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on International Finance |
| By: | Belloc, Marianna; Federici, Daniela |
| Abstract: | This paper develops a NATREX (NATural Real EXchange rate) model for two large economies, the Eurozone and the United States. The NATREX approach has already been adopted to explain the medium-long term dynamics of the real exchange rate in a number of industrial countries. So far, however, it has been applied to a one-country framework where the "rest of the world" is treated as given. In this paper, we build a NATREX model where the two economies are fully specified and allowed to interact. Our theoretical model offers the basis for empirical estimation of the euro/dollar equilibrium exchange rate that will be carried out in future research. JEL classification: F31; F36; F47 |
| Keywords: | Key words: NATREX; equilibrium exchange rate; euro/dollar; structural approach |
| JEL: | F43 F41 F36 F31 |
| Date: | 2007–04 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:4046&r=ifn |
| By: | Tomer Shachmurove (Social Science Computing Center, University of Pennsylvania); Yochanan Shachmurove (Department of Economics, University of Pennsylvania and The City College of The City University of New York) |
| Abstract: | This paper utilizes Vector Auto Regression (VAR) models to analyze the interdependence among exchange rates of twelve Asian-Pacific nations, Australia, China, Indonesia, Japan, Malaysia, New Zealand, Philippines, South Korea, Singapore, Taiwan, Thailand, and Vietnam. The daily data span from 1995 to 2004. It finds strong regional foreign exchange dependency, varying from 32 to 73 percent. This network of markets is highly correlated, with shocks to one reverberating throughout the region. Despite the linkages of the Chinese exchange rate to the United States dollar, the Chinese foreign exchange is not as independent with respect to its South-Asian neighbors as previously thought. |
| Keywords: | : Exchange rates, Asian- Pacific region, Australia, China, Indonesia, Japan, Malaysia, New Zealand, Philippines, South Korea, Singapore, Taiwan, Thailand, Vietnam, Correlograms, Impulse Responses, Variance Decompositions, Interdependence |
| JEL: | F0 F3 G0 C3 C5 E4 P0 |
| Date: | 2007–07–01 |
| URL: | http://d.repec.org/n?u=RePEc:pen:papers:07-019&r=ifn |
| By: | Paul SÃÂöderlind; Angelo Ranaldo |
| Abstract: | We study high-frequency exchange rate movements over the sample 1993-2006. We document that the (Swiss) franc, euro, Japanese yen and the pound tend to appreciate against the U.S. dollar when (a) S&P has negative returns; (b) U.S. bond prices increase; and (c) when currency markets become more volatile. In these situations, the franc appreciates also against the other currencies, while the pound depreciates. These safe haven properties of the franc are visible for different time granularities (from a few hours to several days), during both "ordinary days" and crisis episodes and show some non-linear features. |
| Keywords: | high-frequency data, crisis episodes, non-linear effects |
| JEL: | F31 G15 |
| Date: | 2007–05 |
| URL: | http://d.repec.org/n?u=RePEc:usg:dp2007:2007-22&r=ifn |
| By: | Chowdhury, Khorshed (University of Wollongong) |
| Abstract: | This paper examines the time series properties of real exchange rate indices of Australia in the presence of structural break. Traditional unit root procedures have low power when structural break is ignored. By including structural change in the data, PerronâÃÂÃÂs (1997) Additive Outlier model was found optimal. Three indices (Trade-weighted index (TWI), Export-weighted index (EWI) and Import-weighted index (IWI) are found to be stationary while G7 GDP-weighted index (G7WI) was found non-stationary. The estimated break dates correspond to the period of huge real GDP downturn in Australia (early 1990s), and the global recession in the early 1980s affecting the G7 countries. |
| Keywords: | Real exchange rate, purchasing power parity, unit root, structural break. |
| JEL: | F13 F31 F41 |
| Date: | 2007 |
| URL: | http://d.repec.org/n?u=RePEc:uow:depec1:wp07-05&r=ifn |