Real and Nominal Exchange Rates in the Long Run

1991 ◽  
Author(s):  
Charles L Adams ◽  
Bankim Chadha
Keyword(s):  
Exchange Rates ◽  
Long Run ◽  
Nominal Exchange Rates

scholarly journals REAL SHOCK OR NOMINAL SHOCK? EXCHANGE RATE MOVEMENTS IN CAMBODIA AND LAO PDR

2010 ◽  
Vol 55 (04) ◽  
pp. 685-703 ◽  
Author(s):  
SEIHA OK ◽  
MAKOTO KAKINAKA ◽  
HIROAKI MIYAMOTO
Keyword(s):  
Exchange Rates ◽  
Lao Pdr ◽  
Structural Vector Autoregression ◽  
Economic Implications ◽  
Long Run ◽  
Nominal Exchange Rates ◽  
Exchange Rate Movements ◽  
Short Run ◽  
Real Shocks ◽  
Nominal Shocks

This paper studies sources of fluctuations in real and nominal US dollar exchange rates in Cambodia and Lao PDR by decomposing them into the components induced by real and nominal factors. These shocks affecting real and nominal exchange rates are identified by using a structural vector autoregression (SVAR) model with the long-run neutrality restriction of Blanchard and Quah (1989). The empirical analysis demonstrates that real shocks in direction of depreciation lead to real and nominal depreciation, while nominal shocks induce long-run nominal depreciation but real appreciation in the short-run. Several economic implications are also discussed.

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.

Real and Nominal Exchange Rates in the Long Run

1991 ◽  
Vol 91 (63) ◽  
pp. 1
Author(s):  
Charles Adams ◽  
Bankim Chadha ◽  
◽  
Keyword(s):  
Exchange Rates ◽  
Long Run ◽  
Nominal Exchange Rates

scholarly journals COINTEGRATION BETWEEN STOCK MARKET INDICES AND NOMINAL EXCHANGE RATES: EVIDENCE FROM TRANSITION COUNTRIES

2015 ◽  
Vol 1 (10) ◽  
pp. 35
Author(s):  
Vesna Prorok ◽  
Slađana Paunović
Keyword(s):  
Stock Market ◽  
Exchange Rates ◽  
Transition Countries ◽  
Future Trends ◽  
Causality Test ◽  
The Czech Republic ◽  
Monthly Data ◽  
Long Run ◽  
Nominal Exchange Rates ◽  
Short Run

This paper analyzes the interdependence between stock market indices and exchange rates in four transition countries: Croatia, Serbia, Hungary and the Czech Republic. The analysis is based on monthly data for the nominal exchange stock market indices and nominal exchange rates over the period from March 2010 to March 2015. The main objective of this work is to determine whether the exchange rates had a significant impact on future trends in the capital markets and vice versa. Empirical analysis has shown that the series are stationary in the first differences, and using both Engle-Granger cointegration and Granger causality test it has been shown, as well, that there is neither long-run nor short-run relationship between these two variables. In other words, it means that prediction of movement of one variable cannot be based on past values of other variable

scholarly journals Exchange Rates and Monetary Fundamentals: What Do We Learn from Linear and Nonlinear Regressions?

2014 ◽  
Vol 2014 ◽  
pp. 1-14 ◽  
Author(s):  
Guangfeng Zhang
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Correction Model ◽  
Exchange Rate Dynamics ◽  
Long Run ◽  
Exchange Rate Movements ◽  
Short Run ◽  
Us Dollar ◽  
Linear And Nonlinear ◽  
Japanese Yen

This paper revisits the association between exchange rates and monetary fundamentals with the focus on both linear and nonlinear approaches. With the monthly data of Euro/US dollar and Japanese yen/US dollar, our linear analysis demonstrates the monetary model is a long-run description of exchange rate movements, and our nonlinear modelling suggests the error correction model describes the short-run adjustment of deviations of exchange rates, and monetary fundamentals are capable of explaining exchange rate dynamics under an unrestricted framework.

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