Equilibrium Exchange Rates

Author : John Williamson
Publisher : Peterson Institute
Page : 608 pages
File Size : 52,5 Mb
Release : 1994
Category : Business & Economics
ISBN : 0881320765

Get Book

Estimating Equilibrium Exchange Rates by John Williamson Pdf

The problems of exchange rate misalignments and the resulting payments imbalances have plagued the world economy for decades. At the Louvre Accord of 1987, the Group of Five industrial countries adopted a system of reference ranges for exchange rate management, influenced by proposals of C. Fred Bergstan and John Williamson for a target zone system. The reference range approach has, however, been operated only intermittently and half-heartedly, and questions continue to be raised in policy and scholarly circles about the design and operation of a full-fledged target zone regime. This volume, with chapters by leading international economists, explores one crucial issue in the design of a target zone system: the problem of calculating Williamson's concept of the fundamental equilibrium exchange rate (FEER). Williamson contributes an overview of the policy and analytic issues and a second chapter on his own calculations.

Author : Ronald MacDonald,Jerome L. Stein
Publisher : Springer Science & Business Media
Page : 353 pages
File Size : 42,5 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9789401144117

Get Book

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 : Mr.Tarhan Feyzioglu
Publisher : International Monetary Fund
Page : 25 pages
File Size : 40,5 Mb
Release : 1997-09-01
Category : Business & Economics
ISBN : 9781451853179

Get Book

Estimating the Equilibrium Real Exchange Rate by Mr.Tarhan Feyzioglu Pdf

An equilibrium exchange rate is here defined as the level that is consistent with simultaneous internal and external balances as specified in Montiel (1996). Exogenous “fundamental” variables determining these balances are identified. Along the lines of Edwards (1994), a reduced form is estimated with the cointegration technique for Finland for the period 1975-95. The estimation produced a reasonable set of equilibrium exchange rates that appreciate with positive shocks to the terms of trade, world real interest rates, and the productivity differential between Finland and its trading partners.

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 : 46,8 Mb
Release : 1999-12-01
Category : Business & Economics
ISBN : 9781451858730

Get Book

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 : Lionel Halpern,Mr.Charles Wyplosz
Publisher : International Monetary Fund
Page : 40 pages
File Size : 44,9 Mb
Release : 1996-11-01
Category : Business & Economics
ISBN : 9781451854794

Get Book

Equilibrium Exchange Rates in Transition Economies by Lionel Halpern,Mr.Charles Wyplosz Pdf

A stylized fact of the transition process is an early profound exchange rate depreciation followed by continuing real appreciation. Absent historical reference points, it is difficult to judge whether the real appreciation is threatening competitiveness. This paper interprets the stylized facts and offers estimates of the equilibrium real exchange rate based on an international comparison of dollar wages and on a study of the dynamics of real exchange rates in several transition economies. The results suggest that the process of real appreciation is a combination of a return to equilibrium following the early overshooting and equilibrium appreciation.

Author : Mr.Charles Frederick Kramer
Publisher : International Monetary Fund
Page : 28 pages
File Size : 49,8 Mb
Release : 1996-07-01
Category : Business & Economics
ISBN : 9781451848960

Get Book

FEERs and Uncertainty by Mr.Charles Frederick Kramer Pdf

Models of Fundamental Equilibrium Exchange Rates (FEERs) impose internal and external balance, and so appeal to fundamental notions of equilibrium from a macroeconomic perspective. However, the need to estimate internal and external imbalances creates uncertainty in the approach. Parameters must be estimated, and equilibrium balances must be gauged using judgement. Hence it makes sense to consider the FEER as a statistical estimate rather than a fixed number, and to calculate confidence intervals for the FEER. This paper calculates such confidence intervals with data for Canada, under a variety of assumptions. The estimated confidence intervals are quite wide, principally because of uncertainty about price elasticities in the underlying trade equations.

