Download or read book What Do We Know About Real Exchange Rate Non Linearities written by Robinson Kruse and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research points to the serious problem of potentially misspecified alternative hypotheses when testing for unit roots in real exchange rates. We apply a popular unit root test against nonlinear ESTAR and develop a Markov Switching unit root test. The empirical power of these tests against correctly and misspecified non-linear alternatives is analyzed by means of a Monte Carlo study. The chosen parametrization is obtained by real-life exchange rates. The test against ESTAR has low power against all alternatives whereas the proposed unit root test against a Markov Switching autoregressive model performs clearly better. An empirical application of these tests suggests that real exchange rates may indeed be explained by Markov-Switching dynamics.

Download or read book Nonlinear Exchange Rate Models written by Lucio Sarno and published by International Monetary Fund. This book was released on 2003-05-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Non linear Mean Reversion in Real Exchange Rates written by Mark P. Taylor and published by . This book was released on 2001 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Nonlinearities in the Real Exchange Rates written by Yamin Ahmad and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Non Linear Trend Stationarity and Co Trending in Latin American Real Exchange Rates written by Mark J. Holmes and published by . This book was released on 2008 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper offers a new insight into real exchange rate behaviour in Latin America. Using quarterly data over the sample period 1973Q2-2005Q4, the analysis indicates that the real exchange rates of Argentina, Brazil and Venezuala can be described as non-linear trend stationary processes. This finding is in contrast to most existing studies of Latin American real exchange rate behaviour that focus on linear adjustments. Further analysis reveals that Latin American real exchanges are co-trended insofar as they share a common non-linear trend.

Download or read book The Yen Real Exchange Rate May Not be Stationary After All written by Hyeongwoo Kim and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates written by Serineh Najarian and published by International Monetary Fund. This book was released on 2003-07-01 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book No Pain All Gain Exchange Rate Flexibility and the Expenditure Switching Effect written by Mr.Yan Carriere-Swallow and published by International Monetary Fund. This book was released on 2018-09-28 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theoretical models on the relationship between prices and exchange rates predict that the magnitude of expenditure switching affects the optimal choice of exchange rate regime. Focusing on the transmission of terms-of-trade shocks to domestic real variables we document that the magnitude of the expenditure switching effect is positively associated to the degree of exchange rate flexibility. Moreover, results show that flexible exchange rates allow for significant adjustment in relative prices, which in turn lowers the burden of adjustment on demand for domestic goods and, in some cases, facilitates a faster and more durable external adjustment process. These results, which are robust to accounting for possible non-linearities due to balance sheet effects or currency mismatches, shed new light on the shock absorbing properties of flexible exchange rates.

Download or read book Real Exchange Rates Non Linearities and Balassa Samuelson Effects written by James R. Lothian and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using random simulations with artificial data with identical sample characteristics to the long-sample exchange rate data employed by Lothian and Taylor(Lothian, J.R. and Taylor, M.P.(1996). The recent float from the perspective of the past two centuries. Journal of Political Economy 104, 488-509.), we show that standard unit-root tests have extremely low power over sample sizes corresponding to the recent float. The probability of rejecting the null hypothesis when it is false is extremely low with 20 years or even 50 years of data and only reaches an acceptable level over much longer spans.

Download or read book An Empirical Assessment of Non linearities in Models of Exchange Rate Determination written by Richard Meese and published by . This book was released on 1989 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rate Determination Puzzle Long Run Behavior and Short Run Dynamics written by Falkmar Butgereit and published by diplom.de. This book was released on 2009-07-02 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inhaltsangabe:Introduction: As the foreign exchange rate market operates twenty-four hours a day and seven days a week it can be described as a global marketplace trading in continuous time. The importance of this market place on weal and woe of economies and agents cannot be overestimated. Long lasting disputes about exchange rate over- and under-evaluation between countries (as most prominently the case between China and the USA) and its implications for international trade, growth rates of economies, unemployment levels, financial money flows, and so forth illustrate this point. As reported by the Bank of International Settlement in its triennial Central Bank Survey 2007, covering 54 countries and jurisdictions, the daily average foreign exchange turnover as of April 2007 has reached a mind-staggering $3.21 trillion. This amount marks an increase of 69 percent compared to the $1.97 trillion three years earlier and highlights the still increasing importance of the exchange rate markets. The U.S. dollar is by far the most important currency as it is involved in 86 percent of all transactions amounting to some $2.7 trillion per day. This is by far bigger than the volume of U.S. international trade in goods and services which for the month April 2007 amounted to (imports + exports) $317.5 billion.1 Indeed, only 17 percent of exchange market turnover has been reported to occur with non-financial customer counterparties, while 43 percent of transactions occur between reporting dealers (i.e. the interbank market) and 40 percent occur between reporting and non-reporting financial institutions (e.g. hedge funds, mutual funds, pension funds, insurance companies). Accordingly, more than 2/3 of the turnover was traded as derivatives such as foreign exchange swaps, outright forwards, or options, while only 1/3 constituted spot rate transactions. These are important facts to consider when talking about forces of exchange rate determination. On ground of these figures one may reasonably explain why old-fashion standard models like the monetary model or purchasing power parity may only hold in the very long run and exchange rate movements may be much more subject to trades based on heterogeneous expectations incurred by investors, speculators and market makers. Particularly at the short-run exchange rates exhibit considerably greater volatility than macroeconomic time series leaving an impression of noisy and chaotic behavior. Throughout this work it [...]

Download or read book PPP Strikes Back written by Mr. Haroon Mumtaz and published by International Monetary Fund. This book was released on 2003-04-01 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show the importance of a dynamic aggregation bias in accounting for the PPP puzzle. We prove that established time-series and panel methods substantially exaggerate the persistence of real exchange rates because of heterogeneity in the dynamics of disaggregated relative prices. When heterogeneity is properly taken into account, estimates of the real exchange rate half-life fall dramatically, to little more than one year, or significantly below Rogoff''s "consensus view" of three to five years. We show that corrected estimates are consistent with plausible nominal rigidities, thus, arguably, solving the PPP puzzle.

Download or read book The Yen Real Exchange Rate May be Stationary After All written by Georgios Chortareas and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Nonlinear Adjustment in the Real Euro Dollar Exchange Rate written by Mariam Camarero and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we analyze the adjustment dynamics of the euro-dollar real exchange rate towards one of the most relevant fundamentals: relative productivity. Using testing and estimation non-linear procedures for ESTAR models for the period 1970-2002, we find that the speed of real exchange rate convergence towards its fundamental critically depends on the size of the shock. Therefore, shocks of small size appear to have persistent effects on the real exchange rate but when shocks are of large size, the variable clearly shows its mean reverting properties. This nonlinearity helps to explain why for relatively long periods of time the real exchange rate apparently does not follow its fundamental.

Download or read book Non linearities in the Relation Between the Exchange Rate and Its Fundamentals written by Carlo Altavilla and published by . This book was released on 2005 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Non Linearities in the Relation between the Exchange Rate its Fundamentals written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Non linear Exchange Rate Pass through in Emerging Markets written by Francesca G. Caselli and published by . This book was released on 2016 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: