Search Results - subject_exact:"Monetary exchange rate model"

Monetary fundamentals and exchange rate forecasting in hyperinflation

Alawin, Mohammad - 2026

The Meese-Rogoff puzzle suggests that exchange rate models rarely outperform a random walk in out-of-sample forecasting. This paper re-examines that puzzle in the context of the German hyperinflation, an environment in which monetary forces dominate economic behavior. Using simple bivariate...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015628383

Nominal exchange rates and net foreign assets' dynamics : the stabilization role of valuation effects

Eugeni, Sara - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014549819

The monetary model of exchange rate determination for South Africa

Msomi, Simiso; Ngalawa, Harold - 2024

The disconnect between the exchange rate and its macroeconomic fundamentals has been extensively discussed in the literature. It nonetheless continues to pose theoretical and empirical challenges in the literature. This study examines the relationship between the exchange rate and its...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015070839

Comparative analysis of the portfolio-balance models of exchange rate determination

Bhattacharyya, Karnikaa; Deb, Kaveri - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015670114

Optimal Currency Strategies Under Deviations From Interest Parity

Viceira, Luis M.; Shen, Sally - 2026

This paper examines optimal currency demands for global equity and bond investors in a large cross-section of developed and emerging markets over the 1975-2023 period. It extends the framework of Campbell et al. (2010) by incorporating both optimal portfolio-risk minimizing currency exposures,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016063294

Analyzing a new portfolio balance model with micro and macro determinants of exchange rate when expectations are rational

Bhattacharyya, Karnikaa; Deb, Kaveri - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015673365

Nexus between monetary policy, net foreign assets and exchange rate : fresh insight from Lao PDR

Xaisongkham Sorphasith; Liu, Xia; Meo, Muhammad Saeed; … - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015066148

Exchange Rates in the 1920'S : A Monetary Approach

Frenkel, Jacob A.; Clements, Kenneth W. - 2022

Current views about flexible exchange rate systems are based, to a large extent, on the lessons from the period of the 1920's during which many exchange rates were flexible. This paper re-examines the evidence from the perspective of the recently revived monetary approach (or more generally,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013324032

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Exchange Rates in The 1920's : A Monetary Approach

Frenkel, Jacob A. - 1978

Book / Working Paper

Impact of asymmetry on exchange rate determination : the role of fundamentals

Korap, H. Levent - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015177965

Oil Rents and Exchange Rate in Oil-Exporting Countries : Re-Assessment of the Monetary Model of Exchange Rate Determination

Hemmati, Abdolnaser; Rahmani, Teymur; Morovati, Mohammad; … - 2022

This study investigates why the exchange rates of oil-exporting countries do not follow the monetary model after the oil prices hikes in 2000. In empirical research, real GDP is considered as real output, while changes in oil rents are not included in GDP growth. However, in practice, oil rents...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013290986

An exchange rate model where the fundamentals follow a jump-diffusion process

Cupidon, Jean René; Hyppolite, Judex - 2022

This paper presents some models of exchange rate with jumps, namely jump diffusion exchange rate models. Jump diffusion models are quite common in computational and theoretical finance. It is known that exchange rates sometimes exhibit jumps during some time periods. Therefore, it is important...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013431567

The validity of the real interest differential model for Turkey with Markov regime switching

Akdeniz, Coskun; İlhan, Ali - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012888489

Monetary sterilization response to the movements in exchange rates and official net foreign assets : a case of China

Wu, Ying - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013549109

Does Bitcoin behave as a currency?: A standard monetary model approach

Hui, Cho H.; Lo, Chi-Fai; Chau, Po-Hon; Wong, Andrew - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012318228

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Does Bitcoin behave as a currency? : a standard monetary model approach

Hui, Cho H.; Lo, Chi-Fai; Chau, Po-Hon; Wong, Andrew - 2019

Book / Working Paper

Does Bitcoin Behave as a Currency? : A Standard Monetary Model Approach

Hui, Cho H.; Lo, Chi-Fai; Chau, Po-Hon; Wong, Andrew - 2022

Book / Working Paper

Does Bitcoin Behave As a Currency? : A Standard Monetary Model Approach

Hui, Cho H. - 2020

Book / Working Paper

Exchange rate market pressures in Eswatini : the Girton-Roper model

Mkhonta, Simiso F. - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014280437

Does the exchange rate overshoot in an emerging economy?