Author : Peter Isard
Publisher : International Monetary Fund
Page : 54 pages
File Size : 40,5 Mb
Release : 2007-12
Category : Business & Economics
ISBN : UCSD:31822036950368

Get Book

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 : David Bigman,Teizo Taya
Publisher : Beard Books
Page : 356 pages
File Size : 54,8 Mb
Release : 2003-03
Category : Business & Economics
ISBN : 1587981297

Get Book

Floating Exchange Rates and the State of World Trade and Payments by David Bigman,Teizo Taya Pdf

Analyzes developments in the international monetary system since 1973, with anew added epilogue.

Author : Mr.Alexei P Kireyev,Andrei Leonidov
Publisher : International Monetary Fund
Page : 23 pages
File Size : 44,5 Mb
Release : 2016-07-06
Category : Business & Economics
ISBN : 9781498351331

Get Book

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 : Enrique Alberola
Publisher : Unknown
Page : 43 pages
File Size : 48,5 Mb
Release : 2006
Category : Electronic
ISBN : OCLC:1291216344

Get Book

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
Publisher : Unknown
Page : 58 pages
File Size : 45,7 Mb
Release : 1994
Category : Foreign exchange rates
ISBN : UCSD:31822016815946

Get Book

Robustness of Equilibrium Exchange Rate Calculations to Alternative Assumptions and Methodologies by Tamim Bayoumi Pdf

Author : Balázs Égert
Publisher : Unknown
Page : 63 pages
File Size : 52,6 Mb
Release : 2007
Category : Electronic
ISBN : OCLC:1290322679

Get Book

Equilibrium Exchange Rates in the Transition by Balázs Égert Pdf

This paper sets out to estimate equilibrium real exchange rates for the Czech Republic, Hungary, Poland, Slovakia and Slovenia. A theoretical model is developed that provides an explanation for the appreciation of the real exchange rate based on tradable prices in the acceding countries. Our model can be considered as a competing but also completing framework to the traditional Balassa-Samuelson model. With this as a background, alternative cointegration methods are applied to time series (Engle-Granger, DOLS, ARDL and Johansen) and to three small-size panels (pooled and fixed effect OLS, DOLS, PMGE and MGE), which leaves us with around 5,000 estimated regressions. This enables us to examine the uncertainty surrounding estimates of equilibrium real exchange rates and the size of the underlying real misalignments.

Author : John Williamson
Publisher : Unknown
Page : 120 pages
File Size : 41,7 Mb
Release : 1985
Category : Business & Economics
ISBN : UCSD:31822002954485

Get Book

The Exchange Rate System by John Williamson Pdf

Author : Ronald MacDonald
Publisher : Routledge
Page : 334 pages
File Size : 40,7 Mb
Release : 2005
Category : Foreign exchange
ISBN : 9781134838226

Get Book

Exchange Rate Economics by Ronald MacDonald Pdf

''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""

Author : Steven Vincent Dunaway,Lamin Leigh,Xiangming Li
Publisher : Unknown
Page : 20 pages
File Size : 55,5 Mb
Release : 2006
Category : Equilibrium (Economics)
ISBN : UCSD:31822034343285

Get Book

How Robust are Estimates of Equilibrium Real Exchange Rates by Steven Vincent Dunaway,Lamin Leigh,Xiangming Li Pdf

Increased attention is being paid to assessments of the actual values of countries' real exchange rates relative to their "equilibrium" values as suggested by "fundamental" determining factors. This paper assesses the robustness of alternative approaches and models commonly used to derive equilibrium real exchange rate estimates. Using China's currency to illustrate this analysis, the variance in estimates raises serious questions regarding how robust the results are. The basic conclusion from the tests used here is that, at least for China, small changes in model specifications, explanatory variable definitions, and time periods used in estimation can lead to very substantial differences in equilibrium real exchange rate estimates. Thus, such estimates should be treated with great caution.