On the Unstable Relationship Between Exchange Rates and Macroeconomic Fundamentals

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ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (12 download)

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Book Synopsis On the Unstable Relationship Between Exchange Rates and Macroeconomic Fundamentals by : Philippe Bacchetta

Download or read book On the Unstable Relationship Between Exchange Rates and Macroeconomic Fundamentals written by Philippe Bacchetta and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is well known from anecdotal, survey and econometric evidence that the relationship between the exchange rate and macro fundamentals is highly unstable. This could be explained when structural parameters are known and very volatile, neither of which seems plausible. Instead we argue that large and frequent variations in the relationship between the exchange rate and macro fundamentals naturally develop when structural parameters in the economy are unknown and change very slowly. We show that the reduced form relationship between exchange rates and fundamentals is driven not by the structural parameters themselves, but rather by expectations of these parameters. These expectations can be highly unstable as a result of perfectly rational "scapegoat" effects. This happens when parameters can potentially change much more in the long run than the short run. This generates substantial uncertainty about the level of parameters, even though monthly or annual changes are small. This mechanism can also be relevant in other contexts of forward looking variables and could explain the widespread evidence of parameter instability found in macroeconomic and financial data. Finally, we show that parameter instability has remarkably little effect on the volatility of exchange rates, the in-sample explanatory power of macro fundamentals and the ability to forecast out of sample

The Relationship Between Exchange Rates and Macroeconomic Fundamentals

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ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (643 download)

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Book Synopsis The Relationship Between Exchange Rates and Macroeconomic Fundamentals by : Suteera Tanakitkosed

Download or read book The Relationship Between Exchange Rates and Macroeconomic Fundamentals written by Suteera Tanakitkosed and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Exchange Rate Economics

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Publisher : Routledge
ISBN 13 : 1134801254
Total Pages : 465 pages
Book Rating : 4.1/5 (348 download)

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Book Synopsis Exchange Rate Economics by : Ronald MacDonald

Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Routledge. This book was released on 2007-03-12 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 2007. Exchange Rate Economics: Theories and Evidence is the second edition of Floating Exchange Rates: Theories and Evidence, and builds on the successful content and structure of the previous edition, but has been comprehensively updated and expanded to include additional literature on the determination of both fixed and floating exchange rates. Core topics covered include: • the purchasing power parity hypothesis and the PPP puzzle; • the monetary and portfolio-balance approaches to exchange rates; • the new open economy macroeconomics approach to exchange rates; and • the determination of exchange rates in target zone models and speculative attack models. Exchange Rate Economics: Theories and Evidence also includes extensive discussion of recent econometric work on exchange rates with a particular focus on equilibrium exchange rates and measuring exchange rate misalignment, as well as discussion on the non-fundamentals-based approaches to exchange rate behaviour, such as the market microstructure approach. The book will appeal to academics and postgraduate students with an interest in all aspects of international finance and will also be of interest to practitioners concerned with issues relating to equilibrium exchange rates and the forecastability of currencies in terms of macroeconomic fundamentals.

Exchange Rate Economics

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Publisher : Routledge
ISBN 13 : 1134838220
Total Pages : 334 pages
Book Rating : 4.1/5 (348 download)

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Book Synopsis Exchange Rate Economics by : Ronald MacDonald

Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Routledge. This book was released on 2005 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: ''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""

Impact of Macroeconomic Fundamentals on Exchange Rates

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Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Impact of Macroeconomic Fundamentals on Exchange Rates by : Fayyaz Ahmad

Download or read book Impact of Macroeconomic Fundamentals on Exchange Rates written by Fayyaz Ahmad and published by . This book was released on 2016 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: The existing literature on exchange rate fundamentals have either focused on the relationship between exchange rates and international trade or investigated the association between exchange rates and economic fundamentals for the developed countries. This study examines the impact of macroeconomic fundamentals on exchange rates of developing Asian countries. Two econometric approaches are applied to the pool and the panel data. For the pool sample, EGLS and the two-stage Least Square Method are applied. For the panel data, we have used the panel GMM and the OLS methods. Both approaches suggest that macroeconomic factors have a significant impact on exchange rates. Several specifications and estimation techniques confirm that our findings are robust. Furthermore, we have found that improvements in domestic economic and political systems are necessary for a successful exchange rate policy. Our study is unique as it focuses on the developing Asian countries, covers a period of more than three decades, and uses both pool and panel estimations.

