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Dynamics of endogenous business cycles and exchange rate volatility

Böhm, Volker; Kikuchi, Tomoo - 2002

This paper studies dynamics of endogenous business cycles and exchange rate volatility in a small open economy. Without … observed high volatility of nominal exchange rates compared with that of real/domestic variables. …

Persistent link: https://www.econbiz.de/10001712370

Dynamics of Endogenous Business Cycles and Exchange Rate Volatility

Böhm, Volker; Kikuchi, Tomoo - 2021

This paper studies dynamics of endogenous business cycles and exchange rate volatility in a small open economy. Without … exhibit a higher volatility than other prices. The numerical analysis shows examples which confirm the typical empirically … observed high volatility of nominal exchange rates compared with that of real/domestic variables …

Persistent link: https://www.econbiz.de/10013320345

Dynamics of endogenous business cycles and exchange rate volatility

Böhm, Volker; Kikuchi, Tomoo - 2002

Persistent link: https://www.econbiz.de/10001688084

Dynamics of endogenous business cycles and exchange rate volatility

Böhm, Volker; Kikuchi, Tomoo - In: Exchange rate economics : where do we stand?, (pp. 169-205). 2005

Persistent link: https://www.econbiz.de/10002836182

A possible explanation of the 'exchange rate disconnect puzzle' : a common solution to three major macroeconomic puzzles?

Horioka, Charles; Ford, Nicholas - 2016

Meese and Rogoff (1983) and subsequent studies find that economic fundamentals are apparently not able to explain exchange rate movements, but we argue that this so-called "Exchange Rate Disconnect Puzzle" arose because researchers such as Meese and Rogoff (1983) did not use the right...

Persistent link: https://www.econbiz.de/10011502367

Exchange Rate Uncertainty and the Interest Rate Parity

Fernández, Julián - 2023

This paper studies the effect of exchange rate uncertainty on the deviations of Covered Interest Rate parity. I develop a method for estimating the daily uncertainty via endogenous factor clustering to determine the currency grouping and an optimal number of groups and general factors explaining...

Persistent link: https://www.econbiz.de/10014258291

Global Transmission of Interest Rates : Monetary Independence and Currency Regime

Frankel, Jeffrey A.; Schmukler, Sergio L.; Servén, Luis - 2004

Hikes in U.S. interest rates in 1999-2000 have started to spill over to other economies' interest rates, which in many countries have risen to reflect the higher U.S. rates. Are countries with flexible exchange rates better able to isolate their domestic interest rates from this type of negative...

Persistent link: https://www.econbiz.de/10014153762

Global Transmission of Interest Rates : Monetary Independence and Currency Regime

Frankel, Jeffrey A.; Schmukler, Sergio L.; Servén, Luis - 2004

Using a large sample of developing and industrialized economies during 1970-1999, this paper explores whether the choice of exchange rate regime affects the sensitivity of local interest rates to international interest rates. In most cases, we cannot reject full transmission of international...

Persistent link: https://www.econbiz.de/10014075205

On the volatility of foreign exchange rates

Kurz, Mordecai - In: Endogenous economic fluctuations : studies in the …, (pp. 317-352). 1997

Persistent link: https://www.econbiz.de/10001321777

The Dollar Exchange Rate and Interest Parity : Letting Different Views Compete

Yang, Yang; Zhang, Ren; Zhang, Shuwei - 2022

The extant structural vector autoregression (SVAR) literature typically focuses on one shock at a time when studying the behavior of the exchange rates, which risks confounding the identified shock with the endogenous responses to the unidentified shocks. This paper proposes a novel SVAR...

Persistent link: https://www.econbiz.de/10013492374