Download or read book Long Run Determinants of the Real Exchange Rate written by Mr.Hamid Faruqee and published by International Monetary Fund. This book was released on 1994-08-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the long-run determinants of the real exchange rate from a stock-flow perspective. The empirical analysis estimates a long-run relationship between the real exchange rate, net foreign assets and other factors affecting trade flows. Using postwar data for the United States and Japan, cointegration analysis supports the finding that the structural factors underlying each country’s net trade and net foreign asset positions determine the long-run path for the real value of the dollar and the yen. The empirical analysis also provides estimates for the underlying stochastic trend in each real exchange rate series.

Download or read book The Long run U S U K Real Exchange Rate written by Charles Engel and published by . This book was released on 1996 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the behavior of the long-run U.S./U.K. real exchange rate from 1885 to 1995. Our long-run real exchange rate series is derived from an unobserved components model which divides the real exchange rate into permanent and transitory components. The transitory component is modeled as having variances which switch, according to a Markov-switching process, among low, medium and high variance states. The underlying assumptions of our time-series model are based on an economic theory in which the permanent component represents real influences, while the transitory component represents primarily short-run movements due to nominal exchange rate fluctuations. Because the model is difficult to estimate by standard methods, we describe how the method of Gibbs sampling can handle this model. We find that our long-run real exchange rate series moves similarly to other measures proposed in the literature based on economic models.

Download or read book The Long run UK US Real Exchange Rate written by Charles Engel and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

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.

Download or read book The Real Exchange Rate in the Short and in the Long Run written by and published by . This book was released on 1987 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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.

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

Download or read book The Long run Behavior of the Real Exchange Rate written by Joseph A. Whitt (jr.) and published by . This book was released on 1990 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Real Exchange Rate Always Floats written by Thorvaldur Gylfason and published by . This book was released on 2002 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Long run Behavior of the Real Exchange Rate a Reconsideration written by Joseph A. Whitt (jr.) and published by . This book was released on 1990 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Long run Volatility of the Real Exchange Rate written by Ricardo Hausmann and published by . This book was released on 2004 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper documents large cross-country differences in the long run volatility of the real exchange rate. In particular, it shows that the real exchange rate of developing countries is approximately three times more volatile than the real exchange rate in industrial countries. The paper tests whether this difference in volatility can be explained by the fact that developing countries face larger shocks (both real and nominal) and recurrent currency crises or by different elasticities to these shocks. It finds that the magnitude of the shocks and the differences in elasticities can only explain a small part of the difference in RER volatility between developing and industrial countries. Results from ARCH estimations confirm that there is a substantial difference in long term volatilities between these two sets of countries and indicate that there is also a much higher persistence of deviations of the variance of the RER from its long run value when the economy suffers shocks of various kinds"--NBER website

Download or read book Exchange Rate Policy the Real Exchange Rate and Inflation written by Miguel Alberto Kiguel and published by . This book was released on 1992 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Attempts to achieve real depreciation through continuous devaluation or by accelerating the rate of crawl - when not supported by changes in other policies and in the underlying conditions - usually end up increasing inflation, yet remain ineffective in changing the real exchange rate.

Download or read book Long Run Exchange Rate Dynamics written by Karl Friedrich Habermeier and published by International Monetary Fund. This book was released on 1999-04 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investigates some traditional propositions in exchange rate economics through an empirical multi-country analysis and relies on real effective (trade weighted) exchange rates, which in principle are more likely to conform to PPP than simple bilateral real exchange rate indices.

Download or read book Testing for the Fundamental Determinants of the Long run Real Exchange Rate written by Guay C. Lim and published by . This book was released on 1990 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Real Exchange Rate Volatility in the Long run Growth Process written by Simon Shui-Ming Wan and published by . This book was released on 2014 with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Real Shocks and Real Exchange Rates in Really Long term Data written by John Harold Rogers and published by . This book was released on 1995 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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.