrepancy between the mobility of capital (even physical capital, in the long run) and the immobility of labor.
Book Synopsis Consumption Dynamics and Real Exchange Rates by : Morten O. Ravn
Download or read book Consumption Dynamics and Real Exchange Rates written by Morten O. Ravn and published by . This book was released on 2001 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange Rate Determination by : Michael Rosenberg
Download or read book Exchange Rate Determination written by Michael Rosenberg and published by McGraw Hill Professional. This book was released on 2003-05-19 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: Models and Strategies for Exchange Rate ForecastingMichael R. RosenbergGetting an accurate exchange rate is critical for any company doing business in today's global economy. Exchange Rate Determination--written by the number one-ranked foreign exchange team in the world--examines the methods used to accurately and profitably forecast foreign exchange rates. This hands-on guidebook uses extensive charts and tables to examine currency option markets, productivity trends and exchange rates; technical analysis methods to improve currency forecasting accuracy; and more.
Book Synopsis Model Trending Real Exchange Rates by : Maurice Obstfeld
Download or read book Model Trending Real Exchange Rates written by Maurice Obstfeld and published by . This book was released on 1993 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Real Exchange Rates and Fundamentals by : Luca Antonio Ricci
Download or read book Real Exchange Rates and Fundamentals written by Luca Antonio Ricci and published by International Monetary Fund. This book was released on 2008 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper employs newly constructed measures for productivity differentials, external imbalances, and commodity terms of trade to estimate a panel cointegrating relationship between real exchange rates and a set of fundamentals for a sample of 48 industrial countries and emerging markets. It finds evidence of a strong positive relation between the CPI-based real exchange rate and commodity terms of trade. The estimated impact of productivity growth differentials between traded and nontraded goods, while statistically significant, is small. Increases in net foreign assets and in government consumption tend to be associated with appreciating real exchange rates.
Book Synopsis NBER Macroeconomics Annual 2007 by : Daron Acemoglu
Download or read book NBER Macroeconomics Annual 2007 written by Daron Acemoglu and published by . This book was released on 2008-03 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The NBER Macroeconomics Annual provides a forum for important debates in contemporary macroeconomics and major developments in the theory of macroeconomic analysis and policy that include leading economists from a variety of fields. The papers and accompanying discussions in NBER Macroeconomics Annual 2007 address exchange-rate models; implications of credit market frictions; cyclical budgetary policy and economic growth; the impacts of shocks to government spending on consumption, real wages, and employment; dynamic macroeconomic models; and the role of cyclical entry of new firms and products on the nature of business-cycle fluctuations and on the effects of monetary policy.
Book Synopsis Timely Measurement of Real Effective Exchange Rates by : Zsolt M. Darvas
Download or read book Timely Measurement of Real Effective Exchange Rates written by Zsolt M. Darvas and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We demonstrate that short-run real exchange effective rate changes are dominated by nominal effective exchange rate changes, while inflation rates are sticky and contribute little to short-run real exchange rate changes. These observations allow a rather accurate real-time approximation of the real effective exchange rate using actual nominal exchange rate data and forecast inflation data. We measure the approximation error and find it is minor for most countries and sizeable only for a few countries experiencing high and volatile inflation. For a set of countries, the revision in our estimates using real-time data is slightly lower than the revision in World Bank estimates and much lower than International Monetary Fund estimates. By considering two widely studied economic issues, unit root testing in real exchange rates and nominal exchange rate forecasting with the real exchange rate, we find that using a version of real exchange rates based on approximated monthly price level data instead of actual price level data hardly changes the conclusions on unit roots and forecasting. By combining alternative data sources for exchange rates and consumer prices, we calculate up-to-date monthly real effective exchange rates for 177 countries and the euro area. Our dataset, which is frequently updated, includes more than twice as many observations as the second most comprehensive dataset.
Book Synopsis Inflation Expectations by : Peter J. N. Sinclair
Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Book Synopsis Should One Rely on Professional Exchange Rate Forecasts? by : Peter Bofinger
Download or read book Should One Rely on Professional Exchange Rate Forecasts? written by Peter Bofinger and published by . This book was released on 2004 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Consumption and Real Exchange Rates with Incomplete Markets and Non-traded Goods by : Gianluca Benigno
Download or read book Consumption and Real Exchange Rates with Incomplete Markets and Non-traded Goods written by Gianluca Benigno and published by . This book was released on 2006 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
