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Author | : Mr.Leonardo Bartolini |
Publisher | : International Monetary Fund |
Total Pages | : 31 |
Release | : 1995-08-01 |
Genre | : Business & Economics |
ISBN | : 1451850697 |
Download Are Exchange Rates Excessively Volatile? and What Does "Excessively Volatile" Mean, Anyway? Book in PDF, ePub and Kindle
Using data for the major currencies from 1973 to 1994, we apply recent tests of asset price volatility to re-examine whether exchange rates have been excessively volatile with respect to the predictions of the monetary model of the exchange rate and of standard extensions that allow for sticky prices, sluggish money adjustment, and time-varying risk premia. Consistent with previous evidence from regression-based tests, most of the models that we examine are rejected by our volatility-based tests. In general, however, we find that exchange rates have not been excessively volatile relative to movements of their determinants, with respect to the predictions of even the most restrictive version of the monetary model. Alternative measures of “volatility”, however, may disguise the cause of rejection as excessive exchange rate volatility. This a Working Paper and the author(s) would welcome any comments on the present text. Citations should refer to a Working Paper of the International Monetary Fund, mentioning the author(s), and the date of issuance. The views expressed are those of the author(s) and do not necessarily represent those of the Fund.
Author | : Leonardo Bartolini |
Publisher | : |
Total Pages | : 22 |
Release | : 1995 |
Genre | : |
ISBN | : |
Download Are Exchange Rates Excessively Volatile? and what Does "excessively Volatile" Mean, Anyway? Book in PDF, ePub and Kindle
Author | : Leonardo Bartolino |
Publisher | : |
Total Pages | : 26 |
Release | : 1996 |
Genre | : |
ISBN | : |
Download Are Exchange Rates Excessively Volatile? And what Does ¿7Fexcessively Volatile" Mean, Anyway? Book in PDF, ePub and Kindle
Author | : Sushil B. Wadhwani |
Publisher | : |
Total Pages | : 20 |
Release | : 1984 |
Genre | : Foreign exchange - Rates - Variation - Econometric models |
ISBN | : |
Download Are Exchange Rates "excessively" Volatile? Book in PDF, ePub and Kindle
Author | : Juann H. Hung |
Publisher | : |
Total Pages | : 128 |
Release | : 1990 |
Genre | : Foreign exchange |
ISBN | : |
Download Are Exchange Rates Misaligned Or Excessively Volatile? Book in PDF, ePub and Kindle
Author | : Kenneth Froot |
Publisher | : |
Total Pages | : 24 |
Release | : 1987 |
Genre | : Foreign exchange |
ISBN | : |
Download Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets Book in PDF, ePub and Kindle
Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds techniques. We find evidence that. both exchange rates and stock prices are excessively volatile and that expected returns on foreign exchange and stocks move too much. We also investigate whether these findings ran he attributed to time-varying risk premia, but in our tests the data provide little support for such an alternative hypothesis
Author | : International Monetary Fund |
Publisher | : International Monetary Fund |
Total Pages | : 132 |
Release | : 2004-05-19 |
Genre | : Business & Economics |
ISBN | : 1498330282 |
Download Exchange Rate Volatility and Trade Flows--Some New Evidence Book in PDF, ePub and Kindle
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Author | : Mr.Thomas Helbling |
Publisher | : International Monetary Fund |
Total Pages | : 38 |
Release | : 1995-12-01 |
Genre | : Business & Economics |
ISBN | : 1451934734 |
Download Real Interest Rates, Real Exchange Rates, and Net Foreign Assets in the Adjustment Process Book in PDF, ePub and Kindle
This paper analyzes the recent behavior of real exchange rates, the trade balance and the net foreign asset position of the United States in an intertemporal optimizing model of the world economy that incorporates heterogeneity across countries and imperfect international capital and good markets. While the model successfully tracks the dynamics of trade balances and net foreign assets it generates too much consumption smoothing and excessively volatile relative prices. Resolving these inadequacies simultaneously is difficult as the elasticity of substitution between tradables and nontradables affects in opposite ways the degree of consumption smoothing and the volatility of relative prices.
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2005 |
Genre | : |
ISBN | : |
Download Fundamental Volatility is Regime Specific Book in PDF, ePub and Kindle
Author | : Joseph E. Gagnon |
Publisher | : Peterson Institute |
Total Pages | : 301 |
Release | : 2011 |
Genre | : Business & Economics |
ISBN | : 0881326356 |
Download Flexible Exchange Rates for a Stable World Economy Book in PDF, ePub and Kindle
Volatile exchange rates and how to manage them are a contentious topic whenever economic policymakers gather in international meetings. This book examines the broad parameters of exchange rate policy in light of both high-powered theory and real-world experience. What are the costs and benefits of flexible versus fixed exchange rates? How much of a role should the exchange rate play in monetary policy? Why don't volatile exchange rates destabilize inflation and output? The principal finding of this book is that using monetary policy to fight exchange rate volatility, including through the adoption of a fixed exchange rate regime, leads to greater volatility of employment, output, and inflation. In other words, the "cure" for exchange rate volatility is worse than the disease. This finding is demonstrated in economic models, in historical case studies, and in statistical analysis of the data. The book devotes considerable attention to understanding the reasons why volatile exchange rates do not destabilize inflation and output. The book concludes that many countries would benefit from allowing greater flexibility of their exchange rates in order to target monetary policy at stabilization of their domestic economies. Few, if any, countries would benefit from a move in the opposite direction.