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Keynes, Cocoa, and Copper; In Search of Commodity Currencies

Sahay, Ratna; Céspedes, Luis Felipe; Cashin, Paul - International Monetary Fund (IMF) - 2002

This paper examines whether the real exchange rates of commodity-exporting countries and the real prices of their … commodity exports move together over time. Using IMF data on the world prices of 44 commodities and national commodity export … shares, we construct new monthly indices of national commodity export prices for 58 countries over 1980-2002. A long …

Persistent link: https://www.econbiz.de/10005825719

Establishing Conversion Values for New Currency Unions; Method and Application to the planned Gulf Cooperation Council (GCC) Currency Union

Kamar, Bassem; Carlotti, Jean-Etienne; Krueger, Russell C. - International Monetary Fund (IMF) - 2009

A key issue in creating a new currency union is setting the rates to convert national currencies into the new union currency. Planned unions in the Gulf region and Africa are seeking methods to set the conversion rates when their new currencies are created. We propose a forward-looking...

Persistent link: https://www.econbiz.de/10008528616

Real Exchange Rates and Productivity; Closed-Form Solutions and Some Empirical Evidence

Begum, Jahanara - International Monetary Fund (IMF) - 2000

This paper examines the impact of productivity shocks on real exchange rate fluctuations in a dynamic international … statistically significant relationship exists between bilateral real exchange rates and international productivity differentials in …

Persistent link: https://www.econbiz.de/10005599752

Cointegrated TFP Processes and International Business Cycles

Tuesta, Vicente; Rubio-Ramirez, Juan F.; Rabanal, Pau - International Monetary Fund (IMF) - 2009

A puzzle in international macroeconomics is that observed real exchange rates are highly volatile. Standard international real business cycle (IRBC) models cannot reproduce this fact. We show that TFP processes for the U.S. and the "rest of the world," is characterized by a vector error...

Persistent link: https://www.econbiz.de/10008559267

A Currency Union for the Caribbean

Worrell, DeLisle - International Monetary Fund (IMF) - 2003

inflationary, and that, while changes in the relative prices of tradables may affect exports, tourism, and imports, nominal … exchange rate changes have no predictable effect on those relative prices. Under these circumstances, economic literature …

Persistent link: https://www.econbiz.de/10005599271

Medium-Term Exchange Rate Forecasting; What Can We Expect?

Meredith, Guy - International Monetary Fund (IMF) - 2003

. Uncovered interest parity fares better at long horizons, but reflects information already embodied in market prices; in this …

Persistent link: https://www.econbiz.de/10005826261

China; Sources of Real Exchange Rate Fluctuations

Wang, Tao - International Monetary Fund (IMF) - 2004

This paper reviews the evolution of China's real effective exchange rate between 1980 and 2002, and uses a structural vector autoregression model to study the relative importance of different types of macroeconomic shocks for fluctuations in the real exchange rate. The structural decomposition...

Persistent link: https://www.econbiz.de/10005605223

Exchange Rates in the Periphery and International Adjustment Under the Gold Standard

Catão, Luis; Solomou, Solomos - International Monetary Fund (IMF) - 2003

The role of exchange rate flexibility in the periphery of the gold standard has been grossly overlooked. This paper builds a new dataset on trade-weighed exchange rates for the period 1870-1913 and finds that large currency movements in periphery countries operating inconvertible paper-money and...

Persistent link: https://www.econbiz.de/10005769107

Time-Varying Thresholds; An Application to Purchasing Power Parity

Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003

This paper introduces a time-varying threshold autoregressive model (TVTAR), which is used to examine the persistence of deviations from PPP. We find support for the stationary TVTAR against the unit root hypothesis; however, for some developing countries, we do not reject the TVTAR with a unit...

Persistent link: https://www.econbiz.de/10005604859

The Transfer Problem Revisited; Net Foreign Assets and Real Exchange Rates

Milesi-Ferretti, Gian-Maria; Lane, Philip R. - International Monetary Fund (IMF) - 2000

The relationship between international payments and the real exchange rate—the “transfer problem”—is a classic question in international economics. We use new data on countries’ net external positions together with real exchange rate data to shed light on this question. We present a...

Persistent link: https://www.econbiz.de/10005825933