Real And Nominal Exchange Rates In The Long Run

Author : Mr.Bankim Chadha
Publisher : International Monetary Fund
ISBN 13 : 1451848323
Total Pages : 31 pages
Book Rating : 4.28/5 ( download)

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Download or read book Real and Nominal Exchange Rates in the Long Run written by Mr.Bankim Chadha and published by International Monetary Fund. This book was released on 1991-06-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper decomposes longer-run movements in (major) dollar real exchange rates into components associated with changes in nominal exchange rates and price levels, and their comovements. Though the decompositions suggest some permanent movements, they imply that there are large transitory components in real exchange rates. These transitory components in real exchange rates are found to be closely associated with those in nominal exchange rates. A stochastic version of Dornbusch’s overshooting model—configured with representative parameter values for the United States and subjected to permanent nominal shocks—can rationalize these transitory comovements of nominal and real exchange rates as well as several other features of the decompositions.

Author : Charles F. Adams
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.29/5 ( download)

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Download or read book Real and Nominal Exchange Rates in the Long Run written by Charles F. Adams and published by . This book was released on 1991 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Mr.Ronald MacDonald
Publisher : International Monetary Fund
ISBN 13 : 1451921675
Total Pages : 54 pages
Book Rating : 4.70/5 ( download)

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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.

Author : Mr.Francisco Nadal De Simone
Publisher : International Monetary Fund
ISBN 13 : 1451856164
Total Pages : 42 pages
Book Rating : 4.63/5 ( download)

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Download or read book Nominal Exchange Rates and Nominal Interest Rate Differentials written by Mr.Francisco Nadal De Simone and published by International Monetary Fund. This book was released on 1999-10-01 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reexamines some unsettled theoretical and empirical issues regarding the relationship between nominal exchange rates and interest rate differentials and provides a model for the behavior of exchange rates in the long run, where interest rates are determined in the bond market. The model predicts that an increase in the interest rate differential appreciates the home currency. We test the model for the U.S. dollar against the Deutsche mark, the British pound, the Japanese yen, and the Canadian dollar. The first two pairs of exchange rates—for which purchasing power parity seems to hold—display a strong relationship with interest rate differentials.

Author : Mr.Ronald MacDonald
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.47/5 ( download)

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Download or read book Long-Run Exchange Rate Modeling written by Mr.Ronald MacDonald and published by International Monetary Fund. This book was released on 1995 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we survey the recent literature on long run, or equilibrium, exchange rate modeling. In particular, we review the voluminous literature which tests for a unit root in real exchange rates and the closely related work on testing for a unit root in the residual from a regression of the nominal exchange rate on relative prices. We argue that the balance of evidence is supportive of the existence of some form of long-run exchange rate relationship. The form of this relationship, however, does not accord exactly with a traditional representation of the long-run exchange rate. We offer some potential explanations for this lack of conformity.

Author : Charles L. Adams
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.49/5 ( download)

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Download or read book Real and Nominal Exchange Rates in the Long Run written by Charles L. Adams and published by . This book was released on 2006 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper decomposes longer-run movements in (major) dollar real exchange rates into components associated with changes in nominal exchange rates and price levels, and their comovements. Though the decompositions suggest some permanent movements, they imply that there are large transitory components in real exchange rates. These transitory components in real exchange rates are found to be closely associated with those in nominal exchange rates. A stochastic version of Dornbusch`s overshooting model--configured with representative parameter values for the United States and subjected to permanent nominal shocks--can rationalize these transitory comovements of nominal and real exchange rates as well as several other features of the decompositions.

Author : Mr.Karl Friedrich Habermeier
Publisher : International Monetary Fund
ISBN 13 : 1451846959
Total Pages : 26 pages
Book Rating : 4.59/5 ( download)

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Download or read book Long-Run Exchange Rate Dynamics written by Mr.Karl Friedrich Habermeier and published by International Monetary Fund. This book was released on 1999-04-01 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-run movements of real exchange rates are studied using a panel data set comprising 51 economies. The purchasing power parity hypothesis (PPP) is examined first using unit root tests. It is found that PPP does not hold for the full sample of countries, but it may hold for the advanced economies, as well as open and high-inflation economies. Using the recently developed mean group and pooled mean group estimators, the paper finds support for the Balassa-Samuelson hypothesis in both advanced and developing economies; and for the influence of shifts in the terms of trade.

Author : Jerome L. Stein
Publisher : Oxford University Press
ISBN 13 : 9780198293064
Total Pages : 276 pages
Book Rating : 4.62/5 ( download)

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Download or read book Fundamental Determinants of Exchange Rates written by Jerome L. Stein and published by Oxford University Press. This book was released on 1997 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: "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 : Ronald MacDonald
Publisher : Taylor & Francis
ISBN 13 : 1134801262
Total Pages : 465 pages
Book Rating : 4.68/5 ( download)

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Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Taylor & Francis. 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.

Author : John F. Bilson
Publisher : University of Chicago Press
ISBN 13 : 0226050998
Total Pages : 542 pages
Book Rating : 4.97/5 ( download)

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Download or read book Exchange Rate Theory and Practice written by John F. Bilson and published by University of Chicago Press. This book was released on 2007-12-01 with total page 542 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume grew out of a National Bureau of Economic Research conference on exchange rates held in Bellagio, Italy, in 1982. In it, the world's most respected international monetary economists discuss three significant new views on the economics of exchange rates - Rudiger Dornbusch's overshooting model, Jacob Frenkel's and Michael Mussa's asset market variants, and Pentti Kouri's current account/portfolio approach. Their papers test these views with evidence from empirical studies and analyze a number of exchange rate policies in use today, including those of the European Monetary System.