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Real Exchange Rates And Switching Regimes
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Book Synopsis Real Exchange Rates and Switching Regimes by : U. Michael Bergman
Download or read book Real Exchange Rates and Switching Regimes written by U. Michael Bergman and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We suggest that the real exchange rate between the major currencies in the post-Bretton Woods period can be described by a stationary, two state Markov switching AR(1) model. Based on the forecast performance, both in-sample and out-of-sample, we find that this model out-performs two competing models where the real exchange rate is non-stationary. We also find that the existence of different regimes, as in the Markov switching model, is consistent with the common finding of unit roots in the real exchange rate.
Book Synopsis Modelling the Us/Uk Real Exchange Rate-Real Interest Rate Differential Relation by : Angelos Kanas
Download or read book Modelling the Us/Uk Real Exchange Rate-Real Interest Rate Differential Relation written by Angelos Kanas and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the empirical link between the US/UK real exchange rate and real interest differential for the period 1959-2002, using a bivariate Markov switching vector autoregression model. We find strong evidence of volatility regime switching in the US/UK real exchange rate-real interest differential relation. There is also evidence of a regime-dependent dynamic link. These findings indicate that allowing for multivariate regime switching can reconcile theoretical models of exchange rates which predict a strong link between real exchange rates and the real interest differential, and previous empirical evidence which failed to uncover such a link.
Book Synopsis Regime Switching as a Test for Exchange Rate Bubbles by : Simon Van Norden
Download or read book Regime Switching as a Test for Exchange Rate Bubbles written by Simon Van Norden and published by . This book was released on 1993 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Regime-switching in Exchange Rate Policy and Balance Sheet Effects by : Norbert M. Fiess
Download or read book Regime-switching in Exchange Rate Policy and Balance Sheet Effects written by Norbert M. Fiess and published by World Bank Publications. This book was released on 2005 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Nonlinear Exchange Rate Models by : Lucio Sarno
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.
Book Synopsis Does Purchasing Power Parity Hold Sometimes? by : Hwa-Taek Lee
Download or read book Does Purchasing Power Parity Hold Sometimes? written by Hwa-Taek Lee and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Evolution of Exchange Rate Regimes by : International Monetary Fund
Download or read book Evolution of Exchange Rate Regimes written by International Monetary Fund and published by International Monetary Fund. This book was released on 1988-12-09 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and national and international economic developments.
Book Synopsis No Pain, All Gain? Exchange Rate Flexibility and the Expenditure-Switching Effect by : Mr.Yan Carriere-Swallow
Download or read book No Pain, All Gain? Exchange Rate Flexibility and the Expenditure-Switching Effect written by Mr.Yan Carriere-Swallow and published by International Monetary Fund. This book was released on 2018-10-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theoretical models on the relationship between prices and exchange rates predict that the magnitude of expenditure switching affects the optimal choice of exchange rate regime. Focusing on the transmission of terms-of-trade shocks to domestic real variables we document that the magnitude of the expenditure switching effect is positively associated to the degree of exchange rate flexibility. Moreover, results show that flexible exchange rates allow for significant adjustment in relative prices, which in turn lowers the burden of adjustment on demand for domestic goods and, in some cases, facilitates a faster and more durable external adjustment process. These results, which are robust to accounting for possible non-linearities due to balance sheet effects or currency mismatches, shed new light on the shock absorbing properties of flexible exchange rates.
Book Synopsis Exchange Rate Regimes by : Atish R. Ghosh
Download or read book Exchange Rate Regimes written by Atish R. Ghosh and published by MIT Press. This book was released on 2002 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: An empirical study of exchange rate regimes based on data compiled from 150 member countries of the International Monetary Fund over the past thirty years. Few topics in international economics are as controversial as the choice of an exchange rate regime. Since the breakdown of the Bretton Woods system in the early 1970s, countries have adopted a wide variety of regimes, ranging from pure floats at one extreme to currency boards and dollarization at the other. While a vast theoretical literature explores the choice and consequences of exchange rate regimes, the abundance of possible effects makes it difficult to establish clear relationships between regimes and common macroeconomic policy targets such as inflation and growth. This book takes a systematic look at the evidence on macroeconomic performance under alternative exchange rate regimes, drawing on the experience of some 150 member countries of the International Monetary Fund over the past thirty years. Among other questions, it asks whether pegging the exchange rate leads to lower inflation, whether floating exchange rates are associated with faster output growth, and whether pegged regimes are particularly prone to currency and other crises. The book draws on history and theory to delineate the debate and on standard statistical methods to assess the empirical evidence, and includes a CD-ROM containing the data set used.
