Journal ArticleDOI
Real exchange rate misalignment of Asian currencies
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In this paper, the authors examined the size of real exchange rate misalignment in seven developing Asian counties and Japan and developed an analytical framework to estimate the equilibrium RERs, which were then used to derive the RER misalignments.Abstract:
This paper examines the size of real exchange rate (RER) misalignment in seven developing Asian counties and Japan An analytical framework is developed to estimate the equilibrium RERs, which are then used to derive the RER misalignments The estimation results from the model indicate that RERs have been misaligned in most of the Asian countries during the sample period, although not to the extent claimed in some studies The real exchange behaviour in these countries is mostly consistent with the economic fundamentals and the magnitude of measured RER misalignment is not alarmingread more
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What Caused the Asian Currency and Financial Crisis? Part I: A Macroeconomic Overview
TL;DR: The authors explores the view that the Asian currency and financial crises in 1997 and 1998 reflected structural and policy distortions in the countries of the region, even if market overreaction and herding caused the plunge of exchange rates, asset prices, and economic activity to be more severe than warranted by the initial weak economic conditions.
Book ChapterDOI
Exchange Rate Dynamics
TL;DR: The study of exchange rate dynamics is concerned with the movement of exchange rates over time as mentioned in this paper, and exchange rate movements, in common with other economic variables, can be classified into movements induced by temporary equilibrium phenomena and permanent equilibrium phenomena.
Journal ArticleDOI
Behavioural equilibrium real exchange rates and misalignments: Evidence from large emerging markets
TL;DR: In this paper, the authors estimate long-run equilibrium real exchange rates (ERER) for a panel of eight large emerging market economies (EMEs) over 1995-2017 based on structural factors.
Posted Content
A Real Appreciation for Recent Exchange-Rate Movements
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TL;DR: The recent movements in real exchange rates, a measure of relative prices, in the euro area and Japan are consistent with long-run adjustments toward levels predicted by economic fundamentals as mentioned in this paper.
Journal ArticleDOI
Assessment of Fiji’s exchange rate
TL;DR: The authors empirically estimated Fiji's bilateral equilibrium real exchange rate with two of its key trading partners, the US and Australia, using the Behavioural Equilibrium Exchange Rate (BEER) approach, by considering the productivity differential, real interest rate differential, net foreign assets, money supply, and terms of trade.
References
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Journal ArticleDOI
Co-integration and Error Correction: Representation, Estimation and Testing
TL;DR: The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples.
Journal ArticleDOI
Statistical analysis of cointegration vectors
TL;DR: In this paper, the authors consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by i.i.d. Gaussian errors, and derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number of dimensions.
Journal ArticleDOI
Maximum likelihood estimation and inference on cointegration — with applications to the demand for money
Søren Johansen,Katarina Juselius +1 more
TL;DR: In this paper, the estimation and testing of long-run relations in economic modeling are addressed, starting with a vector autoregressive (VAR) model, the hypothesis of cointegration is formulated as a hypothesis of reduced rank of the long run impact matrix.
Maximun likelihood estimation and inference on cointegration - With applications to the demand for money
Søren Johansen,Katarina Juselius +1 more
Journal ArticleDOI
Postwar U.S. Business Cycles: An Empirical Investigation
TL;DR: In this article, a procedure for representing a times series as the sum of a smoothly varying trend component and a cyclical component is proposed, and the nature of the comovements of the cyclical components of a variety of macroeconomic time series is documented.