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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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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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Exchange rate regime and real exchange rate behavior [PDF]
Economics Bulletin, 2009 This paper examines exchange rate regimes from the viewpoint of the validity of purchasing power parity (PPP). Specifically, we analyze real exchange rate behavior under various classifications of exchange rate arrangement through panel unit root tests, and also investigate the adjustment speed of nominal exchange rate and relative prices separately ...
Hiroyuki Taguchi +2 more
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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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