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Currency Risk Premiums : A Multi-horizon Perspective

Chernov, Mikhail; Dahlquist, Magnus - National Bureau of Economic Research - 2023

We review the literature on multi-horizon currency risk premiums. We show how the multi-horizon implications arise from the classic present-value relationship. We further show how these implications manifest themselves in the interaction between bond and currency risk premiums. This link is...

Persistent link: https://www.econbiz.de/10014322805

Catching Up by "Deglobalizing" : Capital Account Policy and Economic Growth

Bergin, Paul R.; Choi, Woo Jin; Pyun, Ju Hyun - National Bureau of Economic Research - 2023

While substantial empirical research has evaluated the question of whether capital account openness promotes economic growth, this paper finds empirical evidence for cases where the opposite is true--that a policy of capital controls can promote economic growth, when combined with a policy of...

Persistent link: https://www.econbiz.de/10014226141

Economic Growth and Real Exchange Rate : An Overview of the Balassa-Samuelson Hypothesis in Asia

Ito, Takatoshi - 1997

The paper tests the Balassa-Samuelson hypothesis (rapid economic growth is accompanied by real exchange rate appreciation because of differential productivity growth between tradable and nontradable sectors) using data of the APEC economies. Japan, Korea, Taiwan and, to a lesser extent, Hong...

Persistent link: https://www.econbiz.de/10012472842

Risk-On Risk-Off : A Multifaceted Approach to Measuring Global Investor Risk Aversion

Chari, Anusha; Stedman, Karlye Dilts; Lundblad, Christian - National Bureau of Economic Research - 2023

This paper defines risk-on risk-off (RORO), an elusive terminology in pervasive use, as the variation in global investor risk aversion. Our high-frequency RORO index captures time-varying investor risk appetite across multiple dimensions: advanced economy credit risk, equity market volatility,...

Persistent link: https://www.econbiz.de/10014437038

The Usual Suspects? Productivity and Demand Shocks and Asia-Pacific Real Exchange Rates

Chinn, Menzie David - 1997

The evidence for a productivity-based explanation for real exchange rate behavior of East Asian currencies is examined. Using sectoral output and employment data, relative prices and relative productivities are calculated for China, Indonesia, Japan, Korea, Malaysia, Philippines, Singapore,...

Persistent link: https://www.econbiz.de/10012472706

Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models

Cheung, Yin-Wong - 1997

, according to the Johansen procedure, cointegration fails to hold the farther out the forecasts extend. At the one year ahead …

Persistent link: https://www.econbiz.de/10012472881

Understanding Korea's Long-Run Real Exchange Rate Behavior

Irwin, Douglas A.; Obstfeld, Maurice - National Bureau of Economic Research - 2024

Korea's real exchange rate has displayed a mild downward trend since the 1980s, with fluctuations of ±20 percent around that trend. This pattern is surprising because the classic Harrod-Balassa-Samuelson framework suggests that countries experiencing rapid growth in the productivity of their...

Persistent link: https://www.econbiz.de/10015056095

Foreign Technology Adoption as a Flying Propeller

Hu, Yunfang; Kunieda, Takuma; Nishimura, Kazuo; Wang, Ping - National Bureau of Economic Research - 2023

We construct a dynamic general equilibrium model of foreign direct investment (FDI) and foreign technology adoption, incorporating adoption barriers, international technology spillover, and relative price advantages. A higher FDI conversion efficacy, a lower adoption barrier, or a stronger...

Persistent link: https://www.econbiz.de/10014250176

Inflation Surge and Sovereign Borrowing : The Role of Policy Practices in Strengthening Sovereign Resilience

Aizenman, Joshua; Zheng, Huanhuan - National Bureau of Economic Research - 2023

Sovereign borrowing during inflation surges is a litmus test of a government's ability to withstand and navigate macroeconomic shocks. Based on transaction-level bond issuance data, we explore how sovereign financing strategies respond to inflation surges and how policy practices affect their...

Persistent link: https://www.econbiz.de/10014250190

Growth and Convergence in the Asia-Pacific Region : On the Role of Openness, Trade and Migration

Taylor, Alan M. - 1995

This paper examines the relationship between openness, trade, and migration in the Asia-Pacific region during the post … array of openness measures play a major role in the successful growth performance of the Asia-Pacific region, a key channel … rates. However, I find that within-sample prediction for the Asia-Pacific region is harder to achieve -- 'good luck' as well …

Persistent link: https://www.econbiz.de/10012473599