Volatility and Predictability of Exchange Rates in an Equilibrium Model PDF Download

Author: Thomas John Gooch
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 114

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Author: Thomas John Gooch
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 228

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Author: Daron Acemoglu
Publisher:
ISBN: 9780226002026
Category : Macroeconomics
Languages : en
Pages : 0

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Book Description
The NBER Macroeconomics Annual provides a forum for important debates in contemporary macroeconomics and major developments in the theory of macroeconomic analysis and policy that include leading economists from a variety of fields. The papers and accompanying discussions in NBER Macroeconomics Annual 2007 address exchange-rate models; implications of credit market frictions; cyclical budgetary policy and economic growth; the impacts of shocks to government spending on consumption, real wages, and employment; dynamic macroeconomic models; and the role of cyclical entry of new firms and products on the nature of business-cycle fluctuations and on the effects of monetary policy.

Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1498330282
Category : Business & Economics
Languages : en
Pages : 132

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Author: Ronald MacDonald
Publisher: Springer Science & Business Media
ISBN: 9780792384243
Category : Business & Economics
Languages : en
Pages : 364

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Book Description
How successful is PPP, and its extension in the monetary model, as a measure of the equilibrium exchange rate? What are the determinants and dynamics of equilibrium real exchange rates? How can misalignments be measured, and what are their causes? What are the effects of specific policies upon the equilibrium exchange rate? The answers to these questions are important to academic theorists, policymakers, international bankers and investment fund managers. This volume encompasses all of the competing views of equilibrium exchange rate determination, from PPP, through other reduced form models, to the macroeconomic balance approach. This volume is essentially empirical: what do we know about exchange rates? The different econometric and theoretical approaches taken by the various authors in this volume lead to mutually consistent conclusions. This consistency gives us confidence that significant progress has been made in understanding what are the fundamental determinants of exchange rates and what are the forces operating to bring them back in line with the fundamentals.

Author: Richard Works
Publisher: Richard Floyd Works
ISBN:
Category : Education
Languages : en
Pages : 63

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Book Description
This is a literature review on exchange rate modeling. This is taken from my doctoral dissertation (My copyright registration number: TX 8-435-669). This may be helpful if you're seeking information on exchange rate, interest rates, gross domestic product, inflation, and money supply. It may also be helpful in understanding the origins of the sticky-price monetary model.

Author: Philippe Aghion
Publisher: OUP Oxford
ISBN: 0191530239
Category : Business & Economics
Languages : en
Pages : 160

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Book Description
It has long been recognized that productivity growth and the business cycle are closely interrelated. Yet, until recently, the two phenomena have been investigated separately in the economics literature. This book provides the first consistent attempt to analyze the effects of macroeconomic volatility on productivity growth, and also the reverse causality from growth to business cycles. The authors show that by looking at the economy through the lens of private entrepreneurs, who invest under credit constraints, one can go some way towards explaining persistent macroeconomic volatility and the effects of volatility on growth. Beginning with an analysis of the effects of volatility on growth, the authors argue that the lower the level of financial development in a country the more detrimental the effect of volatility on growth. This prediction is confirmed by cross-country panel regressions. The data also suggests that a fixed exchange rate regime or more countercyclical budgetary policies are growth-enhancing in countries with a lower level of financial development. The former reduce aggregate volatility whereas the latter reduce the negative effects of volatility on long-term productivity-enhancing investment by firms. The book concludes with an investigation into how the interplay between credit constraints and pecuniary externalities is sufficient to generate persistent business cycles and to explain the occurrence of currency crises.

Author: Zhengyang Jiang
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Author: Mr.Alexei P Kireyev
Publisher: International Monetary Fund
ISBN: 1475534094
Category : Business & Economics
Languages : en
Pages : 23

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Book Description
This paper proposes a network model of multilaterally equilibrium exchange rates. The model introduces a topological component into the exchange rate analysis, consistently taking into account simultaneous higher-order interactions among all currencies. The paper defines the currency demand indicator. On its base, it derives a multilateral exchange rate network, finds its dynamically stationary position, and identifies the multilaterally equilibrium levels of bilateral exchanges rates. Potentially, the model can be developed further to calculate the deviations of the observed bilateral exchange rates from their multilaterally equilibrium levels, which can be interpreted as their over- or undervaluation. For illustration, the model is applied to daily 1995-2016 exchange rates among 130 currencies sourced from the Thomson Reuters Datastream.

Author: Piet Sercu
Publisher: Cambridge University Press
ISBN: 0521562945
Category : Business & Economics
Languages : en
Pages : 176

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Book Description
Sercu and Uppal examine volatility of exchange rates in the context of dynamic general equilibrium models.