A Network Model Of Multilaterally Equilibrium Exchange Rates

Author : Mr.Alexei P Kireyev,Andrei Leonidov
Publisher : International Monetary Fund
Page : 23 pages
File Size : 49,6 Mb
Release : 2016-07-06
Category : Business & Economics
ISBN : 9781498351331

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A Network Model of Multilaterally Equilibrium Exchange Rates by Mr.Alexei P Kireyev,Andrei Leonidov Pdf

This paper proposes a network model of multilaterally equilibrium exchange rates. The model introduces a topological component into the exchange rate analysis, consistently taking into account simultaneous higher-order interactions among all currencies. The paper defines the currency demand indicator. On its base, it derives a multilateral exchange rate network, finds its dynamically stationary position, and identifies the multilaterally equilibrium levels of bilateral exchanges rates. Potentially, the model can be developed further to calculate the deviations of the observed bilateral exchange rates from their multilaterally equilibrium levels, which can be interpreted as their over- or undervaluation. For illustration, the model is applied to daily 1995-2016 exchange rates among 130 currencies sourced from the Thomson Reuters Datastream.

Author : Alexei Kireyev,Andrei Leonidov
Publisher : Unknown
Page : 128 pages
File Size : 47,9 Mb
Release : 2016
Category : Currency question
ISBN : OCLC:1323319160

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A Network Model of Multilaterally Equilibrium Exchange Rates by Alexei Kireyev,Andrei Leonidov Pdf

Author : Mr.Angel J. Ubide,J. Humberto Lopez,Mr.Enrique Alberola Ila,Ms.Susana Garcia Cervero
Publisher : International Monetary Fund
Page : 44 pages
File Size : 48,5 Mb
Release : 1999-12-01
Category : Business & Economics
ISBN : 9781451858730

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Global Equilibrium Exchange Rates by Mr.Angel J. Ubide,J. Humberto Lopez,Mr.Enrique Alberola Ila,Ms.Susana Garcia Cervero Pdf

This paper presents a methodology for calculating bilateral equilibrium exchange rates for a panel of currencies in a way that guarantees global consistency. The methodology has three parts: a theoretical model that encompasses the balance of payments and the Balassa-Samuelson approaches to real exchange rate determination; an unobserved components decomposition in a cointegration framework that identifies a time-varying equilibrium real exchange rate; and an algebraic transformation that extracts bilateral equilibrium nominal rates. The results uncover that, by the start of Stage III of the European Economic and Monetary Union (EMU), the euro was significantly undervalued against the dollar and the pound, but overvalued against the yen. The paper also shows that the four major EMU currencies locked their parities with the euro at a rate close to equilibrium.

Author : Peter Isard
Publisher : International Monetary Fund
Page : 54 pages
File Size : 50,9 Mb
Release : 2007-12
Category : Business & Economics
ISBN : UCSD:31822036950368

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Equilibrium Exchange Rates by Peter Isard Pdf

The paper describes six different methodologies that have been used to assess the equilibrium values of exchange rates and discusses their limitations. It applies several of the approaches to data for the United States as of 2006, illustrates that different approaches sometimes provide substantially different assessments, and asks which methodologies deserve the most weight in such situations. It argues that while it is generally desirable to consider the implications of several different approaches, since different approaches provide different types of perspectives, two of the methodologies seem particularly relevant for identifying threats to macroeconomic stability and growth.

Author : Ronald MacDonald,Jerome L. Stein
Publisher : Springer Science & Business Media
Page : 353 pages
File Size : 40,6 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9789401144117

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Equilibrium Exchange Rates by Ronald MacDonald,Jerome L. Stein Pdf

How successful is PPP, and its extension in the monetary model, as a measure of the equilibrium exchange rate? What are the determinants and dynamics of equilibrium real exchange rates? How can misalignments be measured, and what are their causes? What are the effects of specific policies upon the equilibrium exchange rate? The answers to these questions are important to academic theorists, policymakers, international bankers and investment fund managers. This volume encompasses all of the competing views of equilibrium exchange rate determination, from PPP, through other reduced form models, to the macroeconomic balance approach. This volume is essentially empirical: what do we know about exchange rates? The different econometric and theoretical approaches taken by the various authors in this volume lead to mutually consistent conclusions. This consistency gives us confidence that significant progress has been made in understanding what are the fundamental determinants of exchange rates and what are the forces operating to bring them back in line with the fundamentals.

