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Volatilidade da taxa de câmbio real e taxa de juros no Brasil: Evidências de um modelo VAR-GARCH-M para o período 1999-2010
dos Santos Cerqueira, Vinícius - 2011
This paper investigates the relationship between interest rate and volatility of real effective exchange rate in Brazil … inflation targeting, this account suggests that the high exchange rate volatility in Brazil may be related to the monetary …, it was observed that: it's not possible to say that the percentage change in real effective exchange rate, its volatility …
Persistent link: https://www.econbiz.de/10010330766
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Sectoral R&D intensity and exchange rate volatility: a panel study for OECD countries
Mahagaonkar, Prashanth; Schweickert, Rainer; Chavali, … - 2009
A recent literature has pointed at potential negative effects of exchange rate volatility on innovation. In this paper … years 1987 - 2003. We find that the direct negative effect of volatility is pronounced in manufacturing sector but is … dominated by the indirect effect via the export channel. Services do not face any effects of volatility on R&D intensities …
Persistent link: https://www.econbiz.de/10010265242
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The Effects of the Real Exchange Rate Volatility and Misalignments on Foreign Trade Flows in Uzbekistan
Olimov, Ulugbek; Sirajiddinov, Nishanbay - 2008
period of 1994q3-2005q2. The results suggest that the real exchange rate volatility and misalignment have depressing effects … volatility proving that the policy-induced changes in exchange rate has a stabilizing effect on trade flows. The implied … elasticity for the most significant real exchange rate volatility coefficient is -0.20. Using a two-step Engle-Granger technique …
Persistent link: https://www.econbiz.de/10010298565
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Sectoral R&D intensity and exchange rate volatility: A panel study on economies of the OECD
Mahagaonkar, Prashanth; Schweickert, Rainer; Chavali, … - 2009
A recent literature has pointed at potential negative effects of exchange rate volatility on innovation. In this paper … years 1987 - 2003. We find that the direct negative effect of volatility is pronounced in manufacturing sector but is … dominated by the indirect effect via the export channel. Services do not face any effects of volatility on R&D intensities …
Persistent link: https://www.econbiz.de/10010278015
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Real exchange rate and international reserves in an era of growing financial and trade integration
Aizenman, Joshua; Riera-Crichton, Daniel - 2006
This paper evaluates the impact of international reserves, terms of trade shocks and capital flows on the real exchange rate (REER). We observe that international reserves cushions the impact of TOT shocks on the REER, and that this effect is important for developing but not for industrial...
Persistent link: https://www.econbiz.de/10010285305
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Real exchange rate and international reserves in the era of growing financial and trade integration
Aizenman, Joshua; Riera-Crichton, Daniel - 2006
This paper evaluates the impact of international reserves, terms of trade shocks and capital flows on the real exchange rate (REER). We observe that international reserves cushions the impact of TOT shocks on the REER, and that this effect is important for developing but not for industrial...
Persistent link: https://www.econbiz.de/10010322720
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PPP: a Disaggregated View
Fischer, Christoph - 2004
By disaggregating price indices, it becomes apparent that the real exchange rate consists of the real exchange rate for a single good and a weighted sum of relative prices between goods. When applying a battery of panel unit root tests to this sum and its components, it is found that both the...
Persistent link: https://www.econbiz.de/10010295634
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Concepts to Calculate Equilibrium Exchange Rates: An Overview
MacDonald, Ronald - 2000
In this paper we present a critical overview of differnt methods of constructing an equilibrium exchange rate. The recent literature on purchasing power parity (PPP) indicates that on its own PPP is not a good vehicle for defining an equilibrium exchange rate. Rather, we argue that the latter...
Persistent link: https://www.econbiz.de/10010295691
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The behaviour of the real exchange rate: evidence from regression quantiles
Nikolaou, Kleopatra - 2006
We test for mean reversion in real exchange rates using a recently developed unit root test for non-normal processes based on quantile autoregression inference in semi-parametric and non-parametric settings. The quantile regression approach allows us to directly capture the impact of different...
Persistent link: https://www.econbiz.de/10011604713
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Why not use standard panel unit root test for testing PPP
Lyhagen, Johan - 2000
In this paper we show the consequences of applying a panel unit root test when testing for a purchasing power parity relationship. The distribution of the tests investigated, including the IPS test of Im et al (1997), are influenced by a common stochastic trend which is usually not accounted...
Persistent link: https://www.econbiz.de/10010281460