Equilibrium Exchange Rates

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Publisher : Springer Science & Business Media
ISBN 13 : 9401144117
Total Pages : 353 pages
Book Rating : 4.4/5 (11 download)

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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.

Exchange rate movements and their explanation

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Publisher : GRIN Verlag
ISBN 13 : 3638011380
Total Pages : 13 pages
Book Rating : 4.6/5 (38 download)

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Book Synopsis Exchange rate movements and their explanation by : Martin Vetter

Download or read book Exchange rate movements and their explanation written by Martin Vetter and published by GRIN Verlag. This book was released on 2008-02-26 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2004 in the subject Economics - Monetary theory and policy, grade: High Destinction (1), The University of Sydney, language: English, abstract: The essay addresses the topic of exchange rate movements and their explanation. Four different theoretical approaches are therefore taken into consideration, namely the Monetary Fundamentals approach, the Macroeconomic Balance approach, the Dispersed Information or Microstructure approach and the approach of explaining exchange rate movements by dealers. The essay outlines each approach and its assumptions briefly and evaluates the underlying time horizon, short-, medium- or long-term horizon, of each model. Furthermore the four approaches of exchange rate analysis are put into contrast. Finally all approaches are evaluated in spite of their individual strengths and weaknesses and linked to each other.

The Theory And Empirics Of Exchange Rates

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Publisher : World Scientific
ISBN 13 : 9814468509
Total Pages : 512 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis The Theory And Empirics Of Exchange Rates by : Imad A Moosa

Download or read book The Theory And Empirics Of Exchange Rates written by Imad A Moosa and published by World Scientific. This book was released on 2009-07-15 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange rate economics is an important field of investigation for academics, professionals and policy-makers. This book provides a comprehensive survey of the theory of and empirical evidence on the determination and effects of exchange rates. The exposition utilizes both diagrammatic and mathematical representations of the underlying models. The book is a comprehensive reference for those engaged in this field of research.

Exchange Rates and Economic Fundamentals

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Publisher : International Monetary Fund
ISBN 13 : 1451961685
Total Pages : 39 pages
Book Rating : 4.4/5 (519 download)

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Book Synopsis Exchange Rates and Economic Fundamentals by : Mr.Peter B. Clark

Download or read book Exchange Rates and Economic Fundamentals written by Mr.Peter B. Clark and published by International Monetary Fund. This book was released on 1998-05-01 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper compares two approaches for examining the extent to which a country’s actual real effective exchange rate is consistent with economic fundamentals: the FEER approach, which involves calculating the real exchange rate that equates the current account at full employment with sustainable net capital flows, and the BEER approach, which uses econometric methods to establish a behavioral link between the real rate and relevant economic variables. An exchange rate model is estimated for the G-3 currencies to provide illustrative comparisons of BEERs and FEERs.

Exchange-Rate Dynamics

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Publisher : Princeton University Press
ISBN 13 : 1400838843
Total Pages : 561 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Exchange-Rate Dynamics by : Martin D. D. Evans

