Showing 1 - 10 of 16,023
Persistent link: https://www.econbiz.de/10010353720
This paper evaluates short-run out-of-sample exchange rate predictability with real-time data for 15 OECD countries from 1973 to 2013. We consider the Taylor rule fundamentals model, where the variables that enter the Taylor rule are used to forecast exchange rate changes, and the Taylor rule...
Persistent link: https://www.econbiz.de/10012903719
This paper offers a new insight into real exchange rate behaviour in Latin America. Using quarterly data over the sample period 1973Q2-2005Q4, the analysis indicates that the real exchange rates of Argentina, Brazil and Venezuala can be described as non-linear trend stationary processes. This...
Persistent link: https://www.econbiz.de/10012768324
In most emerging economies, there is a relationship between the fluctuations in the real exchange rate and capital flows. This research examines the long-run response of the real exchange rate to capital inflows in Mexico for the period 1986:1-2002:2, using cointegration analysis.The estimated...
Persistent link: https://www.econbiz.de/10012976579
We study how real exchange rate dynamics are affected by monetary policy in dynamic, stochastic, general equilibrium, sticky-price models. Our analytical and quantitative results show that the source of interest rate persistence - policy inertia or persistent policy shocks - is key. When the...
Persistent link: https://www.econbiz.de/10010402080
We present a model of bilateral real exchange rate determination based on different theories that can be combined into a common statistical framework. Although eclectic, the approach is successfully used to shape a final specification which performs surprisingly well when out of sample exercises...
Persistent link: https://www.econbiz.de/10010504315
Using panel data on military spending for 125 countries, we document new facts about the effects of changes in government purchases on the real exchange rate, consumption, and current accounts in both advanced and developing countries. While an increase in government purchases causes real...
Persistent link: https://www.econbiz.de/10011562952
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Persistent link: https://www.econbiz.de/10011613456
This paper examines the persistent properties of 12 sectoral relative prices between Korea and Japan obtained following the Classification of Individual Consumption according to Purpose (COICOP) over the period of 1985-2016. Applying a new econometric method developed by Pesaran which controls...
Persistent link: https://www.econbiz.de/10011765038