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Real Exchange Rate Decompositions
2022We provide a novel daily decomposition of the real exchange rate that exploits a direct link between bond and foreign exchange (FX) markets. Real exchange rate dynamics can be attributed to changes in the expected future level of the exchange rate; cross-country differentials of expected inflation, yields and bond term premia; and an FX risk premium ...
Feunou, Bruno +2 more
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The Real Exchange Rate and Economic Growth: A Survey
Journal of Globalization and Development, 2020This paper offers a systematic survey of recent research evaluating the impact of the level and volatility of the real exchange rate (RER) on economic growth.
Martín Rapetti
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How Real are Real Exchange Rates?
International Economic Journal, 1997This Paper analyzes the role of real disturbances in the real dollar exchange rates of the mark, yen and the pound both during the post-1973 float and in the long-run historical date. The results indicate dominate roles of real shocks in all three exchange rates in the post-1973 float although a substantial portion of short-run variations in the mark ...
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Real exchange rate fluctuations, endogenous tradability and exchange rate regimes [PDF]
Journal of Monetary Economics, 2008 Abstract The real exchange rate is driven by fluctuations of the relative price of traded goods and the relative price of nontraded to traded goods. This study explains the variance decomposition of the real exchange rate using a stochastic dynamic general equilibrium model of comparative advantage with money.
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Journal of International Money and Finance, 1997
Abstract Using random simulations with artificial data with identical sample characteristics to the long-sample exchange rate data employed by Lothian and Taylor (Lothian, J.R. and Taylor, M.P. (1996). The recent float from the perspective of the past two centuries.
James R. Lothian, Mark P. Taylor
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Abstract Using random simulations with artificial data with identical sample characteristics to the long-sample exchange rate data employed by Lothian and Taylor (Lothian, J.R. and Taylor, M.P. (1996). The recent float from the perspective of the past two centuries.
James R. Lothian, Mark P. Taylor
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Voprosy Ekonomiki, 2016
Developing countries typically exhibit a high degree of macroeconomic variablesinstability. This feature is particularly evident as regards the volatility of the real exchange rate. The concern with these destabilizing effects generatedby real exchange rate instability has prompted some developing countries to adopt real exchange rate targeting since ...
S. Moiseev, I. Pantina
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Developing countries typically exhibit a high degree of macroeconomic variablesinstability. This feature is particularly evident as regards the volatility of the real exchange rate. The concern with these destabilizing effects generatedby real exchange rate instability has prompted some developing countries to adopt real exchange rate targeting since ...
S. Moiseev, I. Pantina
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Journal of Banking & Finance, 1990
Abstract This essay concerns the real value of the $U.S. relative to the G-10. (i) What are the dynamics of the fundamental determinants of the real exchange rate and its steady state value? (ii) To what extent are the observed movements in the exchange rate from 1973 to 1988 due to the fundamentals?
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Abstract This essay concerns the real value of the $U.S. relative to the G-10. (i) What are the dynamics of the fundamental determinants of the real exchange rate and its steady state value? (ii) To what extent are the observed movements in the exchange rate from 1973 to 1988 due to the fundamentals?
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1988
The recent float has led to renewed theoretical and empirical interest in the purchasing power parity (PPP) doctrine. In this Chapter we examine the validity of various versions of PPP, in light of the random-walk conditional mean behavior, and ARCH conditional variance behavior, which was documented in earlier Chapters for nominal exchange rates.
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The recent float has led to renewed theoretical and empirical interest in the purchasing power parity (PPP) doctrine. In this Chapter we examine the validity of various versions of PPP, in light of the random-walk conditional mean behavior, and ARCH conditional variance behavior, which was documented in earlier Chapters for nominal exchange rates.
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EQUILIBRIUM REAL EXCHANGE RATES
The Manchester School, 1992This paper analyzes the role of the real exchange rate in macroeconomic equilibrium. The supply-side equilibrium exchange rate, that level of the real exchange rate at which (relative) inflation is constant, is derived from a simple macro-model and related to the standard "NAIRU" model.
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