Measuring the dollar–euro permanent equilibrium exchange rate using the unobserved components model
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jimonfin.2014.12.008
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- repec:bla:intfin:v:3:y:2000:i:3:p:329-56 is not listed on IDEAS
- Belloc, Marianna & Federici, Daniela, 2010.
"A two-country NATREX model for the euro/dollar,"
Journal of International Money and Finance, Elsevier, vol. 29(2), pages 315-335, March.
- Belloc, Marianna & Federici, Daniela, 2007. "A Two-Country NATREX Model for the Euro/Dollar," MPRA Paper 4046, University Library of Munich, Germany.
- Marianna Belloc & Daniela Federici, 2008. "A Two-Country NATREX Model for the Euro/Dollar," CESifo Working Paper Series 2290, CESifo.
- Paul De Grauwe, 2014.
"Exchange Rates in Search of Fundamentals: The Case of the Euro–Dollar Rate,"
World Scientific Book Chapters, in: Exchange Rates and Global Financial Policies, chapter 4, pages 121-158,
World Scientific Publishing Co. Pte. Ltd..
- Paul De Grauwe, 2000. "Exchange Rates in Search of Fundamentals: The Case of the Euro–Dollar Rate," International Finance, Wiley Blackwell, vol. 3(3), pages 329-356, November.
- De Grauwe, Paul, 2000. "Exchange Rates in Search of Fundamentals: The Case of the Euro-Dollar Rate," CEPR Discussion Papers 2575, C.E.P.R. Discussion Papers.
- Lane, Philip R. & Milesi-Ferretti, Gian Maria, 2002.
"External wealth, the trade balance, and the real exchange rate,"
European Economic Review, Elsevier, vol. 46(6), pages 1049-1071, June.
- Philip R. Lane & Gian Maria Milesi-Ferretti, 2001. "External Wealth, the Trade Balance, and the Real Exchange Rate," CEG Working Papers 200113, Trinity College Dublin, Department of Economics.
- Milesi-Ferretti, Gian Maria & Lane, Philip, 2002. "External Wealth, the Trade Balance and the Real Exchange Rate," CEPR Discussion Papers 3153, C.E.P.R. Discussion Papers.
- Lane, Philip R. & Gian Maria Milesi-Ferretti, 2002. "External Wealth, the Trade Balance, and the Real Exchange Rate," Royal Economic Society Annual Conference 2002 119, Royal Economic Society.
- Mr. Philip R. Lane & Mr. Gian M Milesi-Ferretti, 2002. "External Wealth, the Trade Balance, and the Real Exchange Rate," IMF Working Papers 2002/051, International Monetary Fund.
- Philip R. Lane & Gian Maria Milesi-Ferretti, 2001. "External Wealth, the Trade Balance, and the Real Exchange Rate," Trinity Economics Papers 200121, Trinity College Dublin, Department of Economics.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Berger, Tino & Everaert, Gerdie, 2010.
"Labour taxes and unemployment evidence from a panel unobserved component model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 354-364, March.
- T. Berger & G. Everaert, 2007. "Labour Taxes and Unemployment Evidence from a Panel Unobserved Component Model," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/478, Ghent University, Faculty of Economics and Business Administration.
- Commandeur, Jacques J.F. & Koopman, Siem Jan, 2007. "An Introduction to State Space Time Series Analysis," OUP Catalogue, Oxford University Press, number 9780199228874.
- Balázs Égert & László Halpern & Ronald MacDonald, 2006.
"Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues,"
Journal of Economic Surveys, Wiley Blackwell, vol. 20(2), pages 257-324, April.
- Halpern, László & Égert, Balázs & MacDonald, Ronald, 2004. "Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues," CEPR Discussion Papers 4809, C.E.P.R. Discussion Papers.
- Balázs Égert & László Halpern & Ronald MacDonald, 2005. "Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues," Working Papers 106, Oesterreichische Nationalbank (Austrian Central Bank).
- Bal??zs ??gert, & L??szl?? Halpern & Ronald MacDonald, 2005. "Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues," William Davidson Institute Working Papers Series wp793, William Davidson Institute at the University of Michigan.
- Hamid Faruqee, 1995.
"Long-Run Determinants of the Real Exchange Rate: A Stock-Flow Perspective,"
IMF Staff Papers, Palgrave Macmillan, vol. 42(1), pages 80-107, March.
