Nominal Exchange Rates And Nominal Interest Rate Differentials
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Author | : Mr.Francisco Nadal De Simone |
Publisher | : International Monetary Fund |
Total Pages | : 42 |
Release | : 1999-10-01 |
Genre | : Business & Economics |
ISBN | : 1451856164 |
Download Nominal Exchange Rates and Nominal Interest Rate Differentials Book in PDF, Epub and Kindle
This paper reexamines some unsettled theoretical and empirical issues regarding the relationship between nominal exchange rates and interest rate differentials and provides a model for the behavior of exchange rates in the long run, where interest rates are determined in the bond market. The model predicts that an increase in the interest rate differential appreciates the home currency. We test the model for the U.S. dollar against the Deutsche mark, the British pound, the Japanese yen, and the Canadian dollar. The first two pairs of exchange rates—for which purchasing power parity seems to hold—display a strong relationship with interest rate differentials.
Author | : Carsten-Patrick Meier |
Publisher | : |
Total Pages | : 44 |
Release | : 1999 |
Genre | : |
ISBN | : |
Download Predicting Real Exchange Rates from Real Interest Rate Differentials and Net Foreign Asset Stocks Book in PDF, Epub and Kindle
Author | : Mr.Thomas Dowling |
Publisher | : International Monetary Fund |
Total Pages | : 46 |
Release | : 2011-01-01 |
Genre | : Business & Economics |
ISBN | : 1455212520 |
Download Interpreting Currency Movements During the Crisis Book in PDF, Epub and Kindle
Using an adaptation of the Uncovered Interest Parity (UIP) condition, this paper analyzes the drivers behind the large, symmetric exchange rate swings observed during the financial crisis of 2008-2010. Employing a Nelson-Siegel model, we estimate yield curves and decompose the exchange rate movements into changes we attribute to monetary policy and a residual. We find that the depreciation phase of the currencies in our sample was largely dominated by safe-haven effects rather than carry trade activity or other return considerations. For some countries, however, the appreciation that began at the end of 2008 seems largely to reflect downward movement in the cumulative revisions to nominal forward differentials, suggesting carry trade.
Author | : Ellen Foster |
Publisher | : Routledge |
Total Pages | : 261 |
Release | : 2017-04-21 |
Genre | : Business & Economics |
ISBN | : 1351717057 |
Download Seasonal Movements of Exchange Rates and Interest Rates Under the Pre-World War I Gold Standard Book in PDF, Epub and Kindle
Originally published in 1994. This work investigates seasonal fluctuations of US and British short term nominal interest rates, the dollar-sterling exchange rate and short term interest rate differentials between the US and Britain during the period 1883-1913. It finds that during the pre-World War Gold Standard seasonal movements in exchange rates did not tend to offset the seasonal fluctuations in interest rate differentials. It presents a model to explain the fluctuations and outlines two specific empirical investigations, considering the results in the light of more recent historical periods as well.
Author | : David T. Coe |
Publisher | : Paris, France : OECD |
Total Pages | : 26 |
Release | : 1985 |
Genre | : Foreign exchange |
ISBN | : |
Download Exchange Rates and Real Long-term Interest-rate Differentials Book in PDF, Epub and Kindle
Author | : John E. Floyd |
Publisher | : Springer Science & Business Media |
Total Pages | : 406 |
Release | : 2009-12-04 |
Genre | : Business & Economics |
ISBN | : 3642102808 |
Download Interest Rates, Exchange Rates and World Monetary Policy Book in PDF, Epub and Kindle
A careful basic theoretical and econometric analysis of the factors determining the real exchange rates of Canada, the U.K., Japan, France and Germany with respect to the United States is conducted. The resulting conclusion is that real exchange rates are almost entirely determined by real factors relating to growth and technology such as oil and commodity prices, international allocations of world investment across countries, and underlying terms of trade changes. Unanticipated money supply shocks, calculated in five alternative ways have virtually no effects. A Blanchard-Quah VAR analysis also indicates that the effects of real shocks predominate over monetary shocks by a wide margin. The implications of these facts for the conduct of monetary policy in countries outside the U.S. are then explored leading to the conclusion that all countries, to avoid exchange rate overshooting, have tended to automatically follow the same monetary policy as the United States. The history of world monetary policy is reviewed along with the determination of real exchange rates within the Euro Area.
Author | : Jerome L. Stein |
Publisher | : Oxford University Press |
Total Pages | : 276 |
Release | : 1997 |
Genre | : Business & Economics |
ISBN | : 9780198293064 |
Download Fundamental Determinants of Exchange Rates Book in PDF, Epub and Kindle
"This book greatly enhances our understanding of the behavior of real exchange rates. It provides an elegant model based on a solid theoretical foundation that links real exchange rates to their fundamental economic determinants and takes proper account of stock and flow considerations. The authors provide a masterful account of how changes in productivity and thrift affect the real exchange rate, and show that the long-run impact depends crucially on whether the change reflects the former fundamental (investment) or the latter (consumption). The empirical implementation uses state-of-the-art cointegration and error correction methodologies that are eminently well suited to capture the short-run adjustment of the real exchange rate to its medium- to long-run equilibrium value. The empirical results are extremely encouraging, as the economic fundamentals identified by the authors can explain a substantial part of the movement in the real exchange rate of a number of countries."--Peter Clark, International Monetary Fund
Author | : Mr.Jun Nagayasu |
Publisher | : International Monetary Fund |
Total Pages | : 13 |
Release | : 1999-03-01 |
Genre | : Business & Economics |
ISBN | : 1451845553 |
Download The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials Book in PDF, Epub and Kindle
This paper empirically examines the long-run relationship between real exchange rates and real interest rate differentials over the recent floating exchange rate period, using a panel cointegration method, with data for a set of industrialized countries. The paper finds evidence of statistically significant long-run relationships and plausible point estimates, which contrasts with much existing evidence. The failure of others to establish such relationships may reflect the estimation method they use rather than any inherent deficiency of the fundamentals-based models.
Author | : Stephanie Schmitt-Grohe |
Publisher | : |
Total Pages | : 38 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Exchange Rates and Uncovered Interest Differentials Book in PDF, Epub and Kindle
We estimate an empirical model of exchange rates with transitory and permanent monetary shocks. Using monthly post-Bretton-Woods data from the United States, the United Kingdom, and Japan, we report four main findings: First, there is no exchange rate overshooting in response to either temporary or permanent monetary shocks. Second, a transitory increase in the nominal interest rate causes appreciation, whereas a permanent increase in the interest rate causes short-run depreciation. Third, transitory increases in the interest rate cause short-run deviations from uncovered interest-rate parity in favor of domestic assets, whereas permanent increases cause deviations against domestic assets. Fourth, permanent monetary shocks explain the majority of short-run movements in nominal exchange rates.
Author | : Mr.Zhongxia Jin |
Publisher | : International Monetary Fund |
Total Pages | : 29 |
Release | : 2003-04-01 |
Genre | : Business & Economics |
ISBN | : 1451848927 |
Download The Dynamics of Real Interest Rates, Real Exchange Rates and the Balance of Payments in China Book in PDF, Epub and Kindle
Based on China's experience between 1980 and 2002, a cointegrated vector autoregression model was established to explore the relationships among real interest rates, real exchange rates and balance of payments in China. Taking into account institutional changes, the empirical study shows that significant and usually non-monotonic interactions exist between these three variables. The paper discusses theoretical and policy implications of the empirical result.