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Author : Timothy K. Hopper
Publisher :
ISBN 13 :
Total Pages : 216 pages
Book Rating : 4.:/5 (528 download)
Download or read book Linear and Nonlinear Dynamics of Real Exchange Rates written by Timothy K. Hopper and published by . This book was released on 2003 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lucio Sarno
Publisher : International Monetary Fund
ISBN 13 : 1451853491
Total Pages : 40 pages
Book Rating : 4.4/5 (518 download)
Download or read book Nonlinear Exchange Rate Models written by Lucio Sarno and published by International Monetary Fund. This book was released on 2003-05-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange rates help resolve the "purchasing power parity (PPP) puzzles." The second question is whether recently developed nonlinear, regime-switching vector equilibrium correction models of the nominal exchange rate can beat a random walk model, the standard benchmark in the exchange rate literature, in terms of out-of-sample forecasting performance. Finally, issues related to the adequateness of standard methods of evaluation of (linear and nonlinear) exchange rate models are discussed with reference to different forecast accuracy criteria.
Author : Serineh Najarian
Publisher : International Monetary Fund
ISBN 13 : 1451857691
Total Pages : 50 pages
Book Rating : 4.4/5 (518 download)
Download or read book Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates written by Serineh Najarian and published by International Monetary Fund. This book was released on 2003-07-01 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the adjustment toward PPP is symmetric from above and below. Using alternative nonlinear models, our results support mean reversion and asymmetric adjustment dynamics. We find differences in magnitudes, frequencies, and durations of the deviations of exchange rates from fixed and time-varying thresholds, both between over-appreciations and over-depreciations and between developed and developing countries. In particular, the average cumulative sum of deviations during periods when exchange rates are below forecasts is twice that of the sum during periods of over-appreciation, and is larger for developing than for advanced countries.
Author : Hyginus Leon
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (849 download)
Download or read book Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates written by Hyginus Leon and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zhaonan Chen
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (318 download)
Download or read book A Nonlinear Model of Real Exchange Rate Dynamics, with an Application to the Case of Taiwan written by Zhaonan Chen and published by . This book was released on 1994 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mariam Camarero
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Nonlinear Adjustment in the Real Euro-Dollar Exchange Rate written by Mariam Camarero and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we analyze the adjustment dynamics of the euro-dollar real exchange rate towards one of the most relevant fundamentals: relative productivity. Using testing and estimation non-linear procedures for ESTAR models for the period 1970-2002, we find that the speed of real exchange rate convergence towards its fundamental critically depends on the size of the shock. Therefore, shocks of small size appear to have persistent effects on the real exchange rate but when shocks are of large size, the variable clearly shows its mean reverting properties. This nonlinearity helps to explain why for relatively long periods of time the real exchange rate apparently does not follow its fundamental.
Author : Jerome L. Stein
Publisher : Oxford University Press
ISBN 13 : 0198293062
Total Pages : 273 pages
Book Rating : 4.1/5 (982 download)
Download or read book Fundamental Determinants of Exchange Rates written by Jerome L. Stein and published by Oxford University Press. This book was released on 1997 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Existing models fail to explain the large fluctuations in the real exchange rates of most currencies over the past twenty years. The Natural Real Exchange Rate approach (NATREX) taken here offers an alternative paradigm to those which focus on short-run movements of nominal eschange rates, purchasing power parity of the representative agent intertemporal optimization models. Yet it is also neo-classical in its stress upon the accepted fundamentals driving a real economy. It concentrates on the real exchange rate, and explains medium- tolong-run movements in equilibrium real exchange rates in terms of fundamental variables: the productivity of capital and social (public plus private) thrift at home and abroad. The NATREX approach is a family of growth models, each tailored to the characteristics of the countries considered. The authors explain the real international value of the US dollar relativ to the G10 countries, and the US current account. These are two large economies. The model is also applied to small economies, where it explains the real value of the Australian dollar and the Latin American currencies relative to the US dollar. The model is relevant for developing countries where the foreign debt is a concern. Finally, it is applied to two medium-sized economies to explain the bilateral exchange rate between the French franc and the Deutsche Mark. The authors demonstrate both the promise of the NATREX model and its applicability to economies large and small. Alongside the analysis, econometrics, and technical details of these case studies, the introductory chapter explains in accessible terms the rationale behind the approach. The mix of theory and empirical evidence makes this book relevant to academics and advanced graduate students, and to central banks, ministries of finance, and those concerned with the foreign debt of developing countries.