- Mr. Hamid Faruqee, 1994. "Long-Run Determinants of the Real Exchange Rate: A Stock-Flow Perspective," IMF Working Papers 1994/090, International Monetary Fund.
- Heimonen, Kari, 2009. "The euro-dollar exchange rate and equity flows," Review of Financial Economics, Elsevier, vol. 18(4), pages 202-209, October.
- Clark, Peter B. & MacDonald, Ronald, 2004.
"Filtering the BEER: A permanent and transitory decomposition,"
Global Finance Journal, Elsevier, vol. 15(1), pages 29-56.
- Mr. Peter B. Clark & Mr. Ronald MacDonald, 2000. "Filtering the Beer: A Permanent and Transitory Decomposition," IMF Working Papers 2000/144, International Monetary Fund.
- Jeffrey A. Frankel & Andrew K. Rose, 1994.
"A Survey of Empirical Research on Nominal Exchange Rates,"
NBER Working Papers
4865, National Bureau of Economic Research, Inc.
- Jeffrey A. Frankel and Andrew K. Rose., 1995. "A Survey of Empirical Research on Nominal Exchange Rates," Center for International and Development Economics Research (CIDER) Working Papers C95-051, University of California at Berkeley.
- Frankel, Jeffrey A. & Rose, Andrew K., 1995. "A Survey of Empirical Research on Nominal Exchange Rates," Center for International and Development Economics Research (CIDER) Working Papers 233409, University of California-Berkeley, Department of Economics.
- Nicholas Sarantis & Chris Stewart, 2001. "Unobserved components in an error-correction model of consumption for Southern European countries," Empirical Economics, Springer, vol. 26(2), pages 391-405.
- MacDonald, Ronald, 2000. "Concepts to Calculate Equilibrium Exchange Rates: An Overview," Discussion Paper Series 1: Economic Studies 2000,03, Deutsche Bundesbank.
- MacDonald, Ronald & Taylor, Mark P., 1994. "The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk," Journal of International Money and Finance, Elsevier, vol. 13(3), pages 276-290, June.
- Francisco Maeso–Fernandez & Chiara Osbat & Bernd Schnatz, 2002.
"Determinants of the Euro Real Effective Exchange Rate: A BEER/PEER Approach,"
Australian Economic Papers, Wiley Blackwell, vol. 41(4), pages 437-461, December.
- Francisco Maeso-Fernandez & Chiara Osbat & Bernd Schnatz, 2001. "Determinants of the euro real effective exchange rate: a BEER/PEER approach," International Finance 0111003, University Library of Munich, Germany.
- Maeso-Fernandez, Francisco & Osbat, Chiara & Schnatz, Bernd, 2001. "Determinants of the euro real effective exchange rate: a BEER/PEER approach," Working Paper Series 85, European Central Bank.
- Fagan, Gabriel & Henry, Jérôme & Mestre, Ricardo, 2001. "An area-wide model (AWM) for the euro area," Working Paper Series 42, European Central Bank.
- Cheung, Yin-Wong & Chinn, Menzie D. & Pascual, Antonio Garcia, 2005.
"Empirical exchange rate models of the nineties: Are any fit to survive?,"
Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1150-1175, November.
- Yin-Wong Cheung & Menzie D. Chinn & Antonio Garcia Pascual, 2002. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," NBER Working Papers 9393, National Bureau of Economic Research, Inc.
- Yin-Wong Cheung & Menzie D. Chinn & Antonio Garcia-Pascual, 2005. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Working Papers 122005, Hong Kong Institute for Monetary Research.
- Cheung, Yin-Wong & Chinn, Menzie & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Center for International Economics, Working Paper Series qt5fc508pt, Center for International Economics, UC Santa Cruz.
- Cheung, Yin-Wong & Chinn, Menzie David & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Department of Economics, Working Paper Series qt12z9x4c5, Department of Economics, UC Santa Cruz.
- Cheung, Yin-Wong & Chinn, Menzie & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Department of Economics, Working Paper Series qt5fc508pt, Department of Economics, UC Santa Cruz.
- Yin-Wong Cheung & Antonio I Garcia Pascual & Menzie David Chinn, 2004. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," IMF Working Papers 2004/073, International Monetary Fund.