Author : Enrique Alberola
Publisher : Unknown
Page : 43 pages
File Size : 43,5 Mb
Release : 2006
Category : Electronic
ISBN : OCLC:1291216344

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Global Equilibrium Exchange Rates by Enrique Alberola Pdf

This paper presents a methodology for calculating bilateral equilibrium exchange rates for a panel of currencies in a way that guarantees global consistency. The methodology has three parts: a theoretical model that encompasses the balance of payments and the Balassa-Samuelson approaches to real exchange rate determination; an unobserved components decomposition in a cointegration framework that identifies a time-varying equilibrium real exchange rate; and an algebraic transformation that extracts bilateral equilibrium nominal rates. The results uncover that, by the start of Stage III of the European Economic and Monetary Union (EMU), the euro was significantly undervalued against the dollar and the pound, but overvalued against the yen. The paper also shows that the four major EMU currencies locked their parities with the euro at a rate close to equilibrium.

Author : Tamim Bayoumi,Hamid Faruqee,Jaewoo Lee
Publisher : INTERNATIONAL MONETARY FUND
Page : 28 pages
File Size : 42,6 Mb
Release : 2005-12-01
Category : Equilibrium (Economics)
ISBN : 1451862482

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A Fair Exchange? Theory and Practice of Calculating Equilibrium Exchange Rates by Tamim Bayoumi,Hamid Faruqee,Jaewoo Lee Pdf

We develop a theory-based model of equilibrium exchange rates incorporating factors that have been found to matter empirically. The model provides insights into how variables should be measured and what are appropriate cross-country restrictions. We estimate this model using a panel of 12 industrial countries. The model fits the data relatively well, implying relatively fast adjustment to equilibrium and outperforming a random walk at longer horizons. Furthermore, we find that the rate of adjustment depends on the distance from equilibrium, suggesting that part of the explanation for slow adjustment is inaccurate measures of equilibrium.

Author : International Monetary Fund. Research Dept.
Publisher : International Monetary Fund
Page : 20 pages
File Size : 48,5 Mb
Release : 2016-09-30
Category : Business & Economics
ISBN : 9781475544169

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IMF Research Bulletin, September 2016 by International Monetary Fund. Research Dept. Pdf

The September 2016 issue of the IMF Research Bulletin includes the following two Research Summaries: “A New Look at Bank Capital” (by Jihad Dagher, Giovanni Dell’Ariccia, Luc Laeven, Lev Ratnovski, and Hui Tong) and “Does Growth Create Jobs?: Evidence for Advance and Developing Economies (by Zidong An, Nathalie Gonzalez Prieto, Prakash Loungani, and Saurabh Mishra). The Q&A article by Rabah Arezki discusses “Seven Questions on Rethinking the Oil Market in the Aftermath of the 2014-16 Price Slump.” A listing of recent IMF Working Papers, Staff Discussion Notes, and Recommended Readings from IMF Publications are also included. Readers can also find an announcement on the 2016 Annual Research Conference and links to top cited 2015 articles in the IMF Economic Review.

Author : Francesco Giavazzi,Stefano Micossi,Marcus Miller,Banca d'Italia,Centre for Economic Policy Research (Great Britain)
Publisher : Cambridge University Press
Page : 452 pages
File Size : 51,5 Mb
Release : 1988
Category : Business & Economics
ISBN : 0521389054

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The European Monetary System by Francesco Giavazzi,Stefano Micossi,Marcus Miller,Banca d'Italia,Centre for Economic Policy Research (Great Britain) Pdf

Recoge: 1. The international environment - 2. Disinflation, external adjustment and cooperation - 3. Exchange rates, capital mobility and monetary coordination - 4. The future og the European monetary system.