Download or read book Exchange-Rate Dynamics written by Martin D. D. Evans and published by Princeton University Press. This book was released on 2011-03-14 with total page 561 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and in-depth look at exchange-rate dynamics Variations in the foreign exchange market influence all aspects of the world economy, and understanding these dynamics is one of the great challenges of international economics. This book provides a new, comprehensive, and in-depth examination of the standard theories and latest research in exchange-rate economics. Covering a vast swath of theoretical and empirical work, the book explores established theories of exchange-rate determination using macroeconomic fundamentals, and presents unique microbased approaches that combine the insights of microstructure models with the macroeconomic forces driving currency trading. Macroeconomic models have long assumed that agents—households, firms, financial institutions, and central banks—all have the same information about the structure of the economy and therefore hold the same expectations and uncertainties regarding foreign currency returns. Microbased models, however, look at how heterogeneous information influences the trading decisions of agents and becomes embedded in exchange rates. Replicating key features of actual currency markets, these microbased models generate a rich array of empirical predictions concerning trading patterns and exchange-rate dynamics that are strongly supported by data. The models also show how changing macroeconomic conditions exert an influence on short-term exchange-rate dynamics via their impact on currency trading. Designed for graduate courses in international macroeconomics, international finance, and finance, and as a go-to reference for researchers in international economics, Exchange-Rate Dynamics guides readers through a range of literature on exchange-rate determination, offering fresh insights for further reading and research. Comprehensive and in-depth examination of the latest research in exchange-rate economics Outlines theoretical and empirical research across the spectrum of modeling approaches Presents new results on the importance of currency trading in exchange-rate determination Provides new perspectives on long-standing puzzles in exchange-rate economics End-of-chapter questions cement key ideas

Exchange Rates and Economic Fundamentals

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Publisher : International Monetary Fund
ISBN 13 : 9781557754516
Total Pages : 36 pages
Book Rating : 4.7/5 (545 download)

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Book Synopsis Exchange Rates and Economic Fundamentals by : Mr.Tamim Bayoumi

Download or read book Exchange Rates and Economic Fundamentals written by Mr.Tamim Bayoumi and published by International Monetary Fund. This book was released on 1994-09-15 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper summarizes the methods and types of indicators that are often employed, both insid and outside the IMF, to assess whether exchange rates are broadly in line with economic fundamentals.

The Economics of Exchange Rates

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Publisher : Cambridge University Press
ISBN 13 : 1139435043
Total Pages : 334 pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis The Economics of Exchange Rates by : Lucio Sarno

Download or read book The Economics of Exchange Rates written by Lucio Sarno and published by Cambridge University Press. This book was released on 2003-01-09 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last few decades exchange rate economics has seen a number of developments, with substantial contributions to both the theory and empirics of exchange rate determination. Important developments in econometrics and the increasingly large availability of high-quality data have also been responsible for stimulating the large amount of empirical work on exchange rates in this period. Nonetheless, while our understanding of exchange rates has significantly improved, a number of challenges and open questions remain in the exchange rate debate, enhanced by events including the launch of the Euro and the large number of recent currency crises. This volume provides a selective coverage of the literature on exchange rates, focusing on developments from within the last fifteen years. Clear explanations of theories are offered, alongside an appraisal of the literature and suggestions for further research and analysis.

Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals

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Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (991 download)

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Book Synopsis Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals by : Lorenzo Pozzi

Download or read book Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals written by Lorenzo Pozzi and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Reconsidering the Basic Relationships Between Exchange Rates, Exchange Rate Expectations and Macroeconomic Fundamentals

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Publisher :
ISBN 13 :
Total Pages : 256 pages
Book Rating : 4.:/5 (832 download)

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Book Synopsis Reconsidering the Basic Relationships Between Exchange Rates, Exchange Rate Expectations and Macroeconomic Fundamentals by : Michael D. Goldberg

Download or read book Reconsidering the Basic Relationships Between Exchange Rates, Exchange Rate Expectations and Macroeconomic Fundamentals written by Michael D. Goldberg and published by . This book was released on 1991 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Exchange Rate Determination Puzzle

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Publisher : Diplomica Verlag
ISBN 13 : 383669543X
Total Pages : 120 pages
Book Rating : 4.8/5 (366 download)

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Book Synopsis Exchange Rate Determination Puzzle by : Falkmar Butgereit

