scispace - formally typeset
Search or ask a question
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.


Papers
More filters
Journal ArticleDOI
TL;DR: This article found that an increase in the household debt to GDP ratio predicts lower GDP growth and higher unemployment in the medium run for an unbalanced panel of 30 countries from 1960 to 2012.
Abstract: An increase in the household debt to GDP ratio predicts lower GDP growth and higher unemployment in the medium run for an unbalanced panel of 30 countries from 1960 to 2012. Low mortgage spreads are associated with an increase in the household debt to GDP ratio and a decline in subsequent GDP growth, highlighting the importance of credit supply shocks. Economic forecasters systematically over-predict GDP growth at the end of household debt booms, suggesting an important role of flawed expectations formation. The negative relation between the change in household debt to GDP and subsequent output growth is stronger for countries with less flexible exchange rate regimes. We also uncover a global household debt cycle that partly predicts the severity of the global growth slowdown after 2007. Countries with a household debt cycle more correlated with the global household debt cycle experience a sharper decline in growth after an increase in domestic household debt.

293 citations

Posted Content
TL;DR: In this paper, the authors examined the effects of terms of trade movements and productivity differentials across sectors on the behavior of the real exchange rate in a small open economy producing exportable and nontradable goods and consuming importable and non-able goods.
Abstract: The paper examines the effects of terms of trade movements and productivity differentials across sectors on the behavior of the real exchange rate. We develop a simple model of a small open economy producing exportable and nontradable goods and consuming importable and nontradable goods and present empirical evidence for a sample of fourteen OECD countries. The evidence broadly supports the predictions of the model, namely that faster productivity growth in the tradable relative to the nontradable sector and an improvement in the terms of trade induce a real appreciation.

292 citations

Journal ArticleDOI
TL;DR: In this paper, an empirical investigation of the duration of exchange-rate pegs in 16 Latin American countries and Jamaica was carried out, identifying factors that influence peg duration using logit analysis and finding that the likelihood of a devaluation first rises and subsequently declines during the first year of a peg.

292 citations

Journal ArticleDOI
TL;DR: In this paper, stock returns are used as proxies for changes in economic activity to test the relation between exchange rates and economic activity, and the empirical results are presented in Section I. The data cover the eight major western countries over the recent period of flexible exchange rates (July 1973 to December 1983).
Abstract: THE PURPOSE OF THIS note is to illustrate how tests of exchange rate models can be conducted using financial prices rather than macroeconomic data. All empirical tests of exchange rate models have met with limited success so far.' A major problem encountered is the poor quality of the macroeconomic data used. Most of the data suffer from large measurement error or cannot even be measured directly. For example, these models often require measures of changes in expected real activity or in monetary policy; such variables can only be poorly estimated from time-series models on industrial production or money supply. The innovation in this paper is to use financial prices such as stock prices instead of the traditional macroeconomic data. There exists convincing empirical evidence that stock returns forecast changes in economic activity as measured by industrial production, real growth in GNP, employment rate, or corporate profits (Fama [5] and Geske and Roll [8]). In the domestic context, stock prices have been used to test the relation between economic activity and inflation (e.g., Fama [5], Geske and Roll [8], and Solnik [12]). In the same spirit, stock returns are used in this paper as proxies for changes in economic activity to test the relation between exchange rates and economic activity. Interest rates are determined by monetary policies, and changes in interest rates are used in this article as indicators of monetary shocks. The approach used is introduced in Section I, while the empirical results are presented in Section II. The data cover the eight major western countries over the recent period of flexible exchange rates (July 1973 to December 1983).

292 citations

Posted Content
TL;DR: A survey of empirical models of the 1970s, published in Economic Interdependence and Flexible Exchange Rates, edited by J. Bhandari (M.I.T. Press: Cambridge), in 1983, is here supplemented with a brief epilogue to update the literature to 1987 as discussed by the authors.
Abstract: “Monetary and Portfolio-Balance Models of Exchange Rate Determination” was a survey of empirical models of the 1970s, published in Economic Interdependence and Flexible Exchange Rates , edited by J. Bhandari (M.I.T. Press: Cambridge), in 1983. It is here supplemented with a brief epilogue to update the literature to 1987, including some skeptical observations on recent claims that “random walk” results constitute evidence in favor of an “equilibrium” model of the exchange rate.

291 citations


Network Information
Related Topics (5)
Monetary policy
57.8K papers, 1.2M citations
96% related
Interest rate
47K papers, 1M citations
94% related
Productivity
86.9K papers, 1.8M citations
92% related
Volatility (finance)
38.2K papers, 979.1K citations
91% related
Stock market
44K papers, 1M citations
89% related
Performance
Metrics
No. of papers in the topic in previous years
YearPapers
20242
2023899
20222,022
20211,295
20201,609
20191,767