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The Predictive Power of Equilibrium Exchange Rate Models

Ca'Zorzi, Michele - 2020

In this paper we evaluate the predictive power of the three most popular equilibrium exchange rate concepts: Purchasing Power Parity (PPP), Behavioral Equilibrium Exchange Rate (BEER) and the Macroeconomic Balance (MB) approach. We show that there is a clear trade-off between storytelling and...

Persistent link: https://www.econbiz.de/10012844460

The link between interest rates and exchange rates: do contractionary depreciations make a difference?

Sánchez, Marcelo - 2005

The link between exchange rates and interest rates features prominently in the theoretical and empirical literature on small open economies. This paper revisits this relationship using a simple model that incorporates the role of exchange rate pass-through into domestic prices and distinguishes...

Persistent link: https://www.econbiz.de/10011604594

How does information affect the comovement between interest rates and exchange rates?

Sánchez, Marcelo - 2006

This paper compares the link between exchange rates and interest rates under full information and two alternative asymmetric information approaches. It also distinguishes between cases of expansionary and contractionary depreciations. Full information results are not robust to the presence of...

Persistent link: https://www.econbiz.de/10011604654

The Exchange Rate, Asymmetric Shocks and Asymmetric Distributions

Demian, Vlad - 2015

The elasticity of exports to exchange rate fluctuations has been the subject of a large literature without a clear consensus emerging. Using a novel sector level dataset based on firm level information, we show that exchange rate elasticities double in size when the country and sector specific...

Persistent link: https://www.econbiz.de/10013020655

Exchange Rate Forecasting on a Napkin

Ca'Zorzi, Michele - 2018

This paper shows that there are two regularities in foreign exchange markets in advanced countries with flexible regimes. First, real exchange rates are mean-reverting, as implied by the Purchasing Power Parity model. Second, the adjustment takes place via nominal exchange rates. These features...

Persistent link: https://www.econbiz.de/10012918409

Methodological Advances in the Assessment of Equilibrium Exchange Rates

Bussière, Matthieu - 2010

. The third issue discusses the uncertainty associated to the estimation of a reduced form relationship for the real … exchange rate, concluding that inference can be improved by panel estimation. The fourth and final issue addresses the presence … of strong and weak cross section dependence in panel estimation, suggesting which panel estimators one could use in this …

Persistent link: https://www.econbiz.de/10013149063

Exchange Rate Shocks and Inflation Comovement in the Euro Area

Leiva‐Leon, Danilo - 2020

This paper decomposes the time-varying effect of exogenous exchange rate shocks on euro area countries inflation into country-specific (idiosyncratic) and region-wide (common) components. To do so, we propose a flexible empirical framework based on dynamic factor models subject to drifting...

Persistent link: https://www.econbiz.de/10012838756

Modelling Ireland's Exchange Rates : From EMS to EMU

Bond, Derek - 2007

This paper attempts to model the nominal and real exchange rate for Ireland, relative to Germany and the UK from 1975 to 2003. It offers an overview of the theory of purchasing power parity (Ppp), focusing particularly on likely sources of nonlinearity. Potential difficulties in placing the...

Persistent link: https://www.econbiz.de/10012775859

How Does Information Affect the Comovement between Interest Rates and Exchange Rates?

Sánchez, Marcelo - 2021

Persistent link: https://www.econbiz.de/10013317653

Does Marketing Widen Borders? Cross-Country Price Dispersion in the European Car Market

Dvir, Eyal - 2017

We study cross-country price differences in the European market for new passenger cars based on detailed pricing and technical data. Car prices in Europe converged until the year 2003, but not thereafter. Within the EU 15 countries the price range of the median model in 2004 was close to 20...

Persistent link: https://www.econbiz.de/10012956247