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Global Equilibrium Exchange Rates
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Book Synopsis Global Equilibrium Exchange Rates by : Mr.Angel J. Ubide
Download or read book Global Equilibrium Exchange Rates written by Mr.Angel J. Ubide and published by International Monetary Fund. This book was released on 1999-12-01 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a methodology for calculating bilateral equilibrium exchange rates for a panel of currencies in a way that guarantees global consistency. The methodology has three parts: a theoretical model that encompasses the balance of payments and the Balassa-Samuelson approaches to real exchange rate determination; an unobserved components decomposition in a cointegration framework that identifies a time-varying equilibrium real exchange rate; and an algebraic transformation that extracts bilateral equilibrium nominal rates. The results uncover that, by the start of Stage III of the European Economic and Monetary Union (EMU), the euro was significantly undervalued against the dollar and the pound, but overvalued against the yen. The paper also shows that the four major EMU currencies locked their parities with the euro at a rate close to equilibrium.
Book Synopsis Global Equilibrium Exchange Rates by : Enrique Alberola
Download or read book Global Equilibrium Exchange Rates written by Enrique Alberola and published by . This book was released on 2006 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a methodology for calculating bilateral equilibrium exchange rates for a panel of currencies in a way that guarantees global consistency. The methodology has three parts: a theoretical model that encompasses the balance of payments and the Balassa-Samuelson approaches to real exchange rate determination; an unobserved components decomposition in a cointegration framework that identifies a time-varying equilibrium real exchange rate; and an algebraic transformation that extracts bilateral equilibrium nominal rates. The results uncover that, by the start of Stage III of the European Economic and Monetary Union (EMU), the euro was significantly undervalued against the dollar and the pound, but overvalued against the yen. The paper also shows that the four major EMU currencies locked their parities with the euro at a rate close to equilibrium.
Book Synopsis Global Equilibrium Exchange Rates by :
Download or read book Global Equilibrium Exchange Rates written by and published by . This book was released on 1999 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimating the Equilibrium Real Exchange Rate by : Mr.Tarhan Feyzioglu
Download or read book Estimating the Equilibrium Real Exchange Rate written by Mr.Tarhan Feyzioglu and published by International Monetary Fund. This book was released on 1997-09-01 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: An equilibrium exchange rate is here defined as the level that is consistent with simultaneous internal and external balances as specified in Montiel (1996). Exogenous “fundamental” variables determining these balances are identified. Along the lines of Edwards (1994), a reduced form is estimated with the cointegration technique for Finland for the period 1975-95. The estimation produced a reasonable set of equilibrium exchange rates that appreciate with positive shocks to the terms of trade, world real interest rates, and the productivity differential between Finland and its trading partners.
Book Synopsis Equilibrium Exchange Rates by : Ronald MacDonald
Download or read book Equilibrium Exchange Rates written by Ronald MacDonald and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 353 pages. Available in PDF, EPUB and Kindle. Book excerpt: How successful is PPP, and its extension in the monetary model, as a measure of the equilibrium exchange rate? What are the determinants and dynamics of equilibrium real exchange rates? How can misalignments be measured, and what are their causes? What are the effects of specific policies upon the equilibrium exchange rate? The answers to these questions are important to academic theorists, policymakers, international bankers and investment fund managers. This volume encompasses all of the competing views of equilibrium exchange rate determination, from PPP, through other reduced form models, to the macroeconomic balance approach. This volume is essentially empirical: what do we know about exchange rates? The different econometric and theoretical approaches taken by the various authors in this volume lead to mutually consistent conclusions. This consistency gives us confidence that significant progress has been made in understanding what are the fundamental determinants of exchange rates and what are the forces operating to bring them back in line with the fundamentals.
Book Synopsis A Network Model of Multilaterally Equilibrium Exchange Rates by : Mr.Alexei P Kireyev
Download or read book A Network Model of Multilaterally Equilibrium Exchange Rates written by Mr.Alexei P Kireyev and published by International Monetary Fund. This book was released on 2016-07-06 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a network model of multilaterally equilibrium exchange rates. The model introduces a topological component into the exchange rate analysis, consistently taking into account simultaneous higher-order interactions among all currencies. The paper defines the currency demand indicator. On its base, it derives a multilateral exchange rate network, finds its dynamically stationary position, and identifies the multilaterally equilibrium levels of bilateral exchanges rates. Potentially, the model can be developed further to calculate the deviations of the observed bilateral exchange rates from their multilaterally equilibrium levels, which can be interpreted as their over- or undervaluation. For illustration, the model is applied to daily 1995-2016 exchange rates among 130 currencies sourced from the Thomson Reuters Datastream.