- Richard H. Clarida & Jordi Gali, 1994.
"Sources of real exchange rate fluctuations: how important are nominal shocks?,"
Proceedings, Federal Reserve Bank of Dallas, issue Apr.
- Clarida, Richard & Gali, Jordi, 1994. "Sources of real exchange-rate fluctuations: How important are nominal shocks?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 41(1), pages 1-56, December.
- Jordi Galí & Richard Clarida, 1993. "Sources of real exchage rate fluctuations: How important are nominal shocks?," Economics Working Papers 66, Department of Economics and Business, Universitat Pompeu Fabra, revised Jan 1994.
- Richard Clarida & Jordi Gali, 1994. "Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks?," NBER Working Papers 4658, National Bureau of Economic Research, Inc.
- Clarida, Richard & Galí, Jordi, 1994. "Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks?," CEPR Discussion Papers 951, C.E.P.R. Discussion Papers.
- Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
- Rebecca L Driver & Peter F Westaway, 2005. "Concepts of equilibrium exchange rates," Bank of England working papers 248, Bank of England.
- Carlo Altavilla & Paul De Grauwe, 2010.
"Non-linearities in the relation between the exchange rate and its fundamentals,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(1), pages 1-21.
- Carlo Altavilla & Paul De Grauwe, 2005. "Non-Linearities in the Relation between the Exchange Rate and its Fundamentals," CESifo Working Paper Series 1561, CESifo.
- Frankel, Jeffrey A. & Rose, Andrew K., 1995. "Empirical research on nominal exchange rates," Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 33, pages 1689-1729, Elsevier.
- Giancarlo Corsetti & Paolo Pesenti, 1999. "Stability, Asymmetry, and Discontinuity: The Launch of European Monetary Union," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 30(2), pages 295-372.
- Federici, Daniela & Gandolfo, Giancarlo, 2012. "The Euro/Dollar exchange rate: Chaotic or non-chaotic? A continuous time model with heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 670-681.
- Gonzalo, Jesus & Granger, Clive W J, 1995.
"Estimation of Common Long-Memory Components in Cointegrated Systems,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 27-35, January.
- Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers 4, Boston University - Department of Economics.
- Frenkel, Jacob A. & Mussa, Michael L., 1985.
"Asset markets, exchange rates and the balance of payments,"
Handbook of International Economics, in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 14, pages 679-747,
Elsevier.
- Jacob A. Frenkel & Michael L. Mussa, 1984. "Asset Markets, Exchange Rates and the Balance of Payments," NBER Working Papers 1287, National Bureau of Economic Research, Inc.
- Harvey, Andrew, 2006. "Forecasting with Unobserved Components Time Series Models," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 7, pages 327-412, Elsevier.
- Dunne, Peter & Hau, Harald & Moore, Michael, 2010. "International order flows: Explaining equity and exchange rate returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 358-386, March.
- Hoffmann, Mathias & MacDonald, Ronald, 2009.
"Real exchange rates and real interest rate differentials: A present value interpretation,"
European Economic Review, Elsevier, vol. 53(8), pages 952-970, November.
- Mathias Hoffmann & Ronald MacDonald, 2009. "Real exchange rates and real interest rate differentials: a present value interpretation," IEW - Working Papers 404, Institute for Empirical Research in Economics - University of Zurich.
- Harvey, Andrew, 2001. "Testing in Unobserved Components Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(1), pages 1-19, January.
- Nyblom, Jukka & Harvey, Andrew, 2000.
"Tests Of Common Stochastic Trends,"
Econometric Theory, Cambridge University Press, vol. 16(2), pages 176-199, April.
- Nyblom, Jukka & Harvey, Andrew, 1999. "Tests of Common Stochastic Trends," Cambridge Working Papers in Economics 9902, Faculty of Economics, University of Cambridge.
- Huizinga, John, 1987. "An empirical investigation of the long-run behavior of real exchange rates," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 27(1), pages 149-214, January.
- Romain Duval, 2002. "What Do We Know About Long–run Equilibrium Real Exchange Rates? PPPs vs Macroeconomic Approaches," Australian Economic Papers, Wiley Blackwell, vol. 41(4), pages 382-403, December.
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
- Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-263, July.