Author : Eitan Altman,Augustin Chaintreau
Publisher : Springer
Page : 131 pages
File Size : 52,6 Mb
Release : 2009-02-27
Category : Computers
ISBN : 9783642003936

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Network Control and Optimization by Eitan Altman,Augustin Chaintreau Pdf

This book constitutes the refereed proceedings of the Second Euro-NF International Conference, NET-COOP 2008 held in Paris, France, in September 2008. The 13 revised full papers presented were carefully reviewed and selected from a total of 27 submissions. The papers are organized in topical sections on economics and peer-to-peer networks; routing and measurements; scheduling; tcp and congestion control; as well as wireless networks.

Author : Fernando Toledo,Louis-Philippe Rochon
Publisher : Edward Elgar Publishing
Page : 305 pages
File Size : 45,8 Mb
Release : 2023-10-06
Category : Business & Economics
ISBN : 9781802200706

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Monetary Policy Challenges in Latin America by Fernando Toledo,Louis-Philippe Rochon Pdf

This ground-breaking book analyses the severe monetary policy challenges facing Latin American countries. Contributors reflect on how these issues should be addressed by policy-makers, identifying the need for a synergic response from regional central banks.

Author : Marc R. Tool
Publisher : Routledge
Page : 784 pages
File Size : 41,9 Mb
Release : 2019-07-12
Category : Biography & Autobiography
ISBN : 9781315493046

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Evolutionary Economics: v. 2 by Marc R. Tool Pdf

This is part of a two-volume work intended to map the theoretical heartland of the institutionalist perspective on political economy. Volume II considers basic economic processes, institutions for stabilizing and planning economic activities, the role of power and accountability, and emerging global interdependence. Marc R. Tool is the editor of "Journal of Economic Issues".

Author : United Nations Economic Commission for Latin America and the Caribbean
Publisher : United Nations
Page : 340 pages
File Size : 50,9 Mb
Release : 2000-12-31
Category : Political Science
ISBN : 9789210582957

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Economic Survey of Latin America and the Caribbean 1999-2000 by United Nations Economic Commission for Latin America and the Caribbean Pdf

This summary provides an assessment of the Latin America and the Caribbean region's economy during 1999 and the first half of 2000. It presents an overview of each country's external sector, macroeconomic policy, activity levels, inflation, employment, saving and investment. The publication contains thirteen statistical tables.

Author : John F. Bilson,Richard C. Marston
Publisher : University of Chicago Press
Page : 542 pages
File Size : 41,5 Mb
Release : 2007-12-01
Category : Business & Economics
ISBN : 9780226050997

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Exchange Rate Theory and Practice by John F. Bilson,Richard C. Marston Pdf

This volume grew out of a National Bureau of Economic Research conference on exchange rates held in Bellagio, Italy, in 1982. In it, the world's most respected international monetary economists discuss three significant new views on the economics of exchange rates - Rudiger Dornbusch's overshooting model, Jacob Frenkel's and Michael Mussa's asset market variants, and Pentti Kouri's current account/portfolio approach. Their papers test these views with evidence from empirical studies and analyze a number of exchange rate policies in use today, including those of the European Monetary System.

Author : Qi Luo
Publisher : Trans Tech Publications Ltd
Page : 2800 pages
File Size : 52,8 Mb
Release : 2011-06-10
Category : Technology & Engineering
ISBN : 9783038135326

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Information Technology for Manufacturing Systems II by Qi Luo Pdf

The 2011 International Conference on Information Technology for Manufacturing Systems (ITMS 2011) was co-sponsored by the University of Adelaide, Australia and Huazhong University of Science and Technology, China. Its mission was to bring together innovative academics and industrial experts in the field of Materials Science and Mechanical Science. Volume is indexed by Thomson Reuters CPCI-S (WoS). The proceedings consist of over 467 peer-reviewed papers which offer an uniquely up-to-date survey of the topic.