Book Synopsis Estimating Equilibrium Exchange Rates by : John Williamson
Download or read book Estimating Equilibrium Exchange Rates written by John Williamson and published by Peterson Institute. This book was released on 1994 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problems of exchange rate misalignments and the resulting payments imbalances have plagued the world economy for decades. At the Louvre Accord of 1987, the Group of Five industrial countries adopted a system of reference ranges for exchange rate management, influenced by proposals of C. Fred Bergstan and John Williamson for a target zone system. The reference range approach has, however, been operated only intermittently and half-heartedly, and questions continue to be raised in policy and scholarly circles about the design and operation of a full-fledged target zone regime. This volume, with chapters by leading international economists, explores one crucial issue in the design of a target zone system: the problem of calculating Williamson's concept of the fundamental equilibrium exchange rate (FEER). Williamson contributes an overview of the policy and analytic issues and a second chapter on his own calculations.
Book Synopsis Equilibrium Exchange Rates by : Peter Isard
Download or read book Equilibrium Exchange Rates written by Peter Isard and published by International Monetary Fund. This book was released on 2007-12 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper describes six different methodologies that have been used to assess the equilibrium values of exchange rates and discusses their limitations. It applies several of the approaches to data for the United States as of 2006, illustrates that different approaches sometimes provide substantially different assessments, and asks which methodologies deserve the most weight in such situations. It argues that while it is generally desirable to consider the implications of several different approaches, since different approaches provide different types of perspectives, two of the methodologies seem particularly relevant for identifying threats to macroeconomic stability and growth.
Book Synopsis Equilibrium Exchange Rates in Transition Economies by : Lionel Halpern
Download or read book Equilibrium Exchange Rates in Transition Economies written by Lionel Halpern and published by International Monetary Fund. This book was released on 1996-11-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: A stylized fact of the transition process is an early profound exchange rate depreciation followed by continuing real appreciation. Absent historical reference points, it is difficult to judge whether the real appreciation is threatening competitiveness. This paper interprets the stylized facts and offers estimates of the equilibrium real exchange rate based on an international comparison of dollar wages and on a study of the dynamics of real exchange rates in several transition economies. The results suggest that the process of real appreciation is a combination of a return to equilibrium following the early overshooting and equilibrium appreciation.
Book Synopsis Equilibrium Exchange Rates by : Centre d'études prospectives et d'informations internationales (France)
Download or read book Equilibrium Exchange Rates written by Centre d'études prospectives et d'informations internationales (France) and published by . This book was released on 2008 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimation of a Behavioral Equilibrium Exchange Rate Model for Ghana by : Ms.Elena Loukoianova
Download or read book Estimation of a Behavioral Equilibrium Exchange Rate Model for Ghana written by Ms.Elena Loukoianova and published by International Monetary Fund. This book was released on 2007-07-01 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper estimates a behavioral equilibrium exchange rate model for Ghana. Regression results show that most of the REER's long-run behavior can be explained by real GDP growth, real interest rate differentials (both relative to trading-partner countries), and the real world prices of Ghana's main export commodities. On the basis of these fundamentals, the REER in late 2006 was found to be very close to its estimated equilibrium level. The results also suggest, that deviations from the equilibrium path are eliminated within two to three years.
Book Synopsis The Exchange Rate System by : John Williamson
Download or read book The Exchange Rate System written by John Williamson and published by . This book was released on 1983 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now available directly from: IIE 11 Dupont Circle, NW Washington, DC 20036 Tel: (202) 328-9000 This book examines the system of flexible exchange rates, estimating misalignments of major currencies and analyzing costs and benefits of volatility and deviations from equilibrium. It considers target zones, reference rates, and other alternatives for stabilizing the system.