- Francis X. Diebold & Roberto S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
- Carsten Detken & Alistair Dieppe & Jérôme Henry & Frank Smets & Carmen Marin, 2002. "Determinants of the Effective Real Exchange Rate of the Synthetic Euro: Alternative Methodological Approaches," Australian Economic Papers, Wiley Blackwell, vol. 41(4), pages 404-436, December.
- S. J. Koopman & J. Durbin, 2003. "Filtering and smoothing of state vector for diffuse state‐space models," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(1), pages 85-98, January.
- Cumby, Robert E. & Huizinga, John, 1991.
"The predictability of real exchange rate changes in the short and long run,"
Japan and the World Economy, Elsevier, vol. 3(1), pages 17-38, April.
- Robert E. Cumby & John Huizinga, 1990. "The Predictability of Real Exchange Rate Changes in the Short and Long Run," NBER Working Papers 3468, National Bureau of Economic Research, Inc.
- MacDonald, Ronald, 1998.
"What determines real exchange rates?: The long and the short of it,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(2), pages 117-153, June.
- Mr. Ronald MacDonald, 1997. "What Determines Real Exchange Rates? The Long and Short of it," IMF Working Papers 1997/021, International Monetary Fund.
- Chang, Yoosoon & Isaac Miller, J. & Park, Joon Y., 2009. "Extracting a common stochastic trend: Theory with some applications," Journal of Econometrics, Elsevier, vol. 150(2), pages 231-247, June.
- Bela Balassa, 1964. "The Purchasing-Power Parity Doctrine: A Reappraisal," Journal of Political Economy, University of Chicago Press, vol. 72(6), pages 584-584.
- Paul De Grauwe & Marianna Grimaldi, 2005. "The Exchange Rate and its Fundamentals in a Complex World," Review of International Economics, Wiley Blackwell, vol. 13(3), pages 549-575, August.
- Ron Alquist & Menzie D. Chinn, 2002. "Productivity and the Euro-Dollar Exchange Rate Puzzle," NBER Working Papers 8824, National Bureau of Economic Research, Inc.
- Harvey, A C, et al, 1986. "Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations," Economic Journal, Royal Economic Society, vol. 96(384), pages 975-985, December.
- Bernd Schnatz & Focco Vijsellaar & Chiara Osbat, 2004. "Productivity and the Euro-Dollar exchange rate," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 140(1), pages 1-30, March.
- Berger, Tino & Kempa, Bernd, 2011. "Bayesian estimation of the output gap for a small open economy: The case of Canada," Economics Letters, Elsevier, vol. 112(1), pages 107-112, July.
- Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
- Chinn, Menzie D. & Meese, Richard A., 1995. "Banking on currency forecasts: How predictable is change in money?," Journal of International Economics, Elsevier, vol. 38(1-2), pages 161-178, February.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Andrea Salazar-Díaz & Aarón Levi Garavito-Acosta & Sergio Restrepo Ángel & Leidy Viviana Arcila-Agudelo, 2023.
"Real Equilibrium Exchange Rate in Colombia: Thousands of VEC Models Approach,"
Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 99, pages 33-78, July-Dece.
- Andrea Salazar-Díaz & Aarón Levi Garavito-Acosta & Sergio Restrepo-Ángel & Leidy Viviana Arcila-Agudelo, 2022. "Real Equilibrium Exchange Rate in Colombia: Thousands of VEC Models Approach," Borradores de Economia 1221, Banco de la Republica de Colombia.
- de Souza Vasconcelos, Camila & Hadad Júnior, Eli, 2023. "Forecasting exchange rate: A bibliometric and content analysis," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 607-628.
- Muhammad Arshad Khan & Saima Nawaz, 2018. "Does Pak-Rupee Exchange Rate Respond to Monetary Fundamentals? A Structural Analysis," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 57(2), pages 175-202.
- José María Serrano & María Dolores Gadea & Marcela Sabaté, 2016. "Lost in intervention. The Harrod--Balassa--Samuelson effect on the peseta/dollar real exchange rate (1870--1998)," Applied Economics Letters, Taylor & Francis Journals, vol. 23(14), pages 1012-1017, September.
- Yu-Hsi Chou, 2017. "Dissecting Exchange Rates and Fundamentals in the Modern Floating Era: The Role of Permanent and Transitory Shocks," Review of International Economics, Wiley Blackwell, vol. 25(1), pages 165-194, February.
