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Real Exchange Rates and Commodity Prices

Dupont, Dominique Yves - 1996

multi-country model, with world market clearing, which incorporates speculative and non-speculative demands for inventories … matters, and that supply and demand elasticities are important in determining the commodity price in world markets above and … beyond the size of the share of those commodities in world trade …

Persistent link: https://www.econbiz.de/10014398636

Long-Run Exchange Rate Dynamics : A Panel Data Study

Habermeier, Karl Friedrich - 1999

Long-run movements of real exchange rates are studied using a panel data set comprising 51 economies. The purchasing power parity hypothesis (PPP) is examined first using unit root tests. It is found that PPP does not hold for the full sample of countries, but it may hold for the advanced...

Persistent link: https://www.econbiz.de/10014403431

Real Effective Exchange Rate and the Constant Elasticity of Substitution Assumption

Spilimbergo, Antonio - 2000

The real effective exchange rate is an aggregation of several bilateral real exchange rates with respect to other countries. The aggregation is usually done under the assumption of constant elasticity of substitution (CES) between products from different countries. We investigate the validity of...

Persistent link: https://www.econbiz.de/10014399943

Pricing to Market and the Real Exchange Rate

Faruqee, Hamid - 1995

This paper investigates the consequences of pricing to market for exchange rate pass-through and real exchange rate dynamics across different patterns of trade under market segmentation. Under two-way, intraindustry trade--where home prices display greater linkage with those of foreign...

Persistent link: https://www.econbiz.de/10014398714

Real exchange rate overshooting in large depreciations : determinants and consequences

Culiuc, Alexander - 2020

The consequences of large depreciations on economic activity depend on the relative strength of the contractionary balance sheet and expansionary expenditure switching effects. However, the two operate over different time horizons: the balance sheet effect hits almost immediately, while...

Persistent link: https://www.econbiz.de/10012251364

Aggregation of Economic Indicators Across Countries : Exchange Rate versus PPP Based GDP Weights

Schulze-Gattas, Marianne - 1992

Relative GDP shares are frequently used as weights in aggregations. In order to ensure that these weights reflect countries’ shares in real output, GDP data in national currencies should be converted into a common numeraire currency at purchasing power parity (PPP) rates. A review of the...

Persistent link: https://www.econbiz.de/10014398543

Exchange Rates and Economic Fundamentals : A Methodological Comparison of Beers and Feers

MacDonald, Ronald - 1998

This paper compares two approaches for examining the extent to which a country’s actual real effective exchange rate is consistent with economic fundamentals: the FEER approach, which involves calculating the real exchange rate that equates the current account at full employment with...

Persistent link: https://www.econbiz.de/10014400711

Filtering the Beer : A Permanent and Transitory Decomposition

Clark, Peter B. - 2000

In this paper we extend the BEER (Behavioral Equilibrium Exchange Rate) approach which identifies an estimated equilibrium relationship between the real exchange rate and economic fundamentals. Here the economic fundamentals are decomposed using Johansen cointegration methods into transitory and...

Persistent link: https://www.econbiz.de/10014403514

Consumption Smoothing and Exchange Rate Volatility

Turtelboom, Bart G. - 1995

This paper analyzes exchange rate behavior in a model where consumers trade goods to diversify shocks to their income. A model with traded and nontraded goods is simulated in a multilateral context based upon historical output correlations for the period 1970–92. Simulation results indicate...

Persistent link: https://www.econbiz.de/10014397963

Capital Inflows and the Real Exchange Rate : Analytical Framework and Econometric Evidence

Agénor, Pierre-Richard - 1996

This paper examines the links between capital inflows and the real exchange rate under pegged exchange rates. The analytical framework is described, and a near-VAR model linking capital inflows, interest rate differentials, government spending, money base velocity, and the temporary component of...

Persistent link: https://www.econbiz.de/10014398353