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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...

Real and Nominal Exchange Rates in the Long Run

Real and Nominal Exchange Rates in the Long Run »

Source: Real and Nominal Exchange Rates in the Long Run

Volume/Issue: 1991/63

Series: IMF Working Papers

Author(s): Charles Adams , and Bankim Chadha

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 1991

ISBN: 9781451848328

Keywords: exchange rate, real exchange rate, exchange rates, exchange rate changes, nominal exchange rate

This paper decomposes longer-run movements in (major) dollar real exchange rates into components associated with changes in nominal exchange rates and price levels, and their comovements. Though the decompositions...

Interest Rates in Mexico

Interest Rates in Mexico »

Source: Interest Rates in Mexico : The Role of Exchange Rate Expectations and International Creditworthiness

Volume/Issue: 1991/12

Series: IMF Working Papers

Author(s): Hoe Khor , and Liliana Rojas-Suárez

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1991

ISBN: 9781451925388

Keywords: exchange rate, equation, cointegration, probability, exchange rate changes

This paper explores how interest rates on domestic financial assets in Mexico are linked to expectations of exchange rate changes and to perceptions about the default risks contained in Mexico’s external deb...

Hysteresis in Exports

Hysteresis in Exports »

Source: Hysteresis in Exports

Volume/Issue: 1995/52

Series: IMF Working Papers

Author(s): Giorgia Giovannetti , and Hossein Samiei

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 1995

ISBN: 9781451847192

Keywords: exchange rate, export prices, exchange rate changes, exchange rate pass, exchange rates

This paper presents an empirical examination of the importance of hysteresis in international trade. An econometric model of export determination is developed where the presence of sunk costs causes discontinuous b...

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...

A Small Foreign Exchange Market with a Long-Term Peg

A Small Foreign Exchange Market with a Long-Term Peg »

Source: A Small Foreign Exchange Market with a Long-Term Peg : Barbados

Volume/Issue: 2006/245

Series: IMF Working Papers

Author(s): Travis Mitchell , Roland Craigwell , and Rupert Worrell

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2006

ISBN: 9781451865059

Keywords: exchange rate, foreign exchange market, exchange rate changes, foreign exchange transactions, Open Economy Macroeconomics,

This paper is a first analysis of daily transactions in the foreign exchange market of Barbados, a small open economy that has had an unchanged peg to the U.S. dollar for over 30 years. As a result of the credibili...

An Empirical Exploration of Exchange Rate Target-Zones

An Empirical Exploration of Exchange Rate Target-Zones »

Source: An Empirical Exploration of Exchange Rate Target-Zones

Volume/Issue: 1991/15

Series: IMF Working Papers

Author(s): Donald Mathieson , Robert Flood , and Andrew Rose

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 1991

ISBN: 9781451843163

Keywords: EMS, exchange rates, nonlinear, target-zone., exchange rate, equation, nonlinear models, rate of change

In the context of a flexible-price monetary exchange rate model and the assumption of uncovered interest parity, we obtain a measure of the fundamental determinant of exchange rates. Daily data for the European Mon...