- Konrad Adler & Christian Grisse, 2017. "Thousands of BEERs: Take your pick," Review of International Economics, Wiley Blackwell, vol. 25(5), pages 1078-1104, November.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Chen, Xiaoshan & MacDonald, Ronald, 2014.
"Measuring the Euro-Dollar Permanent Equilibrium Exchange Rate using the Unobserved Components Model,"
Stirling Economics Discussion Papers
2014-12, University of Stirling, Division of Economics.
- Chen, Xiaoshan & MacDonald, Ronald, 2014. "Measuring the Euro-Dollar Permanent Equilibrium Exchange Rate using the Unobserved Components Model," SIRE Discussion Papers 2015-05, Scottish Institute for Research in Economics (SIRE).
- Chen, Xiaoshan & MacDonald, Ronald, 2014. "Measuring the Euro-Dollar Permanent Equilibrium Exchange Rate using the Unobserved Components Model," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-05, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Xiaoshan Chen & Ronald MacDonald, 2010.
"Revisiting the Dollar-Euro Permanent Equilibrium Exchange Rate: Evidence from Multivariate Unobserved Components Models,"
Working Papers
2010_16, Business School - Economics, University of Glasgow.
- Chen, Xiaoshan & MacDonald, Ronald, 2010. "Revisiting the Dollar-Euro Permanent Equilibrium Exchange Rate: Evidence from Multivariate Unobserved Components Models," SIRE Discussion Papers 2010-41, Scottish Institute for Research in Economics (SIRE).
- Reza Siregar, 2011.
"The Concepts of Equilibrium Exchange Rate: A Survey of Literature,"
Staff Papers,
South East Asian Central Banks (SEACEN) Research and Training Centre, number sp81.
- Siregar, Reza, 2011. "The Concepts of Equilibrium Exchange Rate: A Survey of Literature," MPRA Paper 28987, University Library of Munich, Germany.
- Balázs Égert & László Halpern & Ronald MacDonald, 2006.
"Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues,"
Journal of Economic Surveys, Wiley Blackwell, vol. 20(2), pages 257-324, April.
- Halpern, László & Égert, Balázs & MacDonald, Ronald, 2004. "Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues," CEPR Discussion Papers 4809, C.E.P.R. Discussion Papers.
- Balázs Égert & László Halpern & Ronald MacDonald, 2005. "Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues," Working Papers 106, Oesterreichische Nationalbank (Austrian Central Bank).
- Bal??zs ??gert, & L??szl?? Halpern & Ronald MacDonald, 2005. "Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues," William Davidson Institute Working Papers Series wp793, William Davidson Institute at the University of Michigan.
- Works, Richard Floyd, 2016. "Econometric modeling of exchange rate determinants by market classification: An empirical analysis of Japan and South Korea using the sticky-price monetary theory," MPRA Paper 76382, University Library of Munich, Germany.
- repec:onb:oenbwp:y::i:106:b:1 is not listed on IDEAS
- Belloc, Marianna & Federici, Daniela, 2010.
"A two-country NATREX model for the euro/dollar,"
Journal of International Money and Finance, Elsevier, vol. 29(2), pages 315-335, March.
- Belloc, Marianna & Federici, Daniela, 2007. "A Two-Country NATREX Model for the Euro/Dollar," MPRA Paper 4046, University Library of Munich, Germany.
- Marianna Belloc & Daniela Federici, 2008. "A Two-Country NATREX Model for the Euro/Dollar," CESifo Working Paper Series 2290, CESifo.
- Rimgailaite, Ramune, 2012. "Exchange rate modelling for Lithuania and Switzerland," MPRA Paper 43451, University Library of Munich, Germany.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Bussière, Matthieu & Ca' Zorzi, Michele & Chudik, Alexander & Dieppe, Alistair, 2010. "Methodological advances in the assessment of equilibrium exchange rates," Working Paper Series 1151, European Central Bank.
- Dal Bianco, Marcos & Camacho, Maximo & Perez Quiros, Gabriel, 2012.
"Short-run forecasting of the euro-dollar exchange rate with economic fundamentals,"
Journal of International Money and Finance, Elsevier, vol. 31(2), pages 377-396.
