Investigating nonlinearities in real exchange rate adjustment: Threshold cointegration and the dynamics of exchange rates and relative prices

2010 ◽  
Vol 29 (5) ◽  
pp. 770-790 ◽  
Author(s):  
Hironobu Nakagawa
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Threshold Cointegration ◽  
Relative Prices ◽  
Rate Adjustment

scholarly journals Productivity Demand Shocks And Asia-Pacific Real Exchange Rates

2011 ◽  
Vol 8 (2) ◽  
Author(s):  
Ordean Olson
Keyword(s):  
Hong Kong ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Real Exchange Rates ◽  
The Philippines ◽  
Asia Pacific ◽  
Relative Prices ◽  
Significant Relationships ◽  
Relative Productivity

The evidence for a productivity-based explanation for real exchange rate behavior of East Asian currencies is examined using sectoral output and employment data, relative prices and relative productivities for China, Indonesia, Japan, Korea, Malaysia, Philippines, Singapore, Taiwan, and Thailand. Time series regressions of the real exchange rate on relative productivity ratios indicate significant relationships for the Philippines, Hong Kong, Thailand, Singapore, Taiwan and Korea. Only when augmenting the regressions with real oil prices are significant relationships obtained for Indonesia and Japan. Panel regression results are less supportive of a relative productivity view of real exchange rates except for Hong Kong, China and Thailand. Surprisingly, government spending does not appear to be a determinant of real exchange rates except for the countries of Malaysia, the Philippines, Taiwan and Thailand.

scholarly journals Do Expectations Play Any Role in Determining Pak Rupee Exchange Rates?

1997 ◽  
Vol 36 (3) ◽  
pp. 263-273
Author(s):  
Razzaque H. Bhatti
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Purchasing Power Parity ◽  
Foreign Currency ◽  
Nominal Exchange Rate ◽  
Power Parity ◽  
Relative Prices

This paper presents some evidence on the role of expectations in the determination of Pak rupee exchange rates vis-à-vis the dollar, pound, and yen over the period 1982:1– 1993:7. Results of cointegration and coefficient restriction tests in two out of three cases are supportive of the view of exchange rate determination in postulating that in efficient markets in which uncertainty and expectations about the future are dominant, the equilibrium nominal exchange rate is determined not only by current relative prices but also by the expected real exchange rate. These results are supportive of ex ante purchasing power parity, implying that the real exchange rate follows a random walk. These results also suggest that the anticipated inflation rate is higher in Pakistan than in other countries, which tends to encourage the domestic residents to convert their current balances into foreign currency, so that the terms of trade deteriorate and offset much of gains of the continuous devaluation of Pak rupee by undermining external competitiveness.

Real Exchange Rate Adjustment in and out of the Eurozone

2012 ◽  
Vol 102 (3) ◽  
pp. 179-185 ◽  
Author(s):  
Martin Berka ◽  
Michael B Devereux ◽  
Charles Engel
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Real Exchange Rates ◽  
Law Of One Price ◽  
Nominal Exchange Rate ◽  
Currency Unions ◽  
Traded Goods ◽  
Rate Adjustment ◽  
Exchange Rate Movements

It is often suggested that currency unions unduly inhibit the efficient adjustment of real exchange rates. Recently, this has been seen as a key failure of the Eurozone. This paper presents evidence that throws doubt on this conclusion. Our evidence suggests that real exchange rate movement within the Eurozone was at least as compatible with efficient adjustment as the behavior of real exchange rates for the floating rate countries outside the Eurozone. This interpretation is consistent with a model in which nominal exchange rate movements give rise to persistent deviations from the law of one price in traded goods.

scholarly journals Boom Goes the Price: Giant Resource Discoveries and Real Exchange Rate Appreciation

2020 ◽  
Vol 130 (630) ◽  
pp. 1715-1728 ◽  
Author(s):  
Torfinn Harding ◽  
Radoslaw Stefanski ◽  
Gerhard Toews
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Direct Evidence ◽  
Oil And Gas ◽  
Real Exchange Rates ◽  
Labour Productivity ◽  
Dutch Disease ◽  
The Real ◽  
Traded Goods

Abstract We estimate the effect of giant oil and gas discoveries on bilateral real exchange rates. A giant discovery with the value of 10% of a country’s GDP appreciates the real exchange rate by 1.5% within ten years following the discovery. The appreciation starts before production begins and the non-traded component of the real exchange rate drives the appreciation. Labour reallocates from the traded goods sector to the non-traded goods sector, leading to changes in labour productivity. These findings provide direct evidence on the channels central to the theories of the Dutch disease and the Balassa–Samuelson effect.

scholarly journals Post-Conflict Aid, Real Exchange Rate Adjustment, And Catch-Up Growth

2007 ◽  
Author(s):  
Klaus Schmidt-Hebbel ◽  
Linda Kaltani ◽  
Ibrahim A. Elbadawi
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Post Conflict ◽  
Rate Adjustment ◽  
Catch Up

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.

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