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Determinants of Real Exchange Rate Movements in 15 Emerging Market Economies

Goda, Thomas - 2019

although “commodity” and “industrial” EME are heterogeneous, REER volatility tends to be higher among the former. Yet, REER … volatility between emerging and advanced countries does not differ very much, apart from a few countries. EME that had more …

Persistent link: https://www.econbiz.de/10012861949

Determinants of real exchange rate movements in 15 emerging market economies

Goda, Thomas; Priewe, Jan - In: Brazilian journal of political economy 40 (2020) 2, pp. 214-237

Persistent link: https://www.econbiz.de/10012386806

Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons

Zhang, Hui Jun - 2015

Different causal mechanisms have been proposed to link commodity prices and exchange rates, with opposing implications. We examine these causal relationships empirically, using data on three commodities (crude oil, gold, copper) and four countries (Canada, Australia, Norway, Chile), over the...

Persistent link: https://www.econbiz.de/10013034533

Real exchange rates and primary commodity prices : Mussa meets Backus-Smith

Ayres, João; Hevia, Constantino; Nicolini, Juan Pablo - 2021

We show that explicitly modeling primary commodities in an otherwise totally standard incomplete markets open economy model can go a long way in explaining the Mussa puzzle and the Backus-Smith puzzle, two of the main puzzles in the international economics literature.

Persistent link: https://www.econbiz.de/10014516603

Volatility linkages between agricultural commodity prices, oil prices and real USD exchange rate : the case of Colombia

Guellil, Mohammed Seghir; Belmokaddem, Mostéfa; … - In: Revista de métodos cuantitativos para la economía y … 26 (2018), pp. 71-83

This study examines the dynamic nexus betwixt oil prices, twenty-two world agricultural commodity prices and given the …

Persistent link: https://www.econbiz.de/10012023904

Forecasting exchange rates with commodity prices : a global country analysis

Baumgärtner, Martin; Klose, Jens - 2018

This paper investigates the predictive properties of import and export prices of commodities on the exchange rates. A period from 1993 to 2016 is considered. We find that forecasts of the exchange rate adding commodity export and import prices are superior to those neglecting these variables....

Persistent link: https://www.econbiz.de/10011822076

Exchange Rate Volatility without the Contrivance of Fundamentals and the Failure of PPP

Bask, Mikael - 2007

Since the magnitude of exchange rate overshooting may not be the same for different exchange rates of a currency, a monetary expansion or contraction in, for example, the EMU, will affect the exchange rate between the U.S. dollar and the yen, even though there are no changes in monetary...

Persistent link: https://www.econbiz.de/10014223797

A Gravity View of Exchange Rate Disconnect

Fitzgerald, Doireann - 2004

rate puzzles. One such puzzle is the fact that nominal exchange rates are enormously volatile, but that this volatility … parity prediction. The gravity prediction matches the volatility of actual inflation, and tracks its path closely. The … of bilateral trade is negatively correlated with bilateral exchange rate volatility …

Persistent link: https://www.econbiz.de/10014069461

Real Exchange Rate Movements and the Relative Price of Non-traded Goods

Betts, Caroline M. - 2008

We study the quarterly bilateral real exchange rate and the relative price of non-traded to traded goods for 1225 country pairs over 1980-2005. We show that the two variables are positively correlated, but that movements in the relative price measure are smaller than those in the real exchange...

Persistent link: https://www.econbiz.de/10012722646

Real Exchange Rate Volatility : Does the Nominal Exchange Rate Regime Matter?

Liang, Hong - 2006

evidence supporting the nonneutrality hypothesis of nominal exchange regime on RER volatility. Also, regime shifts play an …

Persistent link: https://www.econbiz.de/10012782130