Aftab, Muhammad; Rafique, Amir; Evan Lau - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012884564

Stochastic process switching : some simple solutions

Froot, Kenneth - 1991

Persistent link: https://ebvufind01.dmz1.zbw.eu/10001102740

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Stochastic Process Switching : Some Simple Solutions

Froot, Kenneth; Obstfeld, Maurice - 2021

Book / Working Paper

Stochastic Process Switching : Some Simple Solutions

Froot, Kenneth A. - 1989

Book / Working Paper

Mexico's 1994 exchange rate crisis interpreted in light of the non-traded model

Warner, Andrew M. - 1997

Persistent link: https://ebvufind01.dmz1.zbw.eu/10000640216

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Mexico'S 1994 Exchange Rate Crisis Interpreted in Light of the Non-Traded Model

Warner, Andrew M. - 2021

Book / Working Paper

Mexico's 1994 Exchange Rate Crisis Interpreted in Light of the Non-Traded Model

Warner, Andrew M. - 1997

Book / Working Paper

Fixing exchange rates : a virtual quest for fundamentals

Flood, Robert P. - 1995

Persistent link: https://ebvufind01.dmz1.zbw.eu/10001190672

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Fixing exchange rates : a virtual quest for fundamentals

Flood, Robert P. - 1993

Book / Working Paper

Fixing exchange rates : a virtual quest for fundamentals

Flood, Robert P. - 1993

Book / Working Paper

Fixing exchange rates : a virtual quest for fundamentals

Flood, Robert P. - 1992

Book / Working Paper

Fixing Exchange Rates : A Virtual Quest for Fundamentals

Flood, Robert P.; Rose, Andrew - 2021

Book / Working Paper

Fixing Exchange Rates : A Virtual Quest for Fundamentals

Flood, Robert P. - 1993

Book / Working Paper

Fixing exchange rates : a virtual quest for fundamentals

Flood, Robert P. - 1993

Book / Working Paper

Open-economy macroeconomics : developments in theory and policy

Obstfeld, Maurice - 1998

Persistent link: https://ebvufind01.dmz1.zbw.eu/10001337872

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Open-economy macroeconomics : developments in theory and policy

Obstfeld, Maurice - 1997

Book / Working Paper

Open-Economy Macroeconomics, Developments in Theory and Policy

Obstfeld, Maurice - 2021

Book / Working Paper

Open-Economy Macroeconomics, Developments in Theory and Policy

Obstfeld, Maurice - 1999

Book / Working Paper

Open-economy macroeconomics : developments in theory and policy

Obstfeld, Maurice - 1997

Book / Working Paper

Global Transmission of Interest Rates : Monetary Independence and Currency Regime

Frankel, Jeffrey A.; Schmukler, Sergio L.; Servén, Luis - 2021

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://ebvufind01.dmz1.zbw.eu/10013216098

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Global Transmission of Interest Rates : Monetary Independence and Currency Regime

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

Book / Working Paper

Global Transmission of Interest Rates : Monetary Independence and Currency Regime

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

Book / Working Paper

Global Transmission of Interest Rates : Monetary Independence and Currency Regime

Frankel, Jeffrey A. - 2002

Book / Working Paper

Bubbling and crashing exchange rates

Blix Grimaldi, Marianna; De Grauwe, Paul - 2003

We develop a simple model of the foreign exchange market in which agents optimize their portfolio and use different forecasting rules. They check the profitability of these rules ex post and select the more profitable one.This model produces two kinds of equilibria, a fundamental and a bubble...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011509496

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Bubbling and Crashing Exchange Rates

Blix Grimaldi, Marianna; De Grauwe, Paul - 2021

Book / Working Paper

Dusting off the perception of risk and returns in FOREX markets

Cumperayot, Phornchanok J. - 2005

Persistent link: https://ebvufind01.dmz1.zbw.eu/10002836230

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Dusting off the perception of risk and returns in FOREX markets

Cumperayot, Phornchanok J. - 2003

Book / Working Paper

Dusting off the perception of risk and returns in FOREX markets

Cumperayot, Phornchanok J. - 2003

Book / Working Paper

Dusting Off the Perception of Risk and Returns in Forex Markets

Cumperayot, Phomchanok - 2021

Book / Working Paper

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 market imperfections, domestic price and wage adjustments respond sluggishly to disequilibrium situations on real domestic markets while prices on international capital markets...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011538984

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Dynamics of Endogenous Business Cycles and Exchange Rate Volatility

Böhm, Volker; Kikuchi, Tomoo - 2021

Book / Working Paper

Money and Exchange Rates in the Grossman-Weiss-Rotemberg Model

Alvarez, Fernando; Atkeson, Andrew - 2021

We examine the impact of monetary injections in the Grossman-Weiss-Rotemberg Model and show that monetary shocks can lead to nominal exchange rates that are more volatile than inflation, money growth or interest rate differentials. Moreover, movements in real exchange rates following monetary...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013220401

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Money and Exchange Rates in the Grossman-Weiss-Rotemberg Model

Alvarez, Fernando - 1996

Book / Working Paper

Money and Exchange Rates in the Grossman-Weiss-Rotemberg Model

Alvarez, Fernando; Atkeson, Andrew - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013220401

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Money and Exchange Rates in the Grossman-Weiss-Rotemberg Model

