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Author: Jerome L. Stein
Publisher: Oxford University Press
ISBN: 9780198293064
Category : Business & Economics
Languages : en
Pages : 276
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Book Description
"This book greatly enhances our understanding of the behavior of real exchange rates. It provides an elegant model based on a solid theoretical foundation that links real exchange rates to their fundamental economic determinants and takes proper account of stock and flow considerations. The authors provide a masterful account of how changes in productivity and thrift affect the real exchange rate, and show that the long-run impact depends crucially on whether the change reflects the former fundamental (investment) or the latter (consumption). The empirical implementation uses state-of-the-art cointegration and error correction methodologies that are eminently well suited to capture the short-run adjustment of the real exchange rate to its medium- to long-run equilibrium value. The empirical results are extremely encouraging, as the economic fundamentals identified by the authors can explain a substantial part of the movement in the real exchange rate of a number of countries."--Peter Clark, International Monetary Fund
Author: Jerome L. Stein
Publisher: Oxford University Press
ISBN: 9780198293064
Category : Business & Economics
Languages : en
Pages : 276
Get Book Here
Book Description
"This book greatly enhances our understanding of the behavior of real exchange rates. It provides an elegant model based on a solid theoretical foundation that links real exchange rates to their fundamental economic determinants and takes proper account of stock and flow considerations. The authors provide a masterful account of how changes in productivity and thrift affect the real exchange rate, and show that the long-run impact depends crucially on whether the change reflects the former fundamental (investment) or the latter (consumption). The empirical implementation uses state-of-the-art cointegration and error correction methodologies that are eminently well suited to capture the short-run adjustment of the real exchange rate to its medium- to long-run equilibrium value. The empirical results are extremely encouraging, as the economic fundamentals identified by the authors can explain a substantial part of the movement in the real exchange rate of a number of countries."--Peter Clark, International Monetary Fund
Author: Emmanuel V. Pikoulakis
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Questions regarding the volatility of the real exchange rate, its speed of adjustment to equilibrium, the direction and magnitude of permanent deviations from Purchasing Power Parity, and the relation between real exchange rates and interest rate differentials can all be addressed by models of optimizing behavior founded in the Consumption Capital Asset Pricing Model and the Ramsey-Cass-Koopmans model. As a result, the behavior of the real exchange rate encountered in the data is fully consistent with the fundamentals in these models.
Author: Luca Antonio Ricci
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 32
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Book Description
This paper employs newly constructed measures for productivity differentials, external imbalances, and commodity terms of trade to estimate a panel cointegrating relationship between real exchange rates and a set of fundamentals for a sample of 48 industrial countries and emerging markets. It finds evidence of a strong positive relation between the CPI-based real exchange rate and commodity terms of trade. The estimated impact of productivity growth differentials between traded and nontraded goods, while statistically significant, is small. Increases in net foreign assets and in government consumption tend to be associated with appreciating real exchange rates.
Author: Mr.Jerome L. Stein
Publisher: International Monetary Fund
ISBN: 1451955146
Category : Business & Economics
Languages : en
Pages : 46
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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: Mr.Ronald MacDonald
Publisher: International Monetary Fund
ISBN: 1451921675
Category : Business & Economics
Languages : en
Pages : 54
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Book Description
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: Jerome L. Stein
Publisher:
ISBN:
Category :
Languages : en
Pages : 46
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Book Description
This paper provides a consistent theoretical framework to explain the fundamental determinants of the evolution in the medium to longer run of the real effective exchange rate of the United States relative to the currencies of the other G-7 countries. The fundamental determinants are productivity and thrift in the United States and the other major industrial countries. The real rate generated by these fundamentals is referred to as the natural real exchange rate (NATREX). Then, using cointegrating and error correction analysis, the paper examines the explanatory power of the NATREX model to explain the evolution of the real exchange rate of the U.S. dollar during the floating exchange rate period.
Author: Mr.Tarhan Feyzioglu
Publisher: International Monetary Fund
ISBN: 1451853173
Category : Business & Economics
Languages : en
Pages : 25
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Book Description
An equilibrium exchange rate is here defined as the level that is consistent with simultaneous internal and external balances as specified in Montiel (1996). Exogenous “fundamental” variables determining these balances are identified. Along the lines of Edwards (1994), a reduced form is estimated with the cointegration technique for Finland for the period 1975-95. The estimation produced a reasonable set of equilibrium exchange rates that appreciate with positive shocks to the terms of trade, world real interest rates, and the productivity differential between Finland and its trading partners.
Author: Mr.Peter B. Clark
Publisher: International Monetary Fund
ISBN: 1451961685
Category : Business & Economics
Languages : en
Pages : 39
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Book Description
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.
Author: Mr.Tamim Bayoumi
Publisher: International Monetary Fund
ISBN: 9781557754516
Category : Business & Economics
Languages : en
Pages : 36
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Book Description
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.
Author: Ronald MacDonald
Publisher: Taylor & Francis
ISBN: 1134801262
Category : Business & Economics
Languages : en
Pages : 465
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Book Description
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.