Download or read book Exchange Rate Determination Puzzle written by Falkmar Butgereit and published by Diplomica Verlag. This book was released on 2010 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: Still after more than thirty years of free floating exchange rates, large parts of exchange rate dynamics remain a puzzle. As this book shows, much progress has been made in explaining exchange rate movements over longer horizons. It also shows, however, that short-run movements are far more challenging to explain. The book is based upon a variety of papers, many of them released recently. A key aspiration of the literature has always been not only to explain past exchange rate behavior but also to forecast out of sample and to compare it to the simple random walk outcome. Here some development has been made after Meese and Rogoff's (1983) truculent verdict of the performance of common exchange rate models. By means of empirical analysis and descriptive statistics this book further supports the established long-run relationships between exchange rates and fundamentals such as expected productivity growth, real GDP growth, domestic investment, interest rates, inflation, government spending, and current account balances. It finds that these fundamentals affect the exchange rate to varying degrees over time. Turning to short-term exchange rate dynamics, it turns out that a different set of forces is at play. The key to explaining short-run movements is to be found in an extensive micro-foundation that factors in a pronounced heterogeneity among market participants and information asymmetries, as well as the possibility of sudden shifts in sentiment, beliefs, and the degree of risk aversion. Promising results have been obtained by order-flow analysis and high frequency data. Also, the consideration of chartism and speculators facilitates understanding for otherwise puzzling exchange rate movements. The last attempt to tackle the understanding of exchange rate behavior is the use of frequency domain analysis and in particular spectral analysis which tries to track down any cyclical patterns in the various moments of time series. And as we shall see forex indeed incorpor

The Economics of Exchange Rates

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Publisher : Cambridge University Press
ISBN 13 : 9780521485845
Total Pages : 334 pages
Book Rating : 4.4/5 (858 download)

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Book Synopsis The Economics of Exchange Rates by : Lucio Sarno

Download or read book The Economics of Exchange Rates written by Lucio Sarno and published by Cambridge University Press. This book was released on 2002 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last few decades exchange rate economics has seen a number of developments, with substantial contributions to both the theory and empirics of exchange rate determination. Important developments in econometrics and the increasingly large availability of high-quality data have also been responsible for stimulating the large amount of empirical work on exchange rates in this period. Nonetheless, while our understanding of exchange rates has significantly improved, a number of challenges and open questions remain in the exchange rate debate, enhanced by events including the launch of the Euro and the large number of recent currency crises. This volume provides a selective coverage of the literature on exchange rates, focusing on developments from within the last fifteen years. Clear explanations of theories are offered, alongside an appraisal of the literature and suggestions for further research and analysis.

Currency and Competitiveness in Europe

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Publisher : Edward Elgar Publishing
ISBN 13 : 1848445091
Total Pages : 337 pages
Book Rating : 4.8/5 (484 download)

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Book Synopsis Currency and Competitiveness in Europe by : Klaus Liebscher

Download or read book Currency and Competitiveness in Europe written by Klaus Liebscher and published by Edward Elgar Publishing. This book was released on 2008-01-01 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: Competitiveness is a notoriously slippery concept. This volume, featuring a galaxy of economic stars, lends some much-needed precision to the term and the debate over its determinants. Barry Eichengreen, University of California, Berkeley, US This book combines currency matters with competitiveness considerations, with a view to raising the understanding of exchange rate dynamics and to analysing the role of exchange rates in reinforcing economic competitiveness. The overall focus is on highlighting the link between currency developments and the real side of the economy. From a regional perspective, the contributions centre on developments in Central, Eastern and South-eastern Europe and thus put a special emphasis on aspects of transition and convergence. More specifically, the book addresses key issues of financial globalization and global imbalances; the role of macroeconomic fundamentals in exchange rate economics; the role, objectives and challenges of regional monetary unions; exchange rate dynamics in transition economies and the competitiveness of catching-up countries. It also addresses the structural aspects of competitiveness and the significance of qualitative and quantitative aspects of competitiveness. Offering the views of eminent academics and professionals, this book will be of great interest to economists and central bankers as well as to international organizations, universities and research institutes.