Book Synopsis A Fair Exchange? Theory and Practice of Calculating Equilibrium Exchange Rates by : Tamim Bayoumi
Download or read book A Fair Exchange? Theory and Practice of Calculating Equilibrium Exchange Rates written by Tamim Bayoumi and published by INTERNATIONAL MONETARY FUND. This book was released on 2005-12-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a theory-based model of equilibrium exchange rates incorporating factors that have been found to matter empirically. The model provides insights into how variables should be measured and what are appropriate cross-country restrictions. We estimate this model using a panel of 12 industrial countries. The model fits the data relatively well, implying relatively fast adjustment to equilibrium and outperforming a random walk at longer horizons. Furthermore, we find that the rate of adjustment depends on the distance from equilibrium, suggesting that part of the explanation for slow adjustment is inaccurate measures of equilibrium.
Book Synopsis The International Monetary System Under Flexible Exchange Rates by : Richard N. Cooper
Download or read book The International Monetary System Under Flexible Exchange Rates written by Richard N. Cooper and published by . This book was released on 1982 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Reference Rates and the International Monetary System by : John Williamson
Download or read book Reference Rates and the International Monetary System written by John Williamson and published by Columbia University Press. This book was released on 2007-04-30 with total page 73 pages. Available in PDF, EPUB and Kindle. Book excerpt: Growing global imbalances threaten to induce a collapse of the dollar, which could in turn produce a severe recession in the rest of the world. This crisis could force countries to say "never again" and search for a system to prevent similar disasters. The system that could do so is a reference rate system—where countries' authorities are forbidden from intervening in order to push the exchange rate too far from what is termed the "reference rate." It could help a country's authorities manage its exchange rate to avoid large misalignments, assist the private sector in forming more dependable expectations of future exchange rates and thus to manage their businesses more efficiently in a world of floating exchange rates, and aid the International Monetary Fund in designing and managing an effective system of multilateral surveillance. The world economy would function better as a result, with less chance of the global imbalances leading to a world recession.
Book Synopsis External Adjustment and Equilibrium Exchange Rate in Brazil by : Claudio Paiva
Download or read book External Adjustment and Equilibrium Exchange Rate in Brazil written by Claudio Paiva and published by International Monetary Fund. This book was released on 2006-10 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the factors behind the significant improvement in Brazil's external accounts and wide fluctuations of the real exchange rate since the floating of the real in 1999. Particular attention is devoted to the strong appreciation of the real from 2003-05. Econometric estimates of of behavioral equilibrium exchange rate (BEER) model for Brazil show that most of this appreciation was an equilibrium response to improved economic fundamentals.
Book Synopsis The Global Factor in Neutral Policy Rates by : Richard H. Clarida
Download or read book The Global Factor in Neutral Policy Rates written by Richard H. Clarida and published by . This book was released on 2017 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper highlights some of the theoretical and practical implications for monetary policy and exchange rates that derive specifically from the presence of a global general equilibrium factor embedded in neutral real policy rates in open economies. Using a standard two country DSGE model, we derive a structural decomposition in which the nominal exchange rate is a function of the expected present value of future neutral real interest rate differentials plus a business cycle factor and a PPP factor. Country specific "r*" shocks in general require optimal monetary policy to pass these through to the policy rate, but such shocks will also have exchange rate implications, with an expected decline in the path of the real neutral policy rate reflected in a depreciation of the nominal exchange rate. We document a novel empirical regularity between the equilibrium error in the VECM representation of the empirical Holston Laubach Williams (2017) four country r* model and the value of the nominal trade weighted dollar. In fact, the correlation between the dollar and the 12 quarter lag of the HLW equilibrium error is estimated to be 0.7. Global shocks to r* under optimal policy require no exchange rate adjustment because passing though r* shocks to policy rates "does all the work' of maintaining global equilibrium. We also study a richer model with international spill overs so that in theory there can be gains to international policy cooperation. In this richer model we obtain a similar decomposition for the nominal exchange rate, but with the added feature that r* in each country is a function global productivity and business cycle factors even if these factors are themselves independent across countries. We argue that in practice, there could well be significant costs to central bank communication and credibility under a regime formal policy cooperation, but that gains to policy coordination could be substantial given that r*'s are unobserved but are correlated across countries.