Book Synopsis Nominal Exchange Rate Regimes and the Real Exchange Rate by : Vittorio Grilli
Download or read book Nominal Exchange Rate Regimes and the Real Exchange Rate written by Vittorio Grilli and published by . This book was released on 1989 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Evolution and Performance of Exchange Rate Regimes by : Mr.Kenneth Rogoff
Download or read book Evolution and Performance of Exchange Rate Regimes written by Mr.Kenneth Rogoff and published by International Monetary Fund. This book was released on 2003-12-01 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using recent advances in the classification of exchange rate regimes, this paper finds no support for the popular bipolar view that countries will tend over time to move to the polar extremes of free float or rigid peg. Rather, intermediate regimes have shown remarkable durability. The analysis suggests that as economies mature, the value of exchange rate flexibility rises. For countries at a relatively early stage of financial development and integration, fixed or relatively rigid regimes appear to offer some anti-inflation credibility gain without compromising growth objectives. As countries develop economically and institutionally, there appear to be considerable benefits to more flexible regimes. For developed countries that are not in a currency union, relatively flexible exchange rate regimes appear to offer higher growth without any cost in credibility.
Book Synopsis What Determines Real Exchange Rates? The Long and Short of it by : Mr.Ronald MacDonald
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.
Book Synopsis The Long-run U.S./U.K. Real Exchange Rate by : Charles Engel
Download or read book The Long-run U.S./U.K. Real Exchange Rate written by Charles Engel and published by . This book was released on 1996 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the behavior of the long-run U.S./U.K. real exchange rate from 1885 to 1995. Our long-run real exchange rate series is derived from an unobserved components model which divides the real exchange rate into permanent and transitory components. The transitory component is modeled as having variances which switch, according to a Markov-switching process, among low, medium and high variance states. The underlying assumptions of our time-series model are based on an economic theory in which the permanent component represents real influences, while the transitory component represents primarily short-run movements due to nominal exchange rate fluctuations. Because the model is difficult to estimate by standard methods, we describe how the method of Gibbs sampling can handle this model. We find that our long-run real exchange rate series moves similarly to other measures proposed in the literature based on economic models.
Book Synopsis Exchange Rate Regimes in the Modern Era by : Michael W. Klein
Download or read book Exchange Rate Regimes in the Modern Era written by Michael W. Klein and published by MIT Press. This book was released on 2012-08-24 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: An analysis of the operation and consequences of exchange rate regimes in an era of increasing international interdependence. The exchange rate is sometimes called the most important price in a highly globalized world. A country's choice of its exchange rate regime, between government-managed fixed rates and market-determined floating rates has significant implications for monetary policy, trade, and macroeconomic outcomes, and is the subject of both academic and policy debate. In this book, two leading economists examine the operation and consequences of exchange rate regimes in an era of increasing international interdependence. Michael Klein and Jay Shambaugh focus on the evolution of exchange rate regimes in the modern era, the period since 1973, which followed the Bretton Woods era of 1945–72 and the pre-World War I gold standard era. Klein and Shambaugh offer a comprehensive, integrated treatment of the characteristics of exchange rate regimes and their effects. The book draws on and synthesizes data from the recent wave of empirical research on this topic, and includes new findings that challenge preconceived notions.
Book Synopsis Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates by : Serineh Najarian
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.
Book Synopsis State-space Models with Regime Switching by : Chang-Jin Kim
Download or read book State-space Models with Regime Switching written by Chang-Jin Kim and published by Mit Press. This book was released on 1999 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the classical framework, approximates the likelihood function; the other, in the Bayesian framework, uses Gibbs-sampling to simulate posterior distributions from data.The authors present numerous applications of these approaches in detail: decomposition of time series into trend and cycle, a new index of coincident economic indicators, approaches to modeling monetary policy uncertainty, Friedman's "plucking" model of recessions, the detection of turning points in the business cycle and the question of whether booms and recessions are duration-dependent, state-space models with heteroskedastic disturbances, fads and crashes in financial markets, long-run real exchange rates, and mean reversion in asset returns.
Book Synopsis A Regime Switching Analysis of the Exchange Rate Pass-through by : Kólver Hernández
Download or read book A Regime Switching Analysis of the Exchange Rate Pass-through written by Kólver Hernández and published by . This book was released on 2008 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:
