Author: Mr.Francisco Nadal De Simone
Publisher: International Monetary Fund
ISBN: 1451856164
Category : Business & Economics
Languages : en
Pages : 42
Book Description
This paper reexamines some unsettled theoretical and empirical issues regarding the relationship between nominal exchange rates and interest rate differentials and provides a model for the behavior of exchange rates in the long run, where interest rates are determined in the bond market. The model predicts that an increase in the interest rate differential appreciates the home currency. We test the model for the U.S. dollar against the Deutsche mark, the British pound, the Japanese yen, and the Canadian dollar. The first two pairs of exchange rates—for which purchasing power parity seems to hold—display a strong relationship with interest rate differentials.
Nominal Exchange Rates and Nominal Interest Rate Differentials
Author: Mr.Francisco Nadal De Simone
Publisher: International Monetary Fund
ISBN: 1451856164
Category : Business & Economics
Languages : en
Pages : 42
Book Description
This paper reexamines some unsettled theoretical and empirical issues regarding the relationship between nominal exchange rates and interest rate differentials and provides a model for the behavior of exchange rates in the long run, where interest rates are determined in the bond market. The model predicts that an increase in the interest rate differential appreciates the home currency. We test the model for the U.S. dollar against the Deutsche mark, the British pound, the Japanese yen, and the Canadian dollar. The first two pairs of exchange rates—for which purchasing power parity seems to hold—display a strong relationship with interest rate differentials.
Publisher: International Monetary Fund
ISBN: 1451856164
Category : Business & Economics
Languages : en
Pages : 42
Book Description
This paper reexamines some unsettled theoretical and empirical issues regarding the relationship between nominal exchange rates and interest rate differentials and provides a model for the behavior of exchange rates in the long run, where interest rates are determined in the bond market. The model predicts that an increase in the interest rate differential appreciates the home currency. We test the model for the U.S. dollar against the Deutsche mark, the British pound, the Japanese yen, and the Canadian dollar. The first two pairs of exchange rates—for which purchasing power parity seems to hold—display a strong relationship with interest rate differentials.
Predicting Real Exchange Rates from Real Interest Rate Differentials and Net Foreign Asset Stocks
Author: Carsten-Patrick Meier
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
Book Description
Seasonal Movements of Exchange Rates and Interest Rates Under the Pre-World War I Gold Standard
Author: Ellen Foster
Publisher: Routledge
ISBN: 1351717057
Category : Business & Economics
Languages : en
Pages : 261
Book Description
Originally published in 1994. This work investigates seasonal fluctuations of US and British short term nominal interest rates, the dollar-sterling exchange rate and short term interest rate differentials between the US and Britain during the period 1883-1913. It finds that during the pre-World War Gold Standard seasonal movements in exchange rates did not tend to offset the seasonal fluctuations in interest rate differentials. It presents a model to explain the fluctuations and outlines two specific empirical investigations, considering the results in the light of more recent historical periods as well.
Publisher: Routledge
ISBN: 1351717057
Category : Business & Economics
Languages : en
Pages : 261
Book Description
Originally published in 1994. This work investigates seasonal fluctuations of US and British short term nominal interest rates, the dollar-sterling exchange rate and short term interest rate differentials between the US and Britain during the period 1883-1913. It finds that during the pre-World War Gold Standard seasonal movements in exchange rates did not tend to offset the seasonal fluctuations in interest rate differentials. It presents a model to explain the fluctuations and outlines two specific empirical investigations, considering the results in the light of more recent historical periods as well.
Interest Rates, Exchange Rates and World Monetary Policy
Author: John E. Floyd
Publisher: Springer Science & Business Media
ISBN: 3642102808
Category : Business & Economics
Languages : en
Pages : 406
Book Description
A careful basic theoretical and econometric analysis of the factors determining the real exchange rates of Canada, the U.K., Japan, France and Germany with respect to the United States is conducted. The resulting conclusion is that real exchange rates are almost entirely determined by real factors relating to growth and technology such as oil and commodity prices, international allocations of world investment across countries, and underlying terms of trade changes. Unanticipated money supply shocks, calculated in five alternative ways have virtually no effects. A Blanchard-Quah VAR analysis also indicates that the effects of real shocks predominate over monetary shocks by a wide margin. The implications of these facts for the conduct of monetary policy in countries outside the U.S. are then explored leading to the conclusion that all countries, to avoid exchange rate overshooting, have tended to automatically follow the same monetary policy as the United States. The history of world monetary policy is reviewed along with the determination of real exchange rates within the Euro Area.
Publisher: Springer Science & Business Media
ISBN: 3642102808
Category : Business & Economics
Languages : en
Pages : 406
Book Description
A careful basic theoretical and econometric analysis of the factors determining the real exchange rates of Canada, the U.K., Japan, France and Germany with respect to the United States is conducted. The resulting conclusion is that real exchange rates are almost entirely determined by real factors relating to growth and technology such as oil and commodity prices, international allocations of world investment across countries, and underlying terms of trade changes. Unanticipated money supply shocks, calculated in five alternative ways have virtually no effects. A Blanchard-Quah VAR analysis also indicates that the effects of real shocks predominate over monetary shocks by a wide margin. The implications of these facts for the conduct of monetary policy in countries outside the U.S. are then explored leading to the conclusion that all countries, to avoid exchange rate overshooting, have tended to automatically follow the same monetary policy as the United States. The history of world monetary policy is reviewed along with the determination of real exchange rates within the Euro Area.
Exchange Rates and Real Long-term Interest-rate Differentials
Author: David T. Coe
Publisher: Paris, France : OECD
ISBN:
Category : Foreign exchange
Languages : en
Pages : 26
Book Description
Publisher: Paris, France : OECD
ISBN:
Category : Foreign exchange
Languages : en
Pages : 26
Book Description
Fundamental Determinants of Exchange Rates
Author: Jerome L. Stein
Publisher: Oxford University Press
ISBN: 9780198293064
Category : Business & Economics
Languages : en
Pages : 276
Book Description
"This book greatly enhances our understanding of the behavior of real exchange rates. It provides an elegant model based on a solid theoretical foundation that links real exchange rates to their fundamental economic determinants and takes proper account of stock and flow considerations. The authors provide a masterful account of how changes in productivity and thrift affect the real exchange rate, and show that the long-run impact depends crucially on whether the change reflects the former fundamental (investment) or the latter (consumption). The empirical implementation uses state-of-the-art cointegration and error correction methodologies that are eminently well suited to capture the short-run adjustment of the real exchange rate to its medium- to long-run equilibrium value. The empirical results are extremely encouraging, as the economic fundamentals identified by the authors can explain a substantial part of the movement in the real exchange rate of a number of countries."--Peter Clark, International Monetary Fund
Publisher: Oxford University Press
ISBN: 9780198293064
Category : Business & Economics
Languages : en
Pages : 276
Book Description
"This book greatly enhances our understanding of the behavior of real exchange rates. It provides an elegant model based on a solid theoretical foundation that links real exchange rates to their fundamental economic determinants and takes proper account of stock and flow considerations. The authors provide a masterful account of how changes in productivity and thrift affect the real exchange rate, and show that the long-run impact depends crucially on whether the change reflects the former fundamental (investment) or the latter (consumption). The empirical implementation uses state-of-the-art cointegration and error correction methodologies that are eminently well suited to capture the short-run adjustment of the real exchange rate to its medium- to long-run equilibrium value. The empirical results are extremely encouraging, as the economic fundamentals identified by the authors can explain a substantial part of the movement in the real exchange rate of a number of countries."--Peter Clark, International Monetary Fund
The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials
Author: Mr.Jun Nagayasu
Publisher: International Monetary Fund
ISBN: 1451845553
Category : Business & Economics
Languages : en
Pages : 13
Book Description
This paper empirically examines the long-run relationship between real exchange rates and real interest rate differentials over the recent floating exchange rate period, using a panel cointegration method, with data for a set of industrialized countries. The paper finds evidence of statistically significant long-run relationships and plausible point estimates, which contrasts with much existing evidence. The failure of others to establish such relationships may reflect the estimation method they use rather than any inherent deficiency of the fundamentals-based models.
