Global Equilibrium Exchange Rates

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 : 44,9 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 : Enrique Alberola
Publisher : Unknown
Page : 43 pages
File Size : 46,6 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 : Anonim
Publisher : Unknown
Page : 0 pages
File Size : 48,5 Mb
Release : 1999
Category : Electronic
ISBN : OCLC:1434811957

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Global Equilibrium Exchange Rates by Anonim Pdf

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

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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 : David Bigman,Teizo Taya
Publisher : Beard Books
Page : 356 pages
File Size : 48,5 Mb
Release : 2003-03
Category : Business & Economics
ISBN : 1587981297

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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 : 46,7 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 : John Williamson
Publisher : Peterson Institute
Page : 608 pages
File Size : 51,5 Mb
Release : 1994
Category : Business & Economics
ISBN : 0881320765

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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 : Peter Isard
Publisher : International Monetary Fund
Page : 54 pages
File Size : 40,9 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 : Tamim Bayoumi
Publisher : Unknown
Page : 58 pages
File Size : 41,7 Mb
Release : 1994
Category : Foreign exchange rates
ISBN : UCSD:31822016815946

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

Author : John Williamson
Publisher : Columbia University Press
Page : 104 pages
File Size : 50,9 Mb
Release : 2007-04-30
Category : Business & Economics
ISBN : 9780881324792

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Reference Rates and the International Monetary System by John Williamson Pdf

Growing global imbalances threaten to induce a collapse of the dollar, which could in turn produce a severe recession in the rest of the world. This crisis could force countries to say "never again" and search for a system to prevent similar disasters. The system that could do so is a reference rate system—where countries' authorities are forbidden from intervening in order to push the exchange rate too far from what is termed the "reference rate." It could help a country's authorities manage its exchange rate to avoid large misalignments, assist the private sector in forming more dependable expectations of future exchange rates and thus to manage their businesses more efficiently in a world of floating exchange rates, and aid the International Monetary Fund in designing and managing an effective system of multilateral surveillance. The world economy would function better as a result, with less chance of the global imbalances leading to a world recession.

Author : Ms.Elena Loukoianova,Mr.Plamen Iossifov
Publisher : International Monetary Fund
Page : 23 pages
File Size : 48,6 Mb
Release : 2007-07-01
Category : Business & Economics
ISBN : 9781451867190

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Estimation of a Behavioral Equilibrium Exchange Rate Model for Ghana by Ms.Elena Loukoianova,Mr.Plamen Iossifov Pdf

The paper estimates a behavioral equilibrium exchange rate model for Ghana. Regression results show that most of the REER's long-run behavior can be explained by real GDP growth, real interest rate differentials (both relative to trading-partner countries), and the real world prices of Ghana's main export commodities. On the basis of these fundamentals, the REER in late 2006 was found to be very close to its estimated equilibrium level. The results also suggest, that deviations from the equilibrium path are eliminated within two to three years.

Author : Tamim Bayoumi,Hamid Faruqee,Jaewoo Lee
Publisher : INTERNATIONAL MONETARY FUND
Page : 28 pages
File Size : 47,5 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 : Mr.John Cady
Publisher : International Monetary Fund
Page : 20 pages
File Size : 53,8 Mb
Release : 2003-02-01
Category : Business & Economics
ISBN : 9781451844689

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The Equilibrium Real Exchange Rate of the Malagasy Franc by Mr.John Cady Pdf

Employing cointegration techniques, the long-run determinants of Madagascar's real exchange rate are examined from a stock-flow perspective. The long-run behavior of the real effective exchange rate is explained by the net foreign asset position and factors affecting trade flows. An index of the long-run equilibrium real exchange rate is developed to assess the degree of misalignment. The general conclusions are that the Malagasy franc has experienced significant misalignment in the past, but that the recent appreciation of the real effective exchange rate is consistent with changes in the fundamentals, particularly anticipated improvements in the net foreign assets position stemming from Madagascar's eligibility for assistance under the enhanced HIPC Initiative.

Author : Mr.Charalambos G. Tsangarides,Mr.Carlo Cottarelli,Mr.Atish R. Ghosh,Mr.Gian Milesi-Ferretti
Publisher : International Monetary Fund
Page : 352 pages
File Size : 52,8 Mb
Release : 2008-09-08
Category : Business & Economics
ISBN : 9781589067288

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Exchange Rate Analysis in Support of IMF Surveillance by Mr.Charalambos G. Tsangarides,Mr.Carlo Cottarelli,Mr.Atish R. Ghosh,Mr.Gian Milesi-Ferretti Pdf

Exchange rate analysis lies at the center of the IMF's surveillance mandate and policy advice, as well as in the design of IMF-supported programs, and IMF staff are called upon to analyze a wide variety of exchange rate issues in various member countries, both small and large, from the least economically developed to the most advanced, and from those whose currencies circulate only locally to those whose currencies are of global importance. Each year, IMF staff produce dozens of studies on exchange rate issues, some published by the IMF, others in various professional journals or books. This book aims to give a flavor of the topics the IMF staff typically examine under the broad rubric of exchange rate analysis, encompassing several topics: determination and impact of the real exchange rate, assessing competitiveness and the equilibrium real exchange rate in specific countries or country groups, and considerations in the choice of exchange rate regime.

Author : John Wiulliamson
Publisher : Unknown
Page : 110 pages
File Size : 40,5 Mb
Release : 1983
Category : Electronic
ISBN : 0783742185

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The Exchange Rate System by John Wiulliamson Pdf

Now available directly from: IIE 11 Dupont Circle, NW Washington, DC 20036 Tel: (202) 328-9000 This book examines the system of flexible exchange rates, estimating misalignments of major currencies and analyzing costs and benefits of volatility and deviations from equilibrium. It considers target zones, reference rates, and other alternatives for stabilizing the system.