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On the Statistical Properties of Floating Exchange Rates

On the Statistical Properties of Floating Exchange Rates »

Source: On the Statistical Properties of Floating Exchange Rates : A Reassessment of Recent Experience and Literature

Volume/Issue: 1988/11

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1988

ISBN: 9781451925814

Keywords: exchange rate, exchange rates, exchange rate changes, foreign exchange, kurtosis

The paper reviews the statistical behavior of major currency exchange rates during 1975-86. A close inspection indicates small deviations of recent exchange rate behavior from random walks and some systematic movem...

Exchange Rate Pass Through to Prices in Maldives

Exchange Rate Pass Through to Prices in Maldives »

Source: Exchange Rate Pass Through to Prices in Maldives

Volume/Issue: 2012/126

Series: IMF Working Papers

Author(s): Iyabo Masha , and Chanho Park

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2012

ISBN: 9781475503555

Keywords: Inflation, Exchange Rate, Maldives, exchange rate pass, exchange rate changes

This study examines the degree of exchange rate pass through (EPRT) into producer and consumer prices in Maldives. ERPT to consumer prices is first estimated using a nonparametric approach. A recursive vector autor...

Exchange Rate Pass-Through in Sub-Saharan African Economies and its Determinants

Exchange Rate Pass-Through in Sub-Saharan African Economies and its Determinants »

Source: Exchange Rate Pass-Through in Sub-Saharan African Economies and its Determinants

Volume/Issue: 2012/141

Series: IMF Working Papers

Author(s): Ivohasina Razafimahefa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2012

ISBN: 9781475503982

Keywords: exchange rate, impulse responses, exchange rate pass, exchange rate changes,

This paper analyzes the exchange rate pass-through to domestic prices and its determinants in sub-Saharan African countries. It finds that the pass-through is incomplete. The pass-through is larger following a depr...

Uncovered Interest Parity in Crisis

Uncovered Interest Parity in Crisis »

Source: Uncovered Interest Parity in Crisis : The Interest Rate Defense in the 1990s

Volume/Issue: 2001/207

Series: IMF Working Papers

Author(s): Andrew Rose , and Robert Flood

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2001

ISBN: 9781451874655

Keywords: empirical, exchange rate, fixed, floating, developing, developed, exchange rate changes, exchange rates, standard errors, forecasting,

This paper tests for uncovered interest parity (UIP) using daily data for 23 developing and developed countries through the crisis-strewn 1990s. We find that UIP works better on average in the 1990s than in previou...

Targeting the Exchange Rate

Targeting the Exchange Rate »

Source: Targeting the Exchange Rate : Empirical Investigation

Volume/Issue: 1990/61

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 1990

ISBN: 9781451964936

Keywords: exchange rate, equation, foreign exchange, rate of change, exchange rate behavior

The purpose of this paper is to implement empirically the new theory of exchange rate targeting. The theory formulates an expectations induced relationship between the exchange rate and the fundamental subject to r...

Determinants of Firm Profitability in Colombia’s Manufacturing Sector

Determinants of Firm Profitability in Colombia’s Manufacturing Sector »

Source: Determinants of Firm Profitability in Colombia's Manufacturing Sector : Exchange Rate or Structural?

Volume/Issue: 2015/97

Series: IMF Working Papers

Author(s): Naomi Griffin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 May 2015

ISBN: 9781484364222

Keywords: Real exchange rate, structural changes, exchange rate, imports, demand, real effective exchange rate, Firm Performance: Size, Diversification, and Scope, General,

The appreciation of the real exchange rate over the past several years is considered one of the key drivers behind the weak performance of Colombia's manufacturing sector in recent years. This paper examines the ef...

Quality, Trade, and Exchange Rate Pass-Through

Quality, Trade, and Exchange Rate Pass-Through »

Source: Quality, Trade, and Exchange Rate Pass-Through

Volume/Issue: 2014/42

Series: IMF Working Papers

Author(s): Natalie Chen , and Luciana Juvenal

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 March 2014

ISBN: 9781475526394

Keywords: Exchage rate pass-through, pricing-to-market, quality, unit values, firms, exchange rate, real exchange rate, exchange rate pass, exchange rate changes, Models of Trade with Imperfect Competition and Scale Economies

This paper investigates theoretically and empirically the heterogeneous response of exporters to real exchange rate fluctuations due to product quality. Our model shows that the elasticity of demand perceived by ex...

The Effects of Exchange Rate Change on the Trade Balance in Croatia

The Effects of Exchange Rate Change on the Trade Balance in Croatia »

Source: The Effects of Exchange Rate Change on the Trade Balance in Croatia

Volume/Issue: 2004/65

Series: IMF Working Papers

Author(s): Tihomir Stucka

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2004

ISBN: 9781451848717

Keywords: J-curve, trade balance, transitional economies, exchange rate, effective exchange rate, real effective exchange rate, exchange rate changes, International Finance: General, International Policy Coordination and Transmission, Country and Industry Studies of Trade,

A reduced-form model approach was used to estimate the trade balance response to permanent domestic currency depreciation. For this purpose, long-run and short-run effects were estimated, using three modeling metho...

The Forward Premium Puzzle Revisited

The Forward Premium Puzzle Revisited »

Source: The Forward Premium Puzzle Revisited

Volume/Issue: 2002/28

Series: IMF Working Papers

Author(s): Guy Meredith , and Yue Ma

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2002

ISBN: 9781451844672

Keywords: forward premium puzzle, uncovered interest parity, exchange rate, equation, correlation, exchange rate changes, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation, Open Economy Macroeconomics,

The forward premium is a notoriously poor predictor of exchange rate movements. This failure must reflect deviations from risk neutrality and/or rational expectations. In addition, a mechanism is needed that genera...

Financial Liberalization, Structural Change, and Real Exchange Rate Appreciations

Financial Liberalization, Structural Change, and Real Exchange Rate Appreciations »

Source: Financial Liberalization, Structural Change, and Real Exchange Rate Appreciations

Volume/Issue: 2010/63

Series: IMF Working Papers

Author(s): Felipe Meza , and Carlos Urrutia

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2010

ISBN: 9781451982077

Keywords: Real Exchange Rate, Appreciation, Financial Liberalization, Structural Change, tradable goods, relative price, terms of trade shocks, Open Economy Macroeconomics, Economic Growth and Aggregate Productivity: General,

We account for the appreciation of the real exchange rate in Mexico between 1988 and 2002 using a two sector dynamic general equilibrium model of a small open economy with two driving forces: (i) differential produ...