Results 11 to 20 of about 405,952 (306)
Mexico: Determinants of the real exchange rate, 2001.01-2022.12. [PDF]
PLoS ONE, 2023 We estimate the determinants (terms of trade, tradable to non-tradable price differentials, interest rate differentials, forward exchange rate and risk premium) of the Mexican bilateral real exchange rate (q) for the short and long run by using an ...
Eduardo Loría, Lorenzo Nalin
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Nonlinearities and Real Exchange Rate Dynamics [PDF]
Journal of the European Economic Association, 2003 We confirm the presence of substantial nonlinearities in real exchange rate dynamics at the sectoral level. There exists zones where arbitrage is not profitable because of transaction costs, and thus mean reversion is inexistent. We compute the speed of mean reversion of sector specific real exchange rates, conditional on the existence of arbitrage as ...
Imbs, J. +3 more
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The Real Exchange Rate, Real Interest Rates, and the Risk Premium [PDF]
SSRN Electronic Journal, 2011 Abstract: The well-known uncovered interest parity puzzle arises from the empirical regularity that, among developed country pairs, the high interest rate country tends to have high expected returns on its short term assets. At the same time, another strand of the literature has documented that high real interest rate countries tend to have currencies ...
Engel, Charles
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REAL EXCHANGE RATE MISALIGNMENTS: THE CASE OF THE INDONESIAN RUPIAH
Buletin Ekonomi Moneter dan Perbankan, 2021 This paper analyses the equilibrium price of the Indonesian Rupiah using the Synthetic Control Method (SCM) and assesses its misalignments. We find evidence of Rupiah misalignment, as the currency was undervalued for most periods, except for 1993-1996 ...
Rasbin Rasbin +3 more
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THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION [PDF]
Journal of Applied Econometrics, 2013 SUMMARYIn this paper we offer a bootstrap‐based version of the Cox specification test for non‐nested hypothesis to discriminate between ESTAR and MSAR models. Both models are commonly used for modeling real exchange rates dynamics. We show that the test has good size and power properties in finite samples.
Heinen, Florian +2 more
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Persistence in real exchange rate convergence [PDF]
Studies in Nonlinear Dynamics and Econometrics, 2014 AbstractIn this paper we use a long memory framework to examine the validity of the Purchasing Power Parity (PPP) hypothesis using both monthly and quarterly data for a panel of 47 countries over a 50 year period (1957–2009). The analysis focuses on the long memory parameter d that allows us to obtain different convergence classifications depending on ...
Thanasis Stengos, M. Ege Yazgan
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China’s real exchange rate [PDF]
, 2007 International pressure to revalue China’s currency stems in part from the expectation that rapid economic growth should be associated with a real exchange rate appreciation. This hinges on the Balassa-Samuelson hypothesis under which economic growth, stemming from improvements in traded sector productivity, causes non-traded prices to rise.
Golley, Jane, Tyers, Rod
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The Real Exchange Rate, Innovation, and Productivity [PDF]
Journal of the European Economic Association, 2018 AbstractWe build a dynamic heterogeneous-firm model in which real depreciations raise export demand and the cost of importing intermediates, and also affect borrowing constraints and the profitability of engaging in research and development (R&D).
Alfaro, Laura +3 more
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Determining The Real Exchange Rate Equilibrium for Pakistan
JISR Management and Social Sciences & Economics, 2021 The achievement of macroeconomic stability and sustained economic growth are the main targets of macroeconomic agents and policymakers. High volatility in Real Effective Exchange Rate (REER) is noticed while moving towards flexible Exchange rate regime.
Shazia Salam, Mehak Ejaz
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Evaluation of Exchange Rate Regime’s Effect on Real Exchange Rate Misalignment: An Application of Propensity Score Matching Approach [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2022 Estimating the real exchange rate misalignment from the equilibrium value and exploring the factors affecting its changes is crucial for both economic policymakers and economic agents.
Seyed Hasan Malekhosseini +3 more
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