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on International Finance |
| By: | María-Dolores, Ramon (Departamentos y Servicios::Departamentos de la UMU::Fundamentos del Análisis Económico) |
| Abstract: | This paper uses data on import unit values for nine different product categories and bilateral imports to study the pass-through of exchange rate changes into the prices of imports that originated inside the Euro Area made by some New Member States (NMSs) of the European Union and one candidate country (Turkey). I estimate industry-specific rates of pass-through across and within countries using the methodological approach proposed by de Bandt, Banerjee and Kozluk (2008). I did not find evidence in favour of the hypothesis of Local Currency Pricing (zero pass-through) and the hypothesis of Producer Currency Pricing (complete pass-through) could be accepted in some countries for different industries. My results also show that there is a clear positive relationship between exchange rate pass-through and average inflation in these countries. I do find a slightly positive pattern for the relationship between exchange rate pass-through and openness. With reference to the relationship between exchange rate pass-through and the type of exchange rate regime I observe that a less volatile exchange rate implies a less degree of exchange rate pass-through. In industries I obtain a less degree of exchange rate pass-through in differentiated manufactured products. By including possible statistical break-dates in the estimation process I observe that some NMSs have decreased the exchange rate pass-through in recent years. Some of the breaks are close to the dates of some major institutional changes in these countries (changes in monetary policy and exchange rate regimes and the starting up of the EU membership). |
| Keywords: | exchange rates, monetary union, pass-through, panel cointegration |
| JEL: | D12 R23 |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:mur:wpaper:4698&r=ifn |
| By: | Buncic, Daniel |
| Abstract: | The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample evaluation period of nearly 12 years. Point as well as density forecasts are constructed, considering forecast horizons of 1 to 22 steps head. The study finds that no forecast gains over a simple AR(1) specification exist at any of the forecast horizons that are considered, regardless of whether point or density forecasts are utilised in the evaluation. Non-parametric methods are used in conjunction with simulation techniques to learn about the models and their forecasts. It is shown graphically that the nonlinearity in the point forecasts of the ESTAR model decreases as the forecast horizon increases. The non-parametric methods show also that the multiple steps ahead forecast densities are normal looking with no signs of bi-modality, skewness or kurtosis. Overall, there seems little to be gained from using an ESTAR specification over a simple AR(1) model. |
| Keywords: | Purchasing power parity, regime modelling, non-linear real exchange rate models, ESTAR, forecast evaluation, density forecasts, non-parametric methods. |
| JEL: | C53 C52 C22 F47 F31 |
| Date: | 2009–02–03 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:16525&r=ifn |
| By: | Herrmann, Sabine |
| Abstract: | This paper examines the relationship between the exchange rate regime and the pace of current account adjustment. The panel data set we refer to includes 11 catching-up countries from central, eastern and south-eastern Europe between 1994 and 2007. The exchange rate regime is measured by a continuous z-score measure of exchange rate volatility proposed by Gosh, Gulde and Wolf (2003). Based on a basic autoregression estimation, the results indicate that a more flexible exchange rate regime significantly enhances the rate of current account adjustment. |
| Keywords: | Current account adjustment,exchange rate regime,Central and Eastern Europe |
| JEL: | F32 F31 O52 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdp1:200922&r=ifn |
| By: | Hoffmann, Mathias; Holtemöller, Oliver |
| Abstract: | We discuss how the welfare ranking of fixed and flexible exchange rate regimes in a New Open Economy Macroeconomics model depends on the interplay between the degree of exchange rate pass-through and the elasticity of substitution between home and foreign goods. We identify combinations of these two parameters for which flexible and for which fixed exchange rates are superior with respect to welfare as measured by a representative household's utility level. We estimate the two parameters for six non-EMU European countries (Czech Republic, Hungary, Poland, Slovakia, Sweden, United Kingdom) using a heterogeneous dynamic panel approach. |
| Keywords: | Elasticity of substitution between home and foreign goods,exchange rate pass-through,exchange rate regime choice,expenditure switching effect,heterogeneous dynamic panel,New Open Economy Macroeconomics |
| JEL: | F41 F31 F14 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdp1:200921&r=ifn |
| By: | Abdul Hakim (Faculty of Economics, Indonesian Islamic University); Michael McAleer (Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute and Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics, University of Tokyo) |
| Abstract: | The benefits of investing internationally depend on three conditions, namely cross-country correlations, market volatilities, and future changes in currency risks (see Odier and Solnik (1993)). This paper investigates these conditions for several countries. Many papers have modelled both domestic interactions across asset markets and international interactions in individual asset markets in isolation, but rarely have they examined international interactions across asset markets. The paper fills this gap by modelling the international interactions across stock, bond and foreign exchange markets. Two models that meet these purposes are the VARMA-AGARCH model of McAleer et al. (2009) and the VARMA-GARCH model of Ling and McAleer (2003). The countries that will be modelled in this paper are Australia, Japan, Singapore, New Zealand and USA. |
| Date: | 2009–09 |
| URL: | http://d.repec.org/n?u=RePEc:tky:fseres:2009cf663&r=ifn |