- Marcos dal Bianco & Maximo Camacho & Gabriel Perez-Quiros, 2012. "Short-run forecasting of the euro-dollar exchange rate with economic fundamentals," Working Papers 1203, Banco de España.
- Maximo Camacho & Marcos Dal Bianco & Gabriel Perez Quiros, 2012. "Short-run forecasting of the euro-dollar exchange rate with economic fundamentals," Working Papers 1201, BBVA Bank, Economic Research Department.
- Shehu Usman Rano, Aliyu, 2007.
"Real Exchange Rate Misalignment: An Application of Behavioral Equilibrium Exchange Rate (BEER) to Nigeria,"
MPRA Paper
10376, University Library of Munich, Germany.
- Shehu Usman Rano, Aliyu, 2008. "Real Exchange Rate Misalignment: An Application of Behavioral Equilibrium Exchange Rate (BEER) to Nigeria," MPRA Paper 10343, University Library of Munich, Germany.
- repec:zbw:bofitp:2004_014 is not listed on IDEAS
- Michael Funke & Jörg Rahn, 2005.
"Just How Undervalued is the Chinese Renminbi?,"
The World Economy, Wiley Blackwell, vol. 28(4), pages 465-489, April.
- Funke, Michael & Rahn, Jörg, 2004. "Just how undervalued is the Chinese renminbi," BOFIT Discussion Papers 14/2004, Bank of Finland Institute for Emerging Economies (BOFIT).
- Michael Funke & Jörg Rahn, 2005. "Just how Undervalued is the Chinese Renminbi," Quantitative Macroeconomics Working Papers 20504, Hamburg University, Department of Economics.
- Funke, Michael & Rahn, Jörg, 2004. "Just how undervalued is the Chinese renminbi," BOFIT Discussion Papers 14/2004, Bank of Finland, Institute for Economies in Transition.
- Michael Funke & Jorg Rahn, 2004. "By How Much Is The Chinese Renminbi Undervalued?," Money Macro and Finance (MMF) Research Group Conference 2004 40, Money Macro and Finance Research Group.
- Jörg Rahn, 2004. "Bilaterial equilibrium exchange rates of EU accession countries against the euro," Macroeconomics 0401010, University Library of Munich, Germany.
- Reza Siregar & Ramkishen Rajan, 2006.
"Models of Equilibrium Real Exchange Rates Revisited: A Selective Review of the Literature,"
Centre for International Economic Studies Working Papers
2006-04, University of Adelaide, Centre for International Economic Studies.
- Reza Y. Siregar, 2007. "Models of Equilibrium Real Exchange Rates Revisited: A Selective Review of the Literature," Working Papers id:1198, eSocialSciences.
- Wu, Jyh-Lin & Hu, Yu-Hau, 2009. "New evidence on nominal exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 1045-1063, October.
- Rebecca L Driver & Peter F Westaway, 2005. "Concepts of equilibrium exchange rates," Bank of England working papers 248, Bank of England.
- Juan José Echavarría & Diego Vásquez & Mauricio Villamizar, 2005.
"La tasa de cambio real en Colombia. ¿Muy lejos del equilibrio?,"
Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 23(49), pages 134-191, December.
- Juan José Echavarría & Diego Vásquez & Mauricio Villamizar, 2005. "La tasa de cambio real en Colombia ¿Muy lejos del equilibrio?," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 23(49), pages 134-191, December.
- Juan José Echevarría & Diego Vásquez & Mauricio Villamizar, 2005. "La Tasa De Cambio Real En Colombia. ¿Muy Lejos Del Equilibrio?," Borradores de Economia 3083, Banco de la Republica.
- Juan José Echavarría & Diego Vásquez & Mauricio Villamizar, 2005. "La tasa de cambio Real en Colombia. ¿Muy Lejos del Equilibrio?," Borradores de Economia 337, Banco de la Republica de Colombia.
- Mark, Nelson C. & Choi, Doo-Yull, 1997. "Real exchange-rate prediction over long horizons," Journal of International Economics, Elsevier, vol. 43(1-2), pages 29-60, August.
More about this item
Keywords
Permanent equilibrium exchange rate; Unobserved components model; Exchange rate forecasting;All these keywords.
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jimfin:v:53:y:2015:i:c:p:20-35. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/30443 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.