Topic
Exchange rate
About: Exchange rate is a research topic. Over the lifetime, 47255 publications have been published within this topic receiving 944563 citations. The topic is also known as: foreign-exchange rate & forex rate.
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TL;DR: In this paper, the authors employ newly constructed measures for productivity differentials, external imbalances, and commodity terms of trade to estimate a panel cointegrating relationship between real exchange rates and a set of fundamentals for a sample of 48 industrial countries and emerging markets.
Abstract: This paper employs newly constructed measures for productivity differentials, external imbalances, and commodity terms of trade to estimate a panel cointegrating relationship between real exchange rates and a set of fundamentals for a sample of 48 industrial countries and emerging markets. It finds evidence of a strong positive relation between the CPI-based real exchange rate and commodity terms of trade. The estimated impact of productivity growth differentials between traded and nontraded goods, while statistically significant, is small. Increases in net foreign assets and in government consumption tend to be associated with appreciating real exchange rates.
200 citations
TL;DR: This paper found that the real exchange rate is cointegrated with terms-of-trade variables and causality runs from the terms of trade to the exchange rate, and constructed a simple exchange rate equation that satisfies several specification tests and performs better than a random walk in post-sample forecasting experiments.
200 citations
TL;DR: In this paper, a stable and predictable aggregate demand for broad money holds for the group of countries participating in the Exchange Rate Mechanism (ERM) of the European Monetary System.
Abstract: Co-integration analysis and error-correction modelling show that a stable and predictable aggregate demand for broad money holds for the group of countries participating in the Exchange Rate Mechanism (ERM) of the European Monetary System. This result seems robust to different econometric techniques, samples and methods of conversion of national variables into ecus. Furthermore, ERM-wide equations compare favourably with national equations and with the previous estimates of area-wide equations for narrow money. These findings suggest that an area-wide broad monetary aggregate can play a useful role in the co-ordination of monetary policy at the European level.
199 citations
TL;DR: In this paper, the authors examined how changes in these exogenous conditional variances affect the level of the current exchange rate and attempt to quantify the extent that this channel explains exchange rate volatility using autoregressive conditional heteroscedastic models.
199 citations
01 Jan 2002
TL;DR: In this article, the authors test uncovered interest parity (UIP) using daily data for 23 developing and developed countries during the crisis-strewn 1990s and find that UIP works better on average in the 1990s than in previous eras in the sense that the slope coefficient from a regression of exchange rate changes on interest differentials yields a positive coefficient.
Abstract: This paper tests for uncovered interest parity (UIP) using daily data for 23 developing and developed countries during the crisis-strewn 1990s We find that UIP works better on average in the 1990s than in previous eras in the sense that the slope coefficient from a regression of exchange rate changes on interest differentials yields a positive coefficient (which is sometimes insignificantly different from unity) UIP works systematically worse for fixed and flexible exchange rate countries than for crisis countries, but we find no significant differences between rich and poor countries Copyright 2002, International Monetary Fund
199 citations