Author : Mr.Ronald MacDonald
Publisher : International Monetary Fund
ISBN 13 : 1451921675
Total Pages : 54 pages
Book Rating : 4.4/5 (519 download)
Download or read book What Determines Real Exchange Rates? The Long and Short of it written by Mr.Ronald MacDonald and published by International Monetary Fund. This book was released on 1997-02-01 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a reduced-form model of the real exchange rate. Using multilateral cointegration methods, the model is implemented for the real effective exchange rates of the dollar, the mark, and the yen, over the period 1974-1993. In contrast to much other research using real exchange rates, there is evidence of significant and sensible long-run relationships for a simplified version as well as for the full version of the model. The estimated long-run relationships are used to produce dynamic equations, which outperform a random walk and produce sensible dynamic patterns in the context of an impulse response analysis.
Author : Lucio Sarno
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.X/5 (4 download)
Download or read book Non-linear Dynamics in Deviations from the Law of One Price written by Lucio Sarno and published by . This book was released on 2002 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gilles Dufrénot
Publisher : Springer
ISBN 13 : 3319052128
Total Pages : 322 pages
Book Rating : 4.3/5 (19 download)
Download or read book Market Microstructure and Nonlinear Dynamics written by Gilles Dufrénot and published by Springer. This book was released on 2014-07-14 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses market microstructure environment within the context of the global financial crisis. In the first part, the market microstructure theory is recalled and the main microstructure models and hypotheses are discussed. The second part focuses on the main effects of the financial downturn through an examination of market microstructure dynamics. In particular, the effects of market imperfections and the limitations associated with microstructure models are discussed. Finally, the new regulations and recent developments for financial markets that aim to improve the market microstructure are discussed. Well-known experts on the subject contribute to the chapters in the book. A must-read for academic researchers, students and quantitative practitioners.
Author : Bahar Erdal
Publisher : Routledge
ISBN 13 : 1351801724
Total Pages : 172 pages
Book Rating : 4.3/5 (518 download)
Download or read book The Effects of Real Exchange Rate Volatility on Sectoral Investment written by Bahar Erdal and published by Routledge. This book was released on 2017-05-18 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1997. This study investigates what the effects of real exchange rate volatility are on sectorial investment in the fixed and flexible exchange rate systems. It lays out the results of research into the effects of the levels and volatility of real exchange rates on investment in the manufacturing sectors of the countries in the European Monetary System as well as of the countries in the flexible exchange rate system, with data from between 1973 and 1993. Examining the differences between the two systems in the results this book also looks at exchange rate effects on interest rates at the time.
Author : Robinson Kruse
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book What Do We Know About Real Exchange Rate Non-Linearities? written by Robinson Kruse and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research points to the serious problem of potentially misspecified alternative hypotheses when testing for unit roots in real exchange rates. We apply a popular unit root test against nonlinear ESTAR and develop a Markov Switching unit root test. The empirical power of these tests against correctly and misspecified non-linear alternatives is analyzed by means of a Monte Carlo study. The chosen parametrization is obtained by real-life exchange rates. The test against ESTAR has low power against all alternatives whereas the proposed unit root test against a Markov Switching autoregressive model performs clearly better. An empirical application of these tests suggests that real exchange rates may indeed be explained by Markov-Switching dynamics.
