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Determinants of the euro real effective exchange rate: a BEER/PEER approach

Maeso-Fernandez, Francisco; Osbat, Chiara; Schnatz, Bernd - EconWPA - 2001

This paper presents an empirical analysis of the medium-term determinants of the euro effective exchange rate. The … the euro effective exchange rate. Assessing the existence and the extent of the over- or undervaluation of the exchange … models point unambiguously to the undervaluation of the euro in 2000, although the extent of this undervaluation largely …

Persistent link: https://www.econbiz.de/10005408176

On Singaporean Dollar-U.S. Dollar and Purchasing Power Parity

Liew, Venus Khim-Sen; Baharumshah, Ahmad Zubaidi; Lim, … - EconWPA - 2003

This study re-examines the validity of relationship between Singapore Dollar-US Dollar exchange rate and the relative price using the latest econometric methodologies that accounts for non-linearity. Among others, this study finds Exponential Smooth Transition Autoregressive (ESTAR)- type...

Persistent link: https://www.econbiz.de/10005408165

International Financial Adjustment

Gourinchas, Pierre-Olivier; Rey, Hélène - EconWPA - 2005

The paper proposes a unified framework to study the dynamics of net foreign assets and exchange rate movements. We show that deteriorations in a country's net exports or net foreign asset position have to be matched either by future net export growth (trade adjustment channel) or by future...

Persistent link: https://www.econbiz.de/10005408183

Travel Hysteresis in the US Current Account After the Mid-1980s

Meurer, Roberto; Moura, Guilherme; Silva, Sergio Da - EconWPA - 2005

Following the real appreciation of the US dollar in the first half of the 1980s, travel expenditures in the current account soared. Employing standard regression techniques as well as Markov-switching regime analysis we show that such expenditures did not return to their pre- appreciation levels...

Persistent link: https://www.econbiz.de/10005076555

International Capital Markets, Macroeconomic Stability, and Exchange Rate Stabilization in the CIS and East Asia

Schnabl, Gunther - EconWPA - 2004

potential of euro and ruble (CIS) as well as yen and yuan (East Asia) to challenge the dollar as anchor currencies in the …

Persistent link: https://www.econbiz.de/10005556605

Comparison between Asian, Russian and Turkish financial crises

Lukkarila, Johanna - EconWPA - 2004

Since the start of the 1990s, several countries have abandoned fixed- but-adjustable exchange rate regimes. The tendency towards floating exchange rate regimes, or alternatively monetary unions, has given rise to a debate on the disappearance of pure currency crises, and the literature has...

Persistent link: https://www.econbiz.de/10005556609

Anticipations, External Crises and Growth Cycles in Emerging Market Countries

Melecky, Martin - EconWPA - 2005

This paper attempts to carry out a study of relative importance of anticipated and unanticipated external crises for the dynamics of economic growth. The estimations are carried out within a two equation system capturing the possibility of a common shock to external crises and growth. The effect...

Persistent link: https://www.econbiz.de/10005556633

Nonlinear Mean Reversion in Real Exchange Rates: Evidence from the ASEAN-5

Baharumshah, Ahmad Zubaidi; Liew, Venus Khim-Sen; Lau, Evan - EconWPA - 2003

Utilizing formal nonlinear unit root test (Sarno, The behavior of US public debt: a nonlinear perspective. Economics Letters 2001: 119 – 125), this study provides robust evidence of nonlinear mean reversion in the real exchange rates of 4 major ASEAN countries. We conclude that the bulk of the...

Persistent link: https://www.econbiz.de/10005119239

Parameterizing Currency Risk in the EMS: The Irish Pound and Spanish Peseta against the German Mark

McNelis, Paul D.; Lim, G.C. - EconWPA - 1998

Constant Relative Risk Aversion model (CRRA), with trivariate GARCH-M estimation. The results show significant relative risk …

Persistent link: https://www.econbiz.de/10005119436

Exchange Rates and Adjustment: Perspectives from the New Open Economy Macroeconomics

Obstfeld, Maurice - EconWPA - 2003

The New Open Economy Macroeconomics has allowed economists to tackle classical problems with new tools, while also generating new ideas and questions. In their attempts to make the new models capture empirical regularities, researchers have entertained a variety of assumptions about the...

Persistent link: https://www.econbiz.de/10005119450