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The Exchange Rate Pass -Through to Import and Export Prices: The Role of Nominal Rigidities and Currency Choice (PDF Download)
Using both regression- and VAR-based estimates, the paper finds that the exchange rate pass-through to import prices for a large number of countries is incomplete and larger than the pass-through to export prices. Previous studies have reported similar results, which give rise to the puzzle that while local currency pricing is needed to account for incomplete import price pass-through, it would not imply a lower export price pass-through. Recent explanations of this puzzle have emphasized markup adjustment in response to exchange rate changes. This paper suggests an alternative explanation based on the presence of both producer and local currency pricing. Using a dynamic general equilibrium model, the paper shows that a mix of producer and local currency pricing can explain the pass-through evidence even with a constant markup. The model can also explain the observed exchange rate and inflation variability as well as the fact that the regression and VAR estimates tend to be similar.
eBook
Inside the currency market : mechanics, valuation, and strategies
\"A complete resource to trading today's currency market. Currency movements are impacted by a variety of factors, including interest rates, trade balances, inflation levels, monetary and fiscal policies, and the political climate. Traders use both fundamental data and a variety of technical tools to trade within this market. Inside the Currency Market describes both the underlying dynamics that drive this market and the strategies that can help you capture consistent profits in it. Page by page, this reliable guide skillfully discusses the structure of the market, its roles in the global economy, the forces that drive currency values, trading strategies, and tactics. It also offers a detailed understanding of how global financial flows, derivatives, and other markets such as oil and gold impact currencies. Along the way, author and professor Brian Twomey provides information on gathering and analyzing global financial data so that traders can gain a \"big-picture\" perspective when attempting to identify trades.Explains virtually every element of the market and can function as a desk reference that puts everyday events into context for tradersFundamentally driven trades based on interest rate differentials and trade imbalances are discussed, as well as technical trades involving chart patterns, trends, and trading ranges Each chapter contains questions and answers to help readers master the material The currency market continues to generate interest and attract new retail traders due to the many opportunities available within it. This book will show you how to successfully operate within this arena by making the most informed trading decisions possible\"-- Provided by publisher.
Book
A Habit-Based Explanation of the Exchange Rate Risk Premium
This paper presents a model that reproduces the uncovered interest rate parity puzzle. Investors have preferences with external habits. Countercyclical risk premia and procyclical real interest rates arise endogenously. During bad times at home, when domestic consumption is close to the habit level, the representative investor is very risk averse. When the domestic investor is more risk averse than her foreign counterpart, the exchange rate is closely tied to domestic consumption growth shocks. The domestic investor therefore expects a positive currency excess return. Because interest rates are low in bad times, expected currency excess returns increase with interest rate differentials.
Journal Article
Exchange rates and global financial policies
The book covers problems relating to international macroeconomics and international finance. The first part develops new approaches to exchange rate modeling. The second part is a collection of papers on the theory and empirical analysis of monetary unions. The third part contains criticism of the mainstream macroeconomic models and proposes alternative modeling approaches -- Source other than Library of Congress.
Book
Demanding Devaluation
Exchange rate policy has profound consequences for economic development, financial crises, and international political conflict. Some governments in the developing world maintain excessively weak and \"undervalued\" exchange rates, a policy that promotes export-led development but often heightens tensions with foreign governments. Many other developing countries \"overvalue\" their exchange rates, which increases consumers' purchasing power but often reduces economic growth. InDemanding Devaluation, David Steinberg argues that the demands of powerful interest groups often dictate government decisions about the level of the exchange rate.
Combining rich qualitative case studies of China, Argentina, South Korea, Mexico, and Iran with cross-national statistical analyses, Steinberg reveals that exchange rate policy is heavily influenced by a country's domestic political arrangements. Interest group demands influence exchange rate policy, and national institutional structures shape whether interest groups lobby for an undervalued or an overvalued rate. A country's domestic political system helps determine whether it undervalues its exchange rate and experiences explosive economic growth or if it overvalues its exchange rate and sees its economy stagnate as a result.
eBook
Modelling Cambodia’s Foreign Exchange Rate Dynamics: A Markov-Switching Autoregressive Model
The analysis of the daily fluctuations in the foreign exchange rate between the Khmer Riel and the US dollar was performed utilizing a Markov- switching autoregressive model. This study covered a time frame from January 04, 2005, to August 22, 2024, encompassing a total of 4989 days of data. The research findings revealed that the MS(2)-AR(1) model emerged as the most appropriate model for the analysis. The empirical results from both state 1 and state 2 models demonstrated that the intercept term, along with the AR(1) component, exerted a statistically significant positive effect on the exchange rate at a 1% significance level. Furthermore, the intercept term, which represents the average exchange rate, along with the volatility of the exchange rate in the state 2 model, was found to be higher than that observed in the state 1 model. The analysis of the probability transition matrix indicated that there was a 15.53% likelihood for FX to transition from state 2 to state 1. In contrast, the probability of FX departing from state 1 and returning to state 2 was recorded at 29.34%. Additionally, the chance of FX maintaining its position in state 1 was assessed to be 70.66%, while the probability of it remaining in state 2 was significantly higher at 84.47%.
Journal Article