Alvarez, Fernando - 1996

Book / Working Paper

Order Flow and Exchange Rate Dynamics

Evans, Martin D. D.; Lyons, Richard K. - 2021

Macroeconomic models of nominal exchange rates perform poorly. In sample, R2 statistics as high as 10 percent are rare. Out of sample, these models are typically out-forecast by a na‹ve random walk. This paper presents a model of a new kind. Instead of relying exclusively on macroeconomic...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013221288

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Order Flow and Exchange Rate Dynamics

Evans, Martin D.D. - 1999

Book / Working Paper

Balance Sheets and Exchange Rate Policy

Céspedes, Luis Felipe; Chang, Roberto; Velasco, Andrés - 2021

We study the relation among exchange rates, balance sheets, and macroeconomic outcomes in a small open economy. Because liabilities are dollarized,' a real devaluation has detrimental effects on entreprenurial net worth, which in turn constrains investment due to financial frictions. But there...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013224927

Exchange rate determination in Nigeria : testing the monetary theory in the presence of asymmetries

Tumala, Mohammed Musa; Atoi, Ngozi Victor; Karimo, Tari … - 2021

This study examines the Nigeria Naira to US Dollar (?/$) exchange rate determinants within the monetarist framework while accounting for potential asymmetric responses of the exchange rate to changes in money supply, real income, monetary policy rate, and inflation rate in Nigeria relative to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014288471

Exchange rate determination : mixed microstructural and macroeconomic approach

Karoui, Ali Trabelsi; Abdelmoula, Aida Kammoun - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012610549

Emerging markets interest rates, international reserves and net foreign assets

Bitar, Joseph; Boileau, Martin - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013262740

Botswana's fiscal policy, monetary policy, and exchange rate policy : three instruments and three targets?

Leith, James Clark - 2020

In the decades since Independence Botswana has faced significant macroeconomic challenges. Official institutions set fiscal, monetary, and exchange rate policies in the face of these challenges. This paper identifies a target for each policy, reviews the extent to which each policy has been...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012159128

The impacts of divisia money on MYR/USD exchange rate determination in Malaysia

Leong, Choi-Meng; Puah, Chin-Hong; Liew, Venus Khim-sen; … - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012804492

A no-arbitrage perspective on global arbitrage opportunities

Augustin, Patrick; Chernov, Mikhail; Schmid, Lukas; … - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012238238

Modelling exchange rate movements in South Africa : an ARDL application

Muzindutsi, Paul-Francois; Zungu, Zama; Khanyile, Minenhle - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012613350

Validity of the monetary model of the exchange rate : empirical evidence from Sri Lanka

Jegajeevan, Sujeetha - 2015

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012147290

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Validity of the Monetary Model of the Exchange Rate : Empirical Evidence from Sri Lanka

Jegajeevan, Sujeetha - 2020

Book / Working Paper

Long-run exchange rates dynamics in Uganda : evidence from the sticky price monetary model

Opolot, Jacob; Okello, Apaa Jimmy - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012253799

Solving Exchange Rate Puzzles with Neither Sticky Prices Nor Trade Costs

Moore, Michael J. - 2019

We present a simple framework in which both the exchange rates disconnect and forward bias puzzles are simultaneously resolved. The flexible-price two-country monetary model is extended to include a consumption externality with habit persistence. Habit persistence is modeled using Campbell...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012905885

Covered interest parity deviations in standard monetary models

Ibhagui, Oyakhilome - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012518291

Private Information and the Monetary Model of Exchange Rates : Evidence from a Novel Data Set

Chinn, Menzie David - 2019

We propose an exchange rate model which is a hybrid of the conventional specification with monetary fundamentals and the Evans-Lyons microstructure approach. It argues that the failure of the monetary model is principally due to private preference shocks which render the demand for money...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012906225

Markov switching in exchange rate models : will more regimes help?

Stillwagon, Josh; Sullivan, Peter - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012253229

Towards a New Monetary Theory of Exchange Rate Determination

Cesa-Bianchi, Ambrogio - 2019

We study exchange rate determination in a 2-country model where domestic banks create each economy's supply of domestic and foreign currency. The model combines the UIP-based and monetary theories of exchange rate determination, but the latter with a focus on private rather than public money...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012863866

Incomplete Asset Market View of the Exchange Rate Determination

Maurer, Thomas Andreas - 2018

We completely characterize the fundamental relationship between the exchange rate and the asset pricing in the two denomination currencies involved when markets are incomplete. Assuming arbitrage-free, perfectly integrated, frictionless but potentially incomplete financial markets, the exchange...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012935086

Order Flow and the Monetary Model of Exchange Rates : Evidence from a Novel Data Set

Moore, Michael J. - 2019

We propose an exchange rate model which is a hybrid of the conventional specification with monetary fundamentals and the Evans-Lyons microstructure approach. We estimate a model augmented with order flow variables, using a unique data set: almost 100 monthly observations on inter-dealer order...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012905887