How Credible Are the Exchange Rate Regimes of the New EU Countries? : Empirical Evidence from Market Sentiment

2005 ◽  
Vol 43 (3) ◽  
pp. 55-77 ◽  
Author(s):  
CHRISTIAN BAUER ◽  
BERNHARD HERZ
Keyword(s):  
Exchange Rate ◽  
Empirical Evidence ◽  
Exchange Rate Regimes ◽  
Market Sentiment ◽  
Eu Countries ◽  
The Exchange Rate

scholarly journals Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?

2006 ◽  
Vol 96 (3) ◽  
pp. 552-576 ◽  
Author(s):  
Philippe Bacchetta ◽  
Eric van Wincoop
Keyword(s):  
Exchange Rate ◽  
Empirical Evidence ◽  
Rational Expectations ◽  
Exchange Rate Volatility ◽  
Order Flow ◽  
Macroeconomic Variables ◽  
Symmetric Information ◽  
Macroeconomic Fundamentals ◽  
The Exchange Rate ◽  
Exchange Rate Changes

Empirical evidence shows that most exchange rate volatility at short to medium horizons is related to order flow and not to macroeconomic variables. We introduce symmetric information dispersion about future macroeconomic fundamentals in a dynamic rational expectations model in order to explain these stylized facts. Consistent with the evidence, the model implies that (a) observed fundamentals account for little of exchange rate volatility in the short to medium run, (b) over long horizons, the exchange rate is closely related to observed fundamentals, (c) exchange rate changes are a weak predictor of future fundamentals, and (d) the exchange rate is closely related to order flow.

scholarly journals Asymmetry in Exchange Rate Pass-Through to Consumer Prices: New Perspective from Sub-Saharan African Countries

Economies ◽  
2019 ◽  
Vol 7 (1) ◽  
pp. 5
Author(s):  
Diby François Kassi ◽  
Dilesha Nawadali Rathnayake ◽  
Akadje Jean Roland Edjoukou ◽  
Yobouet Thierry Gnangoin ◽  
Pierre Axel Louembe ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Regimes ◽  
Short Term ◽  
Franc Zone ◽  
Consumer Prices ◽  
Cfa Franc Zone ◽  
The Exchange Rate ◽  
Sub Saharan ◽  
Pass Through ◽  
Exchange Rate Pass Through

This paper examines the asymmetrical relationship between exchange rate and consumer prices in 40 sub-Saharan African (SSA) countries from 1990Q1 to 2017Q4. We estimate the exchange rate pass-through (ERPT) to consumer prices for each country by using the nonlinear autoregressive distributed lag (NARDL) framework and dynamic panel techniques robust to cross-sectional dependence. First, our findings suggest an asymmetrical ERPT in the SSA region during the short term, whereas there are mixed results across subregions in the long term. Second, the results of the panel analysis suggest incomplete and significant ERPT to consumer prices in the entire SSA region, which is higher during depreciation of the local currency than after appreciation in the short-term, especially in the CFA Franc zone. Third, we find nonlinear ERPT with respect to the size of the exchange rate. Finally, we find that pass-through is higher in countries with fixed exchange rate regimes (CFA franc zone) in a low inflationary environment than in countries with floating exchange rate regimes and high inflation levels. Pass-through is greater during large exchange rate changes than after small changes. Therefore, the policy implication is to consider these asymmetries and nonlinearities to improve monetary policy’s credibility, enhance trade liberalization, and promote competitive market structures in the SSA region.

HOW THE EXCHANGE RATE REGIME AFFECTS ADJUSTMENT TO LARGE OIL PRICE SWINGS IN OIL EXPORTING COUNTRIES

2021 ◽  
Author(s):  
MAJED S. ALMOZAINI
Keyword(s):  
Exchange Rate ◽  
Money Supply ◽  
Government Spending ◽  
Exchange Rate Regime ◽  
Exchange Rate Regimes ◽  
Oil Price ◽  
Fixed Exchange Rate ◽  
Floating Exchange Rate ◽  
The Exchange Rate

The aim of this study is to analyze how oil price shocks affect the economic growth of floating exchange rate regimes and fixed exchange rate regimes in oil-exporting countries with a ratio of oil exports to total exports exceeding 70%. Also, this study seeks to determine what monetary and fiscal policies both regimes apply in order to curb business cycles and reduce inflationary and recessionary gaps. The analytical study uses panel data for the period from 1991 to 2019, covering 24 oil-exporting countries, from the World Economic Outlook (WEO) database and World Bank. The econometric model is estimated by applying a panel VECM to examine the short- and long-term interdependencies in the macroeconomic variables. The results demonstrate that when there is a negative shock to the oil price, the exchange rate of the floating exchange rate regimes depreciates, money supply increases, and government spending decreases. In contrast, the exchange rate of the fixed exchange rate regimes fluctuates slightly; the money supply slightly decreases in the near, medium, and long term; and government spending decreases.

A New Approach to Identifying Exchange Rate Regimes

2018 ◽  
Vol 64 (2) ◽  
pp. 137-157
Author(s):  
Gerald Fugger
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Regimes ◽  
Three Dimensional ◽  
Exchange Rate Volatility ◽  
New Approach ◽  
Clustering Techniques ◽  
Effective Exchange ◽  
Clustering Approach ◽  
The Exchange Rate ◽  
Exchange Rate Changes

Abstract This publication identifies de facto exchange rate regimes. The study takes into account multiple specifications for the exchange rate regimes, both effective and non-effective. The regimes are classified by means of a three-dimensional clustering approach, that takes the exchange rate volatility, the volatility of exchange rate changes and the volatility of reserves into account. The regimes are classified as floating, dirty floating, crawling peg or fixed. The analysis comprises 90 countries and a span of 35 years. JEL classifications: E42 Keywords: de facto exchange rate regimes, clustering techniques, effective exchange rates

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