What do we really know about exchange rates?
AbstractThis paper seeks to provide a comprehensive overview of the recent literature on the economics of real exchange rates. In particular, the paper attempts to provide answers to the following questions: to what extent are real exchange rates mean reverting and how may the degree of observed mean reversion be explained?; do real exchange rates have a business cycle component and, in particular, are they related to real interest differentials?; how important are real, relative to nominal shocks, in driving real exchange rates?; is the systematic component of the real exchange rate related to factors such as productivity, net foreign asset accumulation, national savings imbalances and terms of trade effects? JEL classification: F31, E30
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Oesterreichische Nationalbank (Austrian Central Bank) in its series Working Papers with number 28.
Length: 55 pages
Date of creation: 20 Jun 1998
Date of revision:
Postal: Oesterreichische Nationalbank, Economic Studies Division, c/o Beate Hofbauer-Berlakovich, POB 61, A-1011 Vienna, Austria
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.
- Kim, Byung-Yeon & Korhonen, Iikka, 2002.
"Equilibrium Exchange Rates in Transition Countries: Evidence from Dynamic Heterogeneous Panel Models,"
BOFIT Discussion Papers
15/2002, Bank of Finland, Institute for Economies in Transition.
- Kim, Byung-Yeon & Korhonen, Iikka, 2005. "Equilibrium exchange rates in transition countries: Evidence from dynamic heterogeneous panel models," Economic Systems, Elsevier, vol. 29(2), pages 144-162, June.
- Byung-Yeon Kim & Iikka Korhonen, 2002. "Equilibrium Exchange Rates in Transition Countries: Evidence from Dynamic Heterogeneous Panel Models," Macroeconomics 0212014, EconWPA.
- Ronald MacDonald, 1995.
"Asset Market and Balance of Payments Characteristics - An Eclectic Exchange Rate Model for the Dollar, Mark, and Yen,"
IMF Working Papers
95/55, International Monetary Fund.
- Ronald Macdonald, 1999. "Asset Market and Balance of Payments Characteristics: An Eclectic Exchange Rate Model for the Dollar, Mark and Yen," Open Economies Review, Springer, vol. 10(1), pages 5-29, February.
- René Lalonde & Patrick Sabourin, 2003. "Modélisation et prévision du taux de change réel effectif américain," Working Papers 03-3, Bank of Canada.
- Korhonen, Iikka & Juurikkala, Tuuli, 2007. "Equilibrium exchange rates in oil-dependent countries," BOFIT Discussion Papers 8/2007, Bank of Finland, Institute for Economies in Transition.
- Alexius, Annika, 2000. "Supply Shocks and Real Exchange Rates," Working Paper Series 117, Sveriges Riksbank (Central Bank of Sweden).
- Leonardo Villar & Hernán Rincón, .
"The Colombian Economy in the nineties: Capital Flows and Foreign Exchange Regimes,"
Borradores de Economia
149, Banco de la Republica de Colombia.
- Leonardo Villar & Hernán Rincón, 2000. "The Colombian Economy In The Nineties: Capital Flows And Foreign Exchange Regimes," BORRADORES DE ECONOMIA 003575, BANCO DE LA REPÚBLICA.
- Andersson, Andreas & Österholm, Pär, 2001. "The Impact of Demography on the Real Exchange Rate," Working Paper Series 2001:11, Uppsala University, Department of Economics.
- Sideris, Dimitrios, 2006.
"Testing for long-run PPP in a system context: Evidence for the US, Germany and Japan,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 16(2), pages 143-154, April.
- Dimitrios Sideris, 2004. "Testing for Long-Run PPP in a System Context: Evidence for the US, Germany and Japan," Working Papers 19, Bank of Greece.
- Mark Lewis & AurÃ©lie Martin & Gabriel Di Bella, 2007. "Assessing Competitiveness and Real Exchange Rate Misalignment in Low-Income Countries," IMF Working Papers 07/201, International Monetary Fund.
- Balazs Egert & Carol S. Leonard, 2007.
"Dutch Disease Scare in Kazakhstan: Is it real?,"
CESifo Working Paper Series
1961, CESifo Group Munich.
- Égert , Balázs & Leonard, Carol S., 2007. "Dutch disease scare in Kazakhstan: Is it real?," BOFIT Discussion Papers 9/2007, Bank of Finland, Institute for Economies in Transition.
- Balázs Égert & Carol S. Leonard, 2007. "Dutch Disease Scare in Kazakhstan: Is It Real?," William Davidson Institute Working Papers Series wp866, William Davidson Institute at the University of Michigan.
- T.M. Andersen & N.C. Beier, 1999. "Persistent Terms of Trade Effects of Nominal Shocks," DNB Staff Reports (discontinued) 31, Netherlands Central Bank.
- Celine Gauthier & David Tessier, 2002. "Supply Shocks and Real Exchange Rate Dynamics: Canadian Evidence," Working Papers 02-31, Bank of Canada.
- Farrant, Katie & Peersman, Gert, 2006.
"Is the Exchange Rate a Shock Absorber or a Source of Shocks? New Empirical Evidence,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 38(4), pages 939-961, June.
- K. Farrant & G. Peersman, 2005. "Is the exchange rate a shock absorber or a source of shocks? New empirical evidence," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 05/285, Ghent University, Faculty of Economics and Business Administration.
- Jerome L. Stein, 2001. "The Equilibrium Value of the Euro/$ US Exchange Rate: An Evaluation of Research," CESifo Working Paper Series 525, CESifo Group Munich.
- Astorga, Pablo, 2012. "Mean reversion in long-horizon real exchange rates: Evidence from Latin America," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1529-1550.
- Annika Alexius & Jonny Nilsson, 2000. "Real Exchange Rates and Fundamentals: Evidence from 15 OECD Countries," Open Economies Review, Springer, vol. 11(4), pages 383-397, October.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Markus Knell and Helmut Stix).
If references are entirely missing, you can add them using this form.