Nominal exchange rates and unit roots: a reconsideration

1992 ◽  
Vol 11 (6) ◽  
pp. 539-551 ◽  
Author(s):  
Joseph A. Whitt
Keyword(s):  
Exchange Rates ◽  
Unit Roots ◽  
Nominal Exchange Rates

Mean Reversion in G-10 Nominal Exchange Rates

2006 ◽  
Vol 41 (3) ◽  
pp. 685-708 ◽  
Author(s):  
Richard J. Sweeney
Keyword(s):  
Exchange Rates ◽  
Unit Roots ◽  
Mean Reversion ◽  
Industrial Country ◽  
Monetary Policies ◽  
Long Run ◽  
Nominal Exchange Rates ◽  
Out Of Sample ◽  
Significance Levels ◽  
Floating Exchange Rates

AbstractAccording to conventional wisdom, industrial country floating exchange rates contain unit roots. SUR tests on panels of monthly Group of Ten (G-10) log nominal rates reject the null of unit roots for various samples over the current float with significance levels from 0.5% to 15%. On average, in out-of-sample forecasts mean reversion models beat random walks significantly in some forecast periods. For monthly data, the range of expected USD-DEM appreciation rates exceeds 15% per year in the mean reversion model. Mean reversion places strong restrictions on international models: over the sample period, the G-10 had to run monetary policies consistent with stable long-run nominal rates.

scholarly journals Macroeconomic convergence in the West African monetary zone: Evidence from rank tests

2019 ◽  
Vol 8 (4) ◽  
pp. 191
Author(s):  
Emmanuel Numapau Gyamfi ◽  
Anokye Mohammed Adam ◽  
Emily Frimpomaa Appiah
Keyword(s):  
Exchange Rates ◽  
Sierra Leone ◽  
Score Test ◽  
West African ◽  
Rank Tests ◽  
African Countries ◽  
The West ◽  
Nominal Exchange Rates ◽  
Practical Implications ◽  
Non Parametric

This article examined convergence of inflation and exchange rates in six (6) West African countries that make up the West African Monetary Zone (WAMZ). A non-parametric rank and score test was employed in the analysis. The results show that inflation and nominal exchange rates of Gambia, Ghana, Guinea, Liberia, Nigeria and Sierra Leone are converging. The findings have practical implications.

scholarly journals Monetary Policy and the Predictability of Nominal Exchange Rates

2020 ◽  
Author(s):  
M S Eichenbaum ◽  
B K Johannsen ◽  
S T Rebelo
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Open Economy ◽  
Real Exchange Rates ◽  
Nominal Exchange Rate ◽  
Medium Size ◽  
Inflation Rates ◽  
Nominal Exchange Rates

Abstract This article studies how the monetary policy regime affects the relative importance of nominal exchange rates and inflation rates in shaping the response of real exchange rates to shocks. We document two facts about inflation-targeting countries. First, the current real exchange rate predicts future changes in the nominal exchange rate. Second, the real exchange rate is a poor predictor of future inflation rates. We estimate a medium-size, open-economy DSGE model that accounts quantitatively for these facts as well as other empirical properties of real and nominal exchange rates. The key estimated shocks that drive the dynamics of exchange rates and their covariance with inflation are disturbances to the foreign demand for dollar-denominated bonds.

scholarly journals CURRENCY LINKAGES AMONG ASEAN

2010 ◽  
Vol 55 (03) ◽  
pp. 459-470 ◽  
Author(s):  
CHIN LEE ◽  
M. AZALI
Keyword(s):  
Exchange Rates ◽  
Financial Integration ◽  
Unit Roots ◽  
Cointegration Test ◽  
Causality Test ◽  
Crisis Period ◽  
The Us ◽  
Us Dollar ◽  
Johansen Cointegration Test ◽  
Asean Countries

The purpose of this study is to examine the potential linkages among ASEAN-5 currencies, in particular the possibility of a Singapore dollar bloc during the pre- and post-crisis periods by using the Johansen multivariate cointegration test and the Granger causality test. Significant nonstationarity and the presence of unit roots were documented for each currency under both study periods. Using ASEAN-4 exchange rates against the Singapore dollar, the Johansen cointegration test showed that there was no cointegrating relationship during the pre-crisis period. However there were two statistically significant cointegrating vectors among ASEAN exchange rates for the post-crisis period. These findings imply that there is low financial integration before the crisis, but that ASEAN countries are financially more integrated after the crisis. This finding also indicates increasingly role of the Singapore dollar in ASEAN. Therefore, the Singapore dollar may be a possible candidate as the common currency for ASEAN. The analysis is repeated by adding the US dollar to the model. The finding ascertains the influence of the US dollar on ASEAN currencies before the crisis.

Sign in / Sign up

Export Citation Format

Share Document