Author: Zhaonan Chen
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 24
Book Description
A Nonlinear Model of Real Exchange Rate Dynamics, with an Application to the Case of Taiwan
Author: Zhaonan Chen
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 24
Book Description
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 24
Book Description
Nonlinear Exchange Rate Models
Author: Lucio Sarno
Publisher: International Monetary Fund
ISBN: 1451853491
Category : Business & Economics
Languages : en
Pages : 40
Book Description
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.
Publisher: International Monetary Fund
ISBN: 1451853491
Category : Business & Economics
Languages : en
Pages : 40
Book Description
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.
Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates
Author: H. L. Leon
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 54
Book Description
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.
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 54
Book Description
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.
Testing for the Fundamental Determinants of the Long-run Real Exchange Rate
Author: Hsiu-Ling Wu
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 29
Book Description
Three things have been suggested in this paper regarding the real exchange rate movements of the Taiwanese dollar with respect to the US dollar. First, the real exchange rates between the Taiwanese and the US dollar did not move as PPP predicts by cointegration test and impulse response function analysis. Also, through the analyses of impulse response functions, innovation in nominal exchange rate, domestic and foreign prices results in permanent changes in the real exchange rate. Finally, in the long-run, differential productivity growth between the traded and non-traded goods and the changes in relative unit labor cost can lead to the changes in the real exchange rates
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 29
Book Description
Three things have been suggested in this paper regarding the real exchange rate movements of the Taiwanese dollar with respect to the US dollar. First, the real exchange rates between the Taiwanese and the US dollar did not move as PPP predicts by cointegration test and impulse response function analysis. Also, through the analyses of impulse response functions, innovation in nominal exchange rate, domestic and foreign prices results in permanent changes in the real exchange rate. Finally, in the long-run, differential productivity growth between the traded and non-traded goods and the changes in relative unit labor cost can lead to the changes in the real exchange rates
The Study of Real Exchange Rate Fluctuation - The Case of Taiwan
Author: 張晴如
Publisher:
ISBN:
Category :
Languages : en
Pages : 61
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 61
Book Description
經濟論文叢刊
Author:
Publisher:
ISBN:
Category : Economics
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category : Economics
Languages : en
Pages :
Book Description
Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates
Author: Hyginus Leon
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Pacific Basin Working Paper Series
Author:
Publisher:
ISBN:
Category : Australasia
Languages : en
Pages : 336
Book Description
Publisher:
ISBN:
Category : Australasia
Languages : en
Pages : 336
Book Description
Effects of the Monetary Base and Financial Intermediation on Output and Price Level in a Simple General Equilibrium Model
Author: Vei-Lin Chan
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 42
Book Description
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 42
Book Description
Empirical Modeling of Exchange Rate Dynamics
Author: Francis X. Diebold
Publisher: Springer
ISBN:
Category : Business & Economics
Languages : en
Pages : 170
Book Description
Publisher: Springer
ISBN:
Category : Business & Economics
Languages : en
Pages : 170
Book Description