Robustness of Equilibrium Exchange Rate Calculations to Alternative Assumptions and Methodologies PDF Download
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Author: Peter B. Clark
Publisher:
ISBN: 9781451843477
Category : Electronic books
Languages : en
Pages : 42
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Book Description
This paper explores a number of methodological issues that arise in the calculation of equilibrium exchange rates, which are identified in this paper as those real effective exchange rates consistent with macroeconomic equilibrium, i.e., internal and external balance. A partial equilibrium, comparative static analysis is presented and the methodology is applied to the break-up of the Bretton Woods exchange rate system. Then the dynamic interaction between the current account and the stock of net foreign assets is examined. Finally, the analysis uses a more general equilibrium approach by relying on simulations using MULTIMOD, a multicountry econometric model. The paper demonstrates the extent to which the equilibrium exchange rate calculations depend upon alternative assumptions regarding factors that affect internal and external balance. In addition, results obtained using the comparative static and dynamic macroeconomic approaches are compared.
Author: Peter B. Clark
Publisher:
ISBN: 9781451843477
Category : Electronic books
Languages : en
Pages : 42
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Book Description
This paper explores a number of methodological issues that arise in the calculation of equilibrium exchange rates, which are identified in this paper as those real effective exchange rates consistent with macroeconomic equilibrium, i.e., internal and external balance. A partial equilibrium, comparative static analysis is presented and the methodology is applied to the break-up of the Bretton Woods exchange rate system. Then the dynamic interaction between the current account and the stock of net foreign assets is examined. Finally, the analysis uses a more general equilibrium approach by relying on simulations using MULTIMOD, a multicountry econometric model. The paper demonstrates the extent to which the equilibrium exchange rate calculations depend upon alternative assumptions regarding factors that affect internal and external balance. In addition, results obtained using the comparative static and dynamic macroeconomic approaches are compared.
Author: Tamim Bayoumi
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 58
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Book Description
Author: John Williamson
Publisher: Peterson Institute
ISBN: 9780881320763
Category : Business & Economics
Languages : en
Pages : 608
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Book Description
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.
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1451850956
Category : Business & Economics
Languages : en
Pages : 86
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Book Description
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.
Author: International Monetary Fund. Independent Evaluation Office
Publisher: International Monetary Fund
ISBN: 1589066499
Category : Business & Economics
Languages : en
Pages : 147
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Book Description
The IMF is charged by its Articles of Agreement and a 1977 Executive Board Decision to exercise surveillance over the international monetary system and members’ exchange rate policies. The overriding question addressed by this evaluation is whether, over the 1999–2005 period, the IMF fulfilled this core responsibility. The main finding is that the IMF was simply not as effective as it needs to be in both its analysis and advice and in its dialogue with member countries. The evidence supporting this conclusion, along with other key findings, is set out in this report. The report also presents a detailed set of recommendations that could go a long way in improving the quality and effectiveness of IMF surveillance.
Author: Ronald MacDonald
Publisher: Springer Science & Business Media
ISBN: 9401144117
Category : Business & Economics
Languages : en
Pages : 353
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Book Description
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.
Author: Jessica James
Publisher: John Wiley & Sons
ISBN: 1118445775
Category : Business & Economics
Languages : en
Pages : 674
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Book Description
Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.
Author: Rebecca Driver
Publisher: Routledge
ISBN: 1134261985
Category : Business & Economics
Languages : en
Pages : 436
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Book Description
Combining thorough scholarship with illuminating real-world examples, this edited collection provides insights on the causes and consequences of movements in both exchange rates and external assets and has a strong focus on the policy implications of operating in an open economy, particularly the choice of exchange rate and monetary policy, exchange rate intervention and policies on capital mobility.
Author: Ronald MacDonald
Publisher: Springer Science & Business Media
ISBN: 1475729979
Category : Business & Economics
Languages : en
Pages : 226
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Book Description
Are foreign exchange markets efficient? Are fundamentals important for predicting exchange rate movements? What is the signal-to-ratio of high frequency exchange rate changes? Is it possible to define a measure of the equilibrium exchange rate that is useful from an assessment perspective? The book is a selective survey of current thinking on key topics in exchange rate economics, supplemented throughout by new empirical evidence. The focus is on the use of advanced econometric tools to find answers to these and other questions which are important to practitioners, policy-makers and academic economists. In addition, the book addresses more technical econometric considerations such as the importance of the choice between single-equation and system-wide approaches to modelling the exchange rate, and the reduced form versus structural equation problems. Readers will gain both a comprehensive overview of the way macroeconomists approach exchange rate modelling, and an understanding of how advanced techniques can help them explain and predict the behavior of this crucial economic variable.
Author: Mr.Atsushi Iimi
Publisher: International Monetary Fund
ISBN: 1451864000
Category : Business & Economics
Languages : en
Pages : 31
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Book Description
Botswana's successive currency devaluations and recent move from a fixed to a crawling peg exchange rate regime raise the question of whether the exchange rate might be misaligned with economic fundamentals. This paper, applying the behavioral equilibrium exchange rate (BEER) approach, analyzes the behavior of the real exchange rate for the period 1985-2004. It finds that the pula was undervalued in the later 1980s but overvalued in recent years. Some policy lessons from experiences in other countries with crawling peg arrangements are therefore considered in the context of Botswana.