Publisher: International Monetary Fund
ISBN: 1451845553
Category : Business & Economics
Languages : en
Pages : 13
Book Description
This paper empirically examines the long-run relationship between real exchange rates and real interest rate differentials over the recent floating exchange rate period, using a panel cointegration method, with data for a set of industrialized countries. The paper finds evidence of statistically significant long-run relationships and plausible point estimates, which contrasts with much existing evidence. The failure of others to establish such relationships may reflect the estimation method they use rather than any inherent deficiency of the fundamentals-based models.
The Dynamics of Real Interest Rates, Real Exchange Rates and the Balance of Payments in China
Author: Mr.Zhongxia Jin
Publisher: International Monetary Fund
ISBN: 1451848927
Category : Business & Economics
Languages : en
Pages : 29
Book Description
Based on China's experience between 1980 and 2002, a cointegrated vector autoregression model was established to explore the relationships among real interest rates, real exchange rates and balance of payments in China. Taking into account institutional changes, the empirical study shows that significant and usually non-monotonic interactions exist between these three variables. The paper discusses theoretical and policy implications of the empirical result.
Publisher: International Monetary Fund
ISBN: 1451848927
Category : Business & Economics
Languages : en
Pages : 29
Book Description
Based on China's experience between 1980 and 2002, a cointegrated vector autoregression model was established to explore the relationships among real interest rates, real exchange rates and balance of payments in China. Taking into account institutional changes, the empirical study shows that significant and usually non-monotonic interactions exist between these three variables. The paper discusses theoretical and policy implications of the empirical result.
Japanese Effective Exchange Rates and Determinants
Author: Mr.Jun Nagayasu
Publisher: International Monetary Fund
ISBN: 1451850859
Category : Business & Economics
Languages : en
Pages : 34
Book Description
This paper empirically analyzes Japanese long-run exchange rates from several perspectives. Several exchange rate models are considered, including the purchasing power parity, the real interest differential model, and the hybrid models à la Hooper and Morton (1982). A notable feature of the latter models is that the current accounts are introduced as determinants of the exchange rates; one type of hybrid model uses the actual current account, and the other the optimal current account, which is calculated using the present value model suggested by Campbell and Shiller (1988). The paper finds that the long-run specification is sensitive to the specification of the model.
Publisher: International Monetary Fund
ISBN: 1451850859
Category : Business & Economics
Languages : en
Pages : 34
Book Description
This paper empirically analyzes Japanese long-run exchange rates from several perspectives. Several exchange rate models are considered, including the purchasing power parity, the real interest differential model, and the hybrid models à la Hooper and Morton (1982). A notable feature of the latter models is that the current accounts are introduced as determinants of the exchange rates; one type of hybrid model uses the actual current account, and the other the optimal current account, which is calculated using the present value model suggested by Campbell and Shiller (1988). The paper finds that the long-run specification is sensitive to the specification of the model.
Interpreting Currency Movements During the Crisis
Author: Mr.Thomas Dowling
Publisher: International Monetary Fund
ISBN: 1455212520
Category : Business & Economics
Languages : en
Pages : 46
Book Description
Using an adaptation of the Uncovered Interest Parity (UIP) condition, this paper analyzes the drivers behind the large, symmetric exchange rate swings observed during the financial crisis of 2008-2010. Employing a Nelson-Siegel model, we estimate yield curves and decompose the exchange rate movements into changes we attribute to monetary policy and a residual. We find that the depreciation phase of the currencies in our sample was largely dominated by safe-haven effects rather than carry trade activity or other return considerations. For some countries, however, the appreciation that began at the end of 2008 seems largely to reflect downward movement in the cumulative revisions to nominal forward differentials, suggesting carry trade.
Publisher: International Monetary Fund
ISBN: 1455212520
Category : Business & Economics
Languages : en
Pages : 46
Book Description
Using an adaptation of the Uncovered Interest Parity (UIP) condition, this paper analyzes the drivers behind the large, symmetric exchange rate swings observed during the financial crisis of 2008-2010. Employing a Nelson-Siegel model, we estimate yield curves and decompose the exchange rate movements into changes we attribute to monetary policy and a residual. We find that the depreciation phase of the currencies in our sample was largely dominated by safe-haven effects rather than carry trade activity or other return considerations. For some countries, however, the appreciation that began at the end of 2008 seems largely to reflect downward movement in the cumulative revisions to nominal forward differentials, suggesting carry trade.