Author : Shamar Levaughn Stewart
Publisher :
ISBN 13 :
Total Pages : 348 pages
Book Rating : 4.:/5 (131 download)
Download or read book Modeling Nonlinear Dynamics in Exchange Rates and Economic Growth written by Shamar Levaughn Stewart and published by . This book was released on 2019 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation explores modeling existing nonlinear dynamics in exchange rates and economic growth. Particularly, the three essays, herein, investigate the stability of the International Monetary Fund's Special Drawing Rights (SDR) and synchronicity of economic growth across provinces in China. The first essay empirically assesses the degree of fluctuations in the SDRs attributable to U.S monetary policy. In this vein, I contribute to the financial asset/exchange rate literature by identifying structural shocks to real-time U.S. output growth, inflation, and short-term interest rates. Moreover, I exploit the time-varying heteroskedasticity of the data without imposing a priori exclusion restrictions. Over the period 1981.Q1-2018.Q1, a contractionary U.S. monetary policy shock results in an immediate depreciation of the U.S. dollar value of the euro, Yen, and pound in the SDR basket. After the introduction of French and German Euros in 1999.Q1, all the currencies appreciated against the USD. Also, U.S. monetary policy contributes about 4% of the variations in the SDR basket's return. Chapter 2, explores the effects of U.S. monetary policy shocks on the value of SDRs during the 1981.M1 0́3 1998.M12 and 1999.M1 0́3 2016.M9 vintages. Unlike the first chapter, we test the data against different monetary policy indicators presented in the macroeconomics literature. To this end, we use a structural vector autoregression with identification through heteroskedasticity to identify the appropriate instruments of monetary policy. We find that the nominal exchange rates are insulated from U.S. policy shocks0́4 the contribution does not exceed 15%. In both subsamples, policy easing induces an appreciation in the dollar. In the third chapter, we use a dynamic factor model with time-varying loading parameters and stochastic volatility to document significant evidence of time-varying synchronization of the regional growth dynamics in China. The correlation in cross-region economic growth performance increased during the recent global recession and declined post-recession, albeit still at a higher level than before 2008. While the large degree of synchronization of regional growth dynamics permits the central government (bank) to implement a uniform fiscal (monetary) policy, this also reduces China's ability to stymie the propagation of external shocks and instead increases systemic risks across regions.
Author : Mark J. Holmes
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (129 download)
Download or read book Non-Linear Trend Stationarity and Co-Trending in Latin American Real Exchange Rates written by Mark J. Holmes and published by . This book was released on 2008 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper offers a new insight into real exchange rate behaviour in Latin America. Using quarterly data over the sample period 1973Q2-2005Q4, the analysis indicates that the real exchange rates of Argentina, Brazil and Venezuala can be described as non-linear trend stationary processes. This finding is in contrast to most existing studies of Latin American real exchange rate behaviour that focus on linear adjustments. Further analysis reveals that Latin American real exchanges are co-trended insofar as they share a common non-linear trend.
Author : Deokwoo Nam
Publisher :
ISBN 13 :
Total Pages : 130 pages
Book Rating : 4.:/5 (891 download)
Download or read book Three Essays on Dynamics of Real Exchange Rate written by Deokwoo Nam and published by . This book was released on 2008 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mark P. Taylor
Publisher : Routledge
ISBN 13 : 1317988205
Total Pages : 227 pages
Book Rating : 4.3/5 (179 download)
Download or read book Purchasing Power Parity and Real Exchange Rates written by Mark P. Taylor and published by Routledge. This book was released on 2013-09-13 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: The term Purchasing Power Parity may date from the early twentieth century, when it was coined by the Swedish economist Gustav Cassel, but the underlying concept had been enjoying varying degrees of success since its development in sixteenth century Spain. Even towards the end of the twentieth century, and especially since the breakdown of the Bretton Woods system of fixed exchange rates, PPP and the stability of real exchange rates continued to be the subject of academic debate. This volume brings together essays covering aspects of current thinking on Purchasing Power Parity, from the various ways in which to test for its existence, to its appearance in different economies around the world, to examinations of the explanations given when PPP does not appear to hold This book was published as a special issue of Applied Financial Economics. The academic editor of this journal is Mark P. Taylor.
Author : Terence C. Mills
Publisher : Springer
ISBN 13 : 0230244408
Total Pages : 1406 pages
Book Rating : 4.2/5 (32 download)
Download or read book Palgrave Handbook of Econometrics written by Terence C. Mills and published by Springer. This book was released on 2009-06-25 with total page 1406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following theseminal Palgrave Handbook of Econometrics: Volume I , this second volume brings together the finestacademicsworking in econometrics today andexploresapplied econometrics, containing contributions onsubjects includinggrowth/development econometrics and applied